From: Probability of informed trading during the COVID-19 pandemic: the case of the Romanian stock market
Variables | Quantiles | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
10th | 25th | 50th | 75th | 90th | |||||||||||
Model 1 | Model 2 | Model 3 | Model 4 | Model 5 | Model 6 | Model 7 | Model 8 | Model 9 | Model 10 | Model 11 | Model 12 | Model 13 | Model 14 | Model 15 | |
Lagged PIN | 0.049 (0.140) | 0.052 (0.121) | 0.054 (0.135) | − 0.010 (0.814) | − 0.005 (0.909) | − 0.002 (0.960) | − 0.084 (0.064) | − 0.091 (0.056) | − 0.089 (0.080) | − 0.055 (0.321) | − 0.058 (0.296) | − 0.057 (0.310) | − 0.250 (0.069) | − 0.263 (0.058) | − 0.265 (0.061) |
Quoted Spread | 0.063 (0.022) | 0.056 (0.063) | 0.061 (0.031) | 0.097 (0.032) | 0.086 (0.067) | 0.095 (0.036) | 0.142 (0.004) | 0.139 (0.005) | 0.138 (0.003) | 0.147 (0.018) | 0.150 (0.013) | 0.145 (0.020) | 0.334 (0.096) | 0.345 (0.099) | 0.325 (0.137) |
Traded Volume | 0.020 (0.000) | 0.020 (0.000) | 0.021 (0.000) | 0.014 (0.005) | 0.015 (0.004) | 0.015 (0.004) | 0.019 (0.009) | 0.019 (0.006) | 0.020 (0.003) | 0.012 (0.024) | 0.012 (0.019) | 0.013 (0.016) | 0.017 (0.147) | 0.017 (0.139) | 0.017 (0.157) |
Market capitalization | 0.001 (0.713) | 0.001 (0.635) | 0.001 (0.655) | 0.001 (0.495) | 0.002 (0.407) | 0.002 (0.430) | − 0.002 (0.368) | − 0.002 (0.373) | − 0.002 (0.386) | 0.001 (0.616) | 0.001 (0.647) | 0.001 (0.621) | 0.002 (0.563) | 0.002 (0.646) | 0.002 (0.590) |
Realized Volatility | 0.056 (0.415) | 0.044 (0.540) | 0.042 (0.568) | 0.091 (0.011) | 0.074 (0.023) | 0.069 (0.042) | 0.086 (0.156) | 0.070 (0.210) | 0.060 (0.241) | 0.031 (0.645) | 0.023 (0.027) | 0.019 (0.786) | − 0.012 (0.961) | − 0.008 (0.971) | − 0.011 (0.961) |
Insider Transaction | − 0.001 (0.080) | − 0.002 (0.047) | − 0.001 (0.055) | 0.001 (0.842) | 0.001 (0.971) | 0.001 (0.900) | 0.004 (0.000) | 0.005 (0.000) | 0.005 (0.000) | 0.009 (0.000) | 0.009 (0.000) | 0.009 (0.000) | 0.015 (0.089) | 0.016 (0.082) | 0.016 (0.091) |
Fake News | 0.001 (0.885) |  |  | 0.001 (0.722) |  |  | − 0.001 (0.989) |  |  | 0.001 (0.974) |  |  | − 0.005 (0.415) |  |  |
Fake news *Lockdown | 0.003 (0.193) |  |  | 0.005 (0.236) |  |  | − 0.023 (0.004) |  |  | − 0.011 (0.089) |  |  | − 0.020 (0.253) |  |  |
Media Coverage |  | 0.001 (0.315) |  |  | 0.001 (0.186) |  |  | 0.001 (0.837) |  |  | − 0.001 (0.756) |  |  | − 0.003 (0.295) |  |
Media cover *Lockdown |  | 0.001 (0.518) |  |  | 0.001 (0.520) |  |  | − 0.001 (0.098) |  |  | − 0.001 (0.721) |  |  | 0.001 (0.091) |  |
Infodemic Index |  |  | 0.001 (0.595) |  |  | 0.001 (0.343) |  |  | 0.002 (0.696) |  |  | − 0.001 (0.995) |  |  | − 0.001 (0.581) |
Infodemic *Lockdown |  |  | 0.001 (0.784) |  |  | 0.001 (0.751) |  |  | − 0.001 (0.171) |  |  | − 0.001 (0.387) |  |  | 0.001 (0.898) |
R-squared | 0.4325 | 0.4357 | 0.4343 | 0.3206 | 0.3394 | 0.3341 | 0.146 | 0.1462 | 0.1493 | 0.0391 | 0.0322 | 0.0316 | 0.0327 | 0.0339 | Â |
Observation | 396 | 396 | 396 | 396 | 396 | 396 | 396 | 396 | 396 | 396 | 396 | 396 | 396 | 396 | 396 |