Table 6 Arellano–Bond dynamic panel-data estimation
From: Probability of informed trading during the COVID-19 pandemic: the case of the Romanian stock market
Variables | PIN—Yan and Zhang (2012) as dependent | PIN—Gan et al. (2015) as dependent | ||||
|---|---|---|---|---|---|---|
Model A | Model B | Model C | Model D | Model E | Model F | |
Lagged PIN | − 0.1560 (0.0020) | − 0.1609 (0.0010) | − 0.1640 (0.0010) | − 0.1197 (0.0160) | − 0.1352 (0.0070) | − 0.1323 (0.0090) |
Quoted Spread | − 0.0433 (0.5840) | − 0.0313 (0.6900) | − 0.0379 (0.6280) | 0.1131 (0.1720) | 0.1303 (0.1160) | 0.1147 (0.1640) |
Traded Volume | 0.0222 (0.0000) | 0.0219 (0.0000) | 0.0222 (0.0000) | 0.0147 (0.0030) | 0.0143 (0.0040) | 0.0139 (0.0050) |
Market capitalization | 0.0015 (0.7540) | 0.0007 (0.8770) | 0.0002 (0.9590) | − 0.0060 (0.3010) | − 0.0070 (0.2210) | − 0.0074 (0.1970) |
Realized Volatility | − 0.0853 (0.1900) | − 0.0653 (0.3150) | − 0.0688 (0.3000) | 0.1243 (0.1090) | 0.1375 (0.0770) | 0.1295 (0.1050) |
Insider Transaction | 0.0095 (0.0020) | 0.0095 (0.0020) | 0.0093 (0.0030) | 0.0071 (0.0570) | 0.0076 (0.0410) | 0.0075 (0.0450) |
Fake News | 0.0010 (0.6370) |  |  | − 0.0015 (0.5350) |  |  |
Fake news *Lockdown | − 0.0139 (0.0570) |  |  | − 0.0195 (0.0210) |  |  |
Media Coverage |  | − 0.0009 (0.1970) |  |  | − 0.0017 (0.0470) |  |
Media cover *Lockdown |  | − 0.0006 (0.0047) |  |  | − 0.0004 (0.2400) |  |
Infodemic Index |  |  | − 0.0003 (0.6710) |  |  | − 0.0009 (0.3150) |
Infodemic *Lockdown |  |  | − 0.0006 (0.0980) |  |  | − 0.0002 (0.5930) |
Observation | 384 | 384 | 384 | 384 | 384 | 384 |