Probability of informed trading during the COVID-19 pandemic: the case of the Romanian stock market

Financial Innovation

Table 8 Descriptive statistics

Variable	Mean	Min	1st Quartile	Median	3rd Quartile	Max	Std. Dev
APIN	0.17	0.05	0.15	0.18	0.20	0.24	0.04
BET	8,635.81	7,342.79	8,272.17	8,650.44	8,981.19	10,138.50	634.41
ES	0.20	0.00	0.01	0.06	0.21	1.59	0.34
FNI	2.28	0.04	0.61	0.97	1.85	13.99	3.45
GAN*	0.19	0.00	0.04	0.18	0.27	0.81	0.18
GAN**	0.21	0.00	0.11	0.20	0.28	0.89	0.16
INF	48.51	11.90	40.77	46.19	62.26	78.83	17.93
LMC	21.56	18.27	20.36	21.98	22.95	23.90	1.59
LVOL	12.28	6.85	9.72	12.25	13.89	18.42	2.91
MCI	58.89	10.83	56.95	64.04	68.73	80.67	16.64
NBB	79,659.11	0.00	0.00	0.00	0.00	17,794,636.00	938,110.64
QS	0.22	0.00	0.01	0.07	0.22	1.86	0.39
RV	0.00	0.00	0.00	0.00	0.00	0.01	0.00
YZ*	0.19	0.00	0.06	0.14	0.28	0.50	0.16
YZ**	0.19	0.00	0.10	0.16	0.25	0.50	0.13

APIN—weekly PIN calculated by the average of daily values of PIN evaluated as in Cepoi and Toma (2016); BET BET Index, ES effective spread, FNI Fake News Index, GAN PIN computed using Gan et al. (2015) algorithm, INF the Infodemic Index, LMC Logarithm of the Market Cap, LVOL Logarithm of the Weekly Volume, MCI the media coverage index, NBB number of share buybacks, QS quoted spread, RV realized volatility, YZ PIN computed using Yan and Zhang (2012) algorithm
*Computed 30-min interval
**Calculated using 1-h interval