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Financial Innovation

Table 1 Descriptive statistics

From: The effect of overseas investors on local market efficiency: evidence from the Shanghai/Shenzhen–Hong Kong Stock Connect

Variables

N

Mean

Median

1st Quartile

3rd Quartile

SD

Panel A: Summary statistics for the full sample

DailySprd1

17,086

 − 0.045

 − 0.043

 − 0.051

 − 0.036

0.013

DailySprd2

17,086

 − 0.040

 − 0.038

 − 0.046

 − 0.032

0.011

HSSC

17,086

0.246

0.000

0.000

0.000

0.431

Size

17,086

22.185

22.026

21.287

22.929

1.286

Lev

17,086

0.456

0.455

0.293

0.617

0.208

ROA

17,086

0.056

0.050

0.028

0.081

0.055

Cash_vol

17,086

18.689

18.577

17.702

19.562

1.451

Loss

17,086

0.086

0.000

0.000

0.000

0.280

Age

17,086

2.166

2.398

1.609

2.773

0.722

Opinion

17,086

0.932

1.000

1.000

1.000

0.251

Analyst

17,086

1.585

1.609

0.693

2.565

1.144

Turnover

17,086

5.511

4.522

2.697

7.363

3.872

TobinQ

17,086

2.117

1.568

0.871

2.668

1.956

NCSKEWt+1

17,052

 − 0.276

 − 0.238

 − 0.644

0.137

0.715

Variables

HSSC = 0

Non-eligible firms

HSSC = 1

Eligible firms

Mean-Diff

Median-Diff

N

Mean

Median

N

Mean

Median

Panel B: The summary statistics of eligible firms and non-eligible firms in Stock Connect program

DailySprd1

12,885

 − 0.046

 − 0.044

4201

 − 0.040

 − 0.038

 − 0.006***

503.512***

DailySprd2

12,885

 − 0.041

 − 0.039

4201

 − 0.036

 − 0.034

 − 0.006***

517.966***

Size

12,885

21.904

21.759

4201

23.046

22.894

 − 1.142***

2.1e +03***

Lev

12,885

0.455

0.452

4201

0.461

0.462

 − 0.006

4.174**

ROA

12,885

0.054

0.049

4201

0.062

0.055

 − 0.008***

35.848***

Cash_vol

12,885

18.469

18.374

4201

19.360

19.239

 − 0.891***

856.230***

Loss

12,885

0.096

0.000

4201

0.053

0.000

0.043***

74.680***

Age

12,885

2.094

2.303

4201

2.390

2.565

 − 0.297***

219.348***

Opinion

12,885

0.950

1.000

4201

0.877

1.000

0.073***

 

Analyst

12,885

1.479

1.386

4201

1.908

2.079

 − 0.429***

375.494***

Turnover

12,885

5.761

4.807

4201

4.747

3.662

1.014***

263.115***

 

DailySprd1

DailySprd2

HSSC

Size

Lev

ROA

Cash_vol

Loss

Age

Opinion

Analyst

Turnover

Panel C: Spearman and Pearson correlations

DailySprd1

1.00

1.00***

0.22***

0.28***

0.03***

0.09***

0.20***

 − 0.08***

0.13***

 − 0.04***

0.05***

 − 0.61***

DailySprd2

1.00***

1.00

0.22***

0.27***

0.03***

0.08***

0.19***

 − 0.07***

0.13***

 − 0.04***

0.04***

 − 0.60***

HSSC

0.20***

0.21***

1.00

0.39***

0.01*

0.06***

0.26***

 − 0.07***

0.18***

 − 0.13***

0.16***

 − 0.14***

Size

0.25***

0.24***

0.38***

1.00

0.45***

0.07***

0.77***

 − 0.10***

0.30***

0.02**

0.39***

 − 0.36***

Lev

0.04***

0.03***

0.01

0.44***

1.00

 − 0.24***

0.45***

0.16***

0.32***

 − 0.04***

 − 0.05***

 − 0.10***

ROA

0.10***

0.09***

0.06***

0.07***

 − 0.26***

1.00

0.05***

 − 0.47***

 − 0.10***

0.06***

0.44***

 − 0.16***

Cash_vol

0.18***

0.18***

0.26***

0.80***

0.44***

0.06***

1.00

 − 0.04***

0.27***

0.00

0.27***

 − 0.28***

Loss

 − 0.08***

 − 0.07***

 − 0.07***

 − 0.10***

0.17***

 − 0.56***

 − 0.04***

1.00

0.07***

 − 0.12***

 − 0.21***

0.08***

Age

0.11***

0.11***

0.18***

0.28***

0.34***

 − 0.08***

0.27***

0.08***

1.00

 − 0.10***

 − 0.19***

 − 0.15***

Opinion

 − 0.04***

 − 0.05***

 − 0.13***

0.02**

 − 0.05***

0.08***

0.00

 − 0.12***

 − 0.09***

1.00

0.10***

0.05***

Analyst

0.05***

0.04***

0.16***

0.41***

 − 0.06***

0.41***

0.29***

 − 0.22***

 − 0.18***

0.10***

1.00

 − 0.20***

Turnover

 − 0.54***

 − 0.54***

 − 0.11***

 − 0.32***

 − 0.10***

 − 0.15***

 − 0.24***

0.07***

 − 0.17***

0.04***

 − 0.18***

1.00

  1. Panel A presents the summary statistic of main variables used in this study, including the number of observations, standard deviation, mean, median, 25th percentile, 75th percentile. The sample includes Chinese A-share listed firms during 2009 and 2018. Market efficiency is measured by the intraday bid-ask spreads (DailySprd1 and DailySprd2). HSSC indicates the recent stock market liberalization (the Stock Connect), a dummy variable which is defined as 1 when the A-share listed firms are eligible for trading under either Shanghai-HK Stock Connect or Shenzhen-HK Stock Connect and zero otherwise.
  2. Panel B shows the summary statistics of eligible firms in Stock Connect program and non-eligible firms as well as the group differences. The results show that there is a substantial difference of market efficiency between the eligible firms and non-eligible firms. ***, **, and * denote significance at the 1%, 5%, and 10% levels, respectively.
  3. Panel C displays the Spearman and Pearson correlations matrix for variables of the full sample in the regression analysis. ***, **, and * denote significance at the 1%, 5%, and 10% level, respectively.
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