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Financial Innovation

Table 11 Robustness checks: different sample range

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

 

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Delete A + H shares

Delete QFII, A + B shares, A + H shares

(1)

(2)

(3)

(4)

(5)

(6)

(7)

(8)

DailySprd1

DailySprd2

DailySprd1

DailySprd2

DailySprd1

DailySprd2

DailySprd1

DailySprd2

HSSC

0.0020***

0.0017***

0.0019***

0.0016***

0.0021***

0.0018***

0.0023***

0.0020***

 

(10.29)

(9.89)

(10.00)

(9.59)

(10.89)

(10.49)

(11.40)

(11.06)

Size

0.0023***

0.0020***

0.0024***

0.0021***

0.0023***

0.0020***

0.0022***

0.0020***

 

(21.19)

(20.82)

(22.58)

(22.23)

(21.00)

(20.63)

(19.51)

(19.18)

Lev

 − 0.0053***

 − 0.0047***

 − 0.0060***

 − 0.0053***

 − 0.0056***

 − 0.0050***

 − 0.0053***

 − 0.0047***

 

(− 12.19)

(− 11.99)

(− 13.80)

(− 13.59)

(− 13.03)

(− 12.81)

(− 11.86)

(− 11.65)

ROA

0.0016

0.0013

0.0023

0.0018

0.0023

0.0018

0.0013

0.0010

 

(0.99)

(0.88)

(1.49)

(1.31)

(1.47)

(1.31)

(0.82)

(0.71)

Cash_vol

 − 0.0002***

 − 0.0002***

 − 0.0002**

 − 0.0002**

 − 0.0002**

 − 0.0001**

 − 0.0002***

 − 0.0002***

 

(− 2.73)

(− 2.59)

(− 2.49)

(− 2.36)

(− 2.24)

(− 2.09)

(− 2.70)

(− 2.62)

Loss

0.0002

0.0002

0.0003

0.0003

0.0003

0.0003

0.0003

0.0003

 

(1.02)

(1.09)

(1.37)

(1.40)

(1.31)

(1.32)

(1.18)

(1.22)

Age

0.0000

0.0000

0.0002**

0.0002

0.0002

0.0001

0.0001

0.0001

 

(0.45)

(0.00)

(2.03)

(1.53)

(1.49)

(1.07)

(1.09)

(0.63)

Opinion

 − 0.0003

 − 0.0003

 − 0.0003

 − 0.0003

 − 0.0001

 − 0.0001

 − 0.0002

 − 0.0002

 

(− 0.88)

(− 0.93)

(− 0.75)

(− 0.83)

(− 0.25)

(− 0.33)

(− 0.45)

(− 0.53)

Analyst

 − 0.0013***

 − 0.0013***

 − 0.0013***

 − 0.0013***

 − 0.0013***

 − 0.0012***

 − 0.0014***

 − 0.0013***

 

(− 17.01)

(− 18.62)

(− 17.59)

(− 19.25)

(− 16.60)

(− 18.26)

(− 17.68)

(− 19.25)

Turnover

 − 0.0008***

 − 0.0007***

 − 0.0008***

 − 0.0008***

 − 0.0008***

 − 0.0008***

 − 0.0008***

 − 0.0007***

 

(− 48.32)

(− 48.70)

(− 51.39)

(− 51.77)

(− 50.87)

(− 51.26)

(− 47.98)

(− 48.32)

_cons

 − 0.0875***

 − 0.0785***

 − 0.0895***

 − 0.0802***

 − 0.0882***

 − 0.0791***

 − 0.0869***

 − 0.0778***

 

(− 48.48)

(− 48.22)

(− 50.63)

(− 50.33)

(− 48.52)

(− 48.26)

(− 44.18)

(− 43.99)

Industry

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Year

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

N

15,451

15,451

16,432

16,432

16,531

16,531

14,434

14,434

adj. R2

0.758

0.760

0.759

0.760

0.756

0.758

0.760

0.762

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