Financial Innovation

Table 9 Robustness checks: alternative measures of market efficiency

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

	(1)	(2)	(3)	(4)
	Delay	Delay	AR_abs	AR_abs
HSSC	0.0053***	0.0018**	0.0093***	0.0037***
	(6.11)	(2.08)	(6.94)	(2.65)
Size		0.0048***		0.0042***
		(10.20)		(5.55)
Lev		− 0.0125***		− 0.0191***
		(− 5.65)		(− 6.30)
ROA		− 0.0167**		0.0297***
		(− 2.20)		(2.70)
Cash_vol		− 0.0009***		0.0002
		(− 2.82)		(0.35)
Loss		− 0.0032***		− 0.0025
		(− 2.68)		(− 1.20)
Age		− 0.0015***		− 0.0018**
		(− 3.38)		(− 2.45)
Opinion		0.0152***		0.0159***
		(5.75)		(4.60)
Analyst		− 0.0005		0.0014***
		(− 1.53)		(2.79)
Turnover		0.0001		0.0000
		(0.60)		(0.03)
_cons	− 0.0208***	− 0.1094***	− 0.0649***	− 0.1617***
	(− 7.74)	(− 12.55)	(− 15.87)	(− 12.72)
Industry	Yes	Yes	Yes	Yes
Year	Yes	Yes	Yes	Yes
N	17,086	17,086	17,086	17,086
adj. R²	0.061	0.082	0.256	0.270

We substitute Delay and AR_abs for DailySprd1 or DailySprd2 as the proxies for market efficiency. Based on Chordia et al. (2005), we measure market efficiency by constructing the absolute value of autocorrelation between daily returns based on daily close prices and their one-period lags (AR_abs)
***, **, and * denote significance at the 1%, 5%, and 10% levels, respectively

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