Table 5.
Regression results for stock market liquidity.
| VARIABLES | (1) |
(2) |
(3) |
(4) |
(5) |
(6) |
(7) |
(8) |
|
|---|---|---|---|---|---|---|---|---|---|
| Liquidity | Liquidity | ||||||||
| L12. FTSEE | 6.29e−05 | ||||||||
| (8.88e−05) | |||||||||
| L12. FTSES | −0.00012 | ||||||||
| (8.85e−05) | |||||||||
| L12. FTSEG | 0.00012 | ||||||||
| (8.27e−05) | |||||||||
| L12. FTSEESG | 1.11e−05 | ||||||||
| (0.000113) | |||||||||
| L12. FTSEE*Covid | 7.70e−06⁎⁎⁎ | ||||||||
| (1.28e−06) | |||||||||
| L12. FTSES*Covid | 7.33e−06⁎⁎⁎ | ||||||||
| (1.47e−06) | |||||||||
| L12. FTSEG*Covid | 3.36e−06⁎⁎ | ||||||||
| (1.32e−06) | |||||||||
| L12. FTSEESG*Covid | 6.53e−06⁎⁎⁎ | ||||||||
| (1.41e−06) | |||||||||
| L12.SPE | 1.00e−06 | ||||||||
| (4.93e−06) | |||||||||
| L12.SPS | 1.01e−06 | ||||||||
| (4.92e−06) | |||||||||
| L12.SPG | 5.78e−06 | ||||||||
| (4.89e−06) | |||||||||
| L12. SPESG | 6.01e−06 | ||||||||
| (5.47e−06) | |||||||||
| L12.SPE*Covid | 7.07e−06⁎⁎⁎ | ||||||||
| (1.34e−06) | |||||||||
| L12.SPS*Covid | 6.21e−06⁎⁎⁎ | ||||||||
| (1.54e−06) | |||||||||
| L12.SPG*Covid | 3.25e−06⁎⁎ | ||||||||
| (1.37e−06) | |||||||||
| L12. SPESG*Covid | 5.95e−06⁎⁎⁎ | ||||||||
| (1.47e−06) | |||||||||
| L.ROA | −0.00115 | −0.000872 | −0.000701 | −0.000960 | −0.00283 | −0.00276 | −0.00259 | −0.00279 | |
| (0.00166) | (0.00166) | (0.00166) | (0.00166) | (0.00180) | (0.00180) | (0.00180) | (0.00180) | ||
| L. Asset | −0.00418⁎⁎⁎ | −0.00405⁎⁎⁎ | −0.00424⁎⁎⁎ | −0.00416⁎⁎⁎ | −0.00399⁎⁎⁎ | −0.00391⁎⁎⁎ | −0.00377⁎⁎⁎ | −0.00386⁎⁎⁎ | |
| (0.000436) | (0.000437) | (0.000439) | (0.000440) | (0.000500) | (0.000498) | (0.000501) | (0.000498) | ||
| L.Debt | 0.00428⁎⁎⁎ | 0.00412⁎⁎⁎ | 0.00401⁎⁎⁎ | 0.00417⁎⁎⁎ | 0.00316⁎⁎⁎ | 0.00306⁎⁎⁎ | 0.00283⁎⁎⁎ | 0.00304⁎⁎⁎ | |
| (0.000830) | (0.000829) | (0.000830) | (0.000830) | (0.000913) | (0.000913) | (0.000914) | (0.000914) | ||
| L.BM | −0.00025⁎⁎⁎ | −0.00024⁎⁎⁎ | −0.00022⁎⁎⁎ | −0.00024⁎⁎⁎ | −0.00024⁎⁎⁎ | −0.00023⁎⁎⁎ | −0.00019⁎⁎⁎ | −0.00023⁎⁎⁎ | |
| (5.87e−05) | (5.91e−05) | (5.93e−05) | (5.92e−05) | (6.35e−05) | (6.40e−05) | (6.44e−05) | (6.41e−05) | ||
| L. Growth | 0.000172 | 0.000189 | 0.000262⁎ | 0.000198 | 0.000122 | 0.000152 | 0.000180 | 0.000139 | |
| (0.000157) | (0.000157) | (0.000157) | (0.000157) | (0.000164) | (0.000164) | (0.000165) | (0.000165) | ||
| Covid | −1.4e−05⁎⁎⁎ | −1.0e−05⁎⁎⁎ | −1.0e−05⁎⁎⁎ | −1.3e−05⁎⁎⁎ | −1.4e−05⁎⁎⁎ | −1.0e−05⁎⁎⁎ | −7.7e−06⁎⁎ | −1.1e−05⁎⁎⁎ | |
| (2.85e−06) | (2.87e−06) | (2.97e−06) | (2.97e−06) | (3.12e−06) | (3.11e−06) | (3.23e−06) | (3.17e−06) | ||
| Constant | 0.0413⁎⁎⁎ | 0.0407⁎⁎⁎ | 0.0417⁎⁎⁎ | 0.0413⁎⁎⁎ | 0.0401⁎⁎⁎ | 0.0396⁎⁎⁎ | 0.0383⁎⁎⁎ | 0.0391⁎⁎⁎ | |
| (0.00395) | (0.00396) | (0.00397) | (0.00397) | (0.00458) | (0.00458) | (0.00463) | (0.00458) | ||
| Industry effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |
| Observations | 20,678 | 20,678 | 20,678 | 20,678 | 18,531 | 18,531 | 18,531 | 18,531 | |
| R-squared | 0.010 | 0.010 | 0.009 | 0.009 | 0.008 | 0.007 | 0.006 | 0.007 | |
| Number of firms | 376 | 376 | 376 | 376 | 362 | 362 | 362 | 362 | |
Note: Standard errors in parentheses.
*
Indicate significance at the 10% levels.
**
Indicate significance at the 5% levels.
***
Indicate significance at the 1% levels.
Authors based on estimation of Eqs. (5).