. 2021 Jan 12;74:101663. doi: 10.1016/j.irfa.2021.101663

Table 10.

Regressions: Principal Components of the Stringency Index and short-selling restrictions on herding behaviour.

	(1)	(2)
	$C S S D$	$C S A D$
$\| R_{m} \|$	0.5932***	0.4548***
	(0.0330)	(0.0251)
$R_{m}^{2}$	−0.0538***	−0.0443***
	(0.0049)	(0.0036)
$P C_{1}$	0.1506***	0.1211***
	(0.0108)	(0.0086)
$P C_{2}$	0.0078*	0.0157***
	(0.0044)	(0.0035)
$P C_{3}$	0.0481***	0.0425***
	(0.0164)	(0.0131)
$E S M A N$	0.3972***	0.2739***
	(0.0770)	(0.0569)
$E S M A B$	1.0440***	0.7866***
	(0.2400)	(0.2068)
$V I X$	−2.0067***	−1.4996***
	(0.1174)	(0.0856)
$C O N S T A N T$	0.8815***	0.6819***
	(0.0208)	(0.0159)
$R E G I O N$	YES	YES
Obs	4103	4103
$R^{2}$ Adjusted	0.5035	0.5086

Notes: Table 10 summarises the coefficient estimates based on Eq. (3). The Stringency Index variable is substituted with the first three principal components from Eq. (7). The structure of the principal components is reported in Table 9. $C S S D$ is computed by means of Eq. (1), and $C S A D$ is computed by means of Eq. (2). $| R_{m} |$ is the market return in absolute value, and $R_{m}^{2}$ is the squared market return. $E S M A N$ and $E S M A B$ are the dummy variables corresponding to short-selling notification and short-selling ban, respectively. $V I X$ represents the uncertainty of the sophisticated derivatives’ market participants regarding the short-term expected market volatility. $C O N S T A N T$ is the regression constant term. $R E G I O N$ is the dummy variable that takes on value one if the country is located in a given region (Europe, America, Asia-Pacific, Africa), and takes on value 0 otherwise. Robust standard errors are reported in parentheses. Asterisks ***,**,* denote the 1%, 5%, 10% significance levels, respectively.