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

Table 3.

Regressions: Stringency Index and short-selling restrictions on herding behaviour.

	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
	$C S S D$	$C S A D$	$C S S D$	$C S A D$	$C S S D$	$C S A D$	$C S S D$	$C S A D$
$\| R_{m} \|$	0.8440***	0.6506***	0.2853***	0.2269***	0.2812***	0.2235***	0.4002***	0.3151***
	(0.0267)	(0.0204)	(0.0301)	(0.0233)	(0.0300)	(0.0232)	(0.0316)	(0.0244)
$R_{m}^{2}$	−0.1006***	−0.0803***	−0.0334***	−0.0292***	−0.0314***	−0.0276***	−0.0379***	−0.0326***
	(0.0047)	(0.0036)	(0.0049)	(0.0038)	(0.0049)	(0.0038)	(0.0049)	(0.0038)
$I N D E X$			0.0228***	0.0174***	0.0204***	0.0156***	0.0202***	0.0154***
			(0.0006)	(0.0005)	(0.0007)	(0.0005)	(0.0007)	(0.0005)
$E S M A N$					0.1111	0.0879	0.0569	0.0462
					(0.0675)	(0.0704)	(0.0556)	(0.0518)
$E S M A B$					1.1028***	0.8185***	1.1303***	0.8395***
					(0.1202)	(0.0931)	(0.1186)	(0.0919)
$V I X$							−1.4205***	−1.0915***
							(0.1297)	(0.1004)
$C O N S T A N T$	0.7591***	0.5791***	0.6678***	0.5153***	0.6571***	0.5071***	0.6574***	0.5071***
	(0.0235)	(0.0179)	(0.0233)	(0.0181)	(0.0231)	(0.0179)	(0.0232)	(0.0180)
$R E G I O N$	YES	YES	YES	YES	YES	YES	YES	YES
Obs	4536	4536	3434	3434	3434	3434	3381	3381
$R^{2}$ Adjusted	0.3008	0.3015	0.5166	0.5115	0.5313	0.5254	0.5326	0.5275

Notes: Table 3 reports the coefficient estimates of Eq. (3). $C S S D$ 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. $I N D E X$ denotes the Oxford Government Response Stringency Index, $E S M A N$ 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.