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

Table 4.

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

	Europe		America		Asia-Pacific		Africa		Developed		Emerging
	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)	(11)	(12)
	$C S S D$	$C S A D$	$C S S D$	$C S A D$	$C S S D$	$C S A D$	$C S S D$	$C S A D$	$C S S D$	$C S A D$	$C S S D$	$C S A D$
$\| R_{m} \|$	0.2005***	0.1651***	0.4105**	0.2750**	0.5225***	0.4245***	0.5615***	0.3808***	0.3976***	0.3163***	0.5487***	0.4297***
	(0.0400)	(0.0314)	(0.1597)	(0.1232)	(0.0702)	(0.0558)	(0.1001)	(0.0674)	(0.0435)	(0.0340)	(0.0670)	(0.0530)
$R_{m}^{2}$	−0.0138**	−0.0142***	−0.0304	−0.0235	−0.0524***	−0.0448***	−0.0503***	−0.0370***	−0.0358***	−0.0317***	−0.0519***	−0.0432***
	(0.0062)	(0.0046)	(0.0227)	(0.0174)	(0.0098)	(0.0076)	(0.0161)	(0.0107)	(0.0069)	(0.0051)	(0.0099)	(0.0076)
$I N D E X$	0.0163***	0.0121***	0.0339***	0.0295***	0.0143***	0.0101***	0.0157***	0.0122***	0.0140***	0.0109***	0.0149***	0.0110***
	(0.0011)	(0.0009)	(0.0037)	(0.0030)	(0.0015)	(0.0012)	(0.0030)	(0.0020)	(0.0011)	(0.0009)	(0.0015)	(0.0012)
$E S M A N$	0.3377***	0.2719***							0.1650*	0.1038	−0.0125	0.0416
	(0.0769)	(0.0597)							(0.0880)	(0.0686)	(0.1209)	(0.1042)
$E S M A B$	1.1926***	0.8961***							1.3580***	1.0168***
	(0.2438)	(0.2104)							(0.2425)	(0.2086)
$V I X$	−0.6904***	−0.5350***	−1.8223***	−1.3070***	−1.8295***	−1.4420***	−2.0449***	−1.3711***	−1.2689***	−0.9583***	−1.9560***	−1.5302***
	(0.1366)	(0.1020)	(0.6570)	(0.4950)	(0.2039)	(0.1566)	(0.3370)	(0.2200)	(0.1511)	(0.1122)	(0.2327)	(0.1782)
$C O N S T A N T$	0.7409***	0.5720***	1.7116***	1.3120***	0.5682***	0.4392***	0.7413***	0.5720***	0.6620***	0.5093***	0.9527***	0.7281***
	(0.0141)	(0.0111)	(0.1190)	(0.0908)	(0.0295)	(0.0232)	(0.0388)	(0.0255)	(0.0167)	(0.0133)	(0.0401)	(0.0309)
Obs	1687	1687	372	372	1054	1054	268	268	1789	1789	1583	1583
$R^{2}$ Adjusted	0.6711	0.6530	0.3395	0.3709	0.4590	0.4383	0.5761	0.6015	0.5786	0.5604	0.2921	0.2775

Notes: Table 4 reports the coefficient estimates based of Eq. (3). Results for the European subsample (American, Asia-Pacific, African, Developed, Emerging) are summarised in Columns 1 and 2 (3 and 4, 5 and 6, 7 and 8, 9 and 10, 11 and 12). $C S S D$ 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. Robust standard errors are reported in parentheses. Asterisks ***,**,* denote the 1%, 5%, 10% significance levels, respectively.