Table 6.

Price stability surrounding the STOCK Act amendment

	Ln(Garch Volatility)		Ln(Range Volatility)		Ln(Noise)
	[1]	[2]	[3]	[4]	[5]	[6]
After	0.026***	− 0.058***	0.051***	0.035***	0.021***	0.040**
	(8.635)	(− 18.526)	(12.275)	(3.280)	(4.352)	(2.502)
Congress	− 0.127***		− 0.146***		− 0.167***
	(− 13.922)		(− 4.043)		(− 3.749)
After × Congress	0.028**	0.032*	0.084***	0.083***	0.114***	0.116***
	(2.143)	(1.771)	(3.829)	(4.313)	(3.261)	(3.420)
Ln(Price)		− 0.024		− 0.280***		− 0.401***
		(− 1.516)		(− 6.037)		(− 7.400)
Ln(MCAP)		− 0.016		0.084**		0.153***
		(− 1.498)		(2.313)		(3.756)
Ln(Turnover)		0.023***		0.279***		0.260***
		(19.971)		(61.299)		(60.578)
Constant	− 4.327***	− 4.091***	− 4.195***	− 1.915***	− 4.952***	− 2.339***
	(− 2012.964)	(− 74.660)	(− 451.989)	(− 11.863)	(− 520.834)	(− 12.629)
Day FE	No	Yes	No	Yes	No	Yes
Stock FE	No	Yes	No	Yes	No	Yes
R2	0.001	0.044	0.001	0.166	0.000	0.065
N	221,193	221,193	217,536	217,536	201,865	201,865

The table reports the results from estimating the following equation using pooled stock-day observations for the 41 days surrounding the STOCK Act Amendment on April 15, 2013:

$Ln({\mathit{PriceStability}}_{i,t})=\alpha +{\delta }_t+{\gamma }_i+{\beta }_1{\mathit{After}}_t+{\beta }_2{\mathit{Congress}}_i+{\beta }_3{\mathit{After}}_t\times {\mathit{Congress}}_i+{\beta }_{4}Ln\left({\mathit{Price}}_{i,t}\right)+{\beta }_{5}Ln\left({\mathit{MCAP}}_{i,t}\right)+{\beta }_{6}Ln\left(T,u,r,n,o,v,e,r\right)+{\epsilon }_{i,t},$

where the dependent variable is set to one of three measures of price stability: Ln(Garch (1,1)), Ln(Range Volatility), or Ln(Noise). Garch Volatility is the volatility of stock returns obtained by fitting returns to a Garch (1,1) model. Range Volatility is measured as the log of the daily high ask price minus the log of the daily low bid price. When an open price is greater (less) than the closing price, Noise is the sum of the difference between the intraday high price less the open price (closing price) and the closing price (opening price) less the intraday low price, scaled by the midpoint between the open price and the closing price. After is an indicator variable equal to one if the stock/day observation takes place after April 15, 2013, and zero otherwise. Congress equals unity if the stock is one of the 49 securities held most by Congress (see Table 1) and zero for all other CRSP securities. We include as control variables: Ln(Price) is the natural log of the average daily closing price. Ln(MCAP) is the natural log of market capitalization, or price times shares outstanding. Ln(Turnover) is the natural log of the daily number of shares traded over shares outstanding. We also include day fixed effects (${\delta }_t$) and stock fixed effects (${\gamma }_i$). T-statistics are reported in parentheses obtained from robust standard errors clustered at the stock level

*, **, *** denote statistical significance at the 0.01, 0.05, and 0.10 levels, respectively