Table 9.

Changes in the order to trade ratio around the COVID-19 pandemic .

	Canada	Hong Kong	Norway	Sweden	U.K.
High margin	−134.6${}^{\mathrm{\ast \ast }}$	1.8${}^{\mathrm{\ast \ast \ast }}$	16.2${}^{\mathrm{\ast \ast \ast }}$	11.2${}^{\mathrm{\ast \ast \ast }}$	24.4${}^{\mathrm{\ast \ast \ast }}$
	(56.2)	(0.4)	(3.1)	(1.4)	(1.6)
Index constituent	39.4	4.8${}^{\mathrm{\ast \ast \ast }}$	22.2${}^{\mathrm{\ast \ast \ast }}$	30.4${}^{\mathrm{\ast \ast \ast }}$	30.2${}^{\mathrm{\ast \ast \ast }}$
	(102.9)	(0.8)	(4.8)	(2.3)	(2.6)
High margin × Index constituent	118.1	−1.9${}^{\mathrm{\ast }}$	−11.1${}^{\mathrm{\ast \ast }}$	−20.6${}^{\mathrm{\ast \ast \ast }}$	−38.0${}^{\mathrm{\ast \ast \ast }}$
	(123.3)	(1.1)	(5.2)	(2.6)	(2.9)
Volume	−57.4${}^{\mathrm{\ast \ast \ast }}$	−3.6${}^{\mathrm{\ast \ast \ast }}$	−14.2${}^{\mathrm{\ast \ast \ast }}$	−12.0${}^{\mathrm{\ast \ast \ast }}$	−11.1${}^{\mathrm{\ast \ast \ast }}$
	(18.0)	(0.1)	(1.2)	(0.5)	(0.6)
Return	0.2	−0.01	−2.1${}^{\mathrm{\ast \ast \ast }}$	0.01	0.3
	(5.4)	(0.1)	(0.4)	(0.2)	(0.2)
Constant	1,102.9${}^{\mathrm{\ast \ast \ast }}$	159.4${}^{\mathrm{\ast \ast \ast }}$	318.1${}^{\mathrm{\ast \ast \ast }}$	279.6${}^{\mathrm{\ast \ast \ast }}$	268.5${}^{\mathrm{\ast \ast \ast }}$
	(271.2)	(2.4)	(16.8)	(7.1)	(8.9)
Observations	11,908	11,200	2,933	8,133	13,631
${\overline{\text{R}}}^2$	0.001	0.1	0.1	0.1	0.1

The table reports changes to order to trade ratio (OTR) around the COVID-19 pandemic for index and non-index stocks in global markets. Specifically, we report the results for the following difference-in-differences regression:

$\begin{array}{ccc}\hfill OT{R}_{i,t}& \hfill =\hfill & {\alpha }_0+{\beta }_{1}Highmargi{n}_t+{\beta }_{2}Indexconstituen{t}_i\hfill \\ \hfill & \hfill +\hfill & {\beta }_{3}Highmargin\times Indexconstituen{t}_{i,t}\hfill \\ \hfill & \hfill +\hfill & {\beta }_{4}Volum{e}_{i,t}+{\beta }_{5}Retur{n}_{i,t}+{\varepsilon }_{i,t}\hfill \end{array}$

where $OT{R}_{i,t}$ is the sum of the number of asks and bid updates at the top of book, divided by the number of trades for stock i on day t, normalized based on the average of January OTRs. High margin is an indicator variable equal to 1 for the period after the World Health Organization declares the COVID-19 outbreak a pandemic (March 11–April 11, 2020), and 0 for the pre-pandemic period (February 11–March 10, 2020). Index constituent is an indicator variable equal to 1 if the stock belongs in the main market index for the stock’s listing market as outlined in Table 1. Volume is the natural logarithm of the daily number of shares traded in the stock. Return is the percentage return for the main stock market index for the stock’s listing market as outlined in Table 1. The estimation uses data for Canada, Hong Kong, Norway, Sweden and U.K. ***, **, and * denote statistical significance at the 1%, 5%, and 10% levels, respectively.