Table F.1.

Difference-in-differences regression for U.K. and U.S. ETFs (placebo widening in March, 2019) .

	Quoted spread	Effective spread	Realized spread	Price impact
U.K.	7.00	0.77${}^{\mathrm{\ast \ast \ast }}$	0.08	0.68${}^{\mathrm{\ast }}$
	(4.34)	(0.05)	(0.40)	(0.41)
Margin increase	3.93	−0.01	−0.10	0.09
	(5.09)	(0.06)	(0.47)	(0.48)
U.K. × Margin increase	0.31	0.04	0.42	−0.37
	(6.19)	(0.07)	(0.57)	(0.58)
Volatility	−1,770.74	9.69	31.62	−23.00
	(1,403.45)	(15.24)	(130.36)	(131.66)
Return	454.92	2.55	−4.16	7.31
	(757.73)	(8.23)	(70.38)	(71.09)
Constant	4.42	0.14${}^{\mathrm{\ast \ast \ast }}$	−0.04	0.19
	(4.69)	(0.05)	(0.44)	(0.44)
Observations	80	80	80	80
${\overline{\text{R}}}^2$	0.07	0.88	−0.04	−0.01

The table reports the changes to liquidity measures around the placebo widening of the margin differential for the CSPX.L (U.K.) and SPY (U.S.), which are ETFs that track the performance of the S&P 500, traded on the LSE and NYSE, respectively. Specifically, we report the results for the following difference-in-differences regression:

${Liquidity}_{i,t}={\alpha }_0+{\beta }_1{U.K.}_{i,t}+{\beta }_2{Marginincrease}_t+{\beta }_3{U.K.}_{i,t}\times {Marginincrease}_t+{Volatility}_{i,t}+{Return}_{i,t}+{\varepsilon }_{i,t}$,

where ${Liquidity}_{i,t}$ is one of the following liquidity variables: Quoted spread, Effective spread, Realized spread or Price impact for the U.S. or U.K. ETF, $i$. The dependent variables are calculated over one hour intervals, and are expressed in basis points. ${UK}_{i,t}$ is an indicator variable equal to 1 if the ETF trades in the U.K., and 0 otherwise. Margin increase is an indicator variable equal to 1 for the period March 25 to March 29, 2020 and 0 for the period March 11 to March 15, 2020. $Volatilit{y}_{i,t}$ and $Retur{n}_{i,t}$ are based on the FTSE 100 and S&P 500 index levels for the U.K. and U.S. markets, respectively. $Volatilit{y}_{i,t}$ and $Retur{n}_{i,t}$ are calculated over one-hour intervals as $log({HighPrice}_{i,t}/{LowPrice}_{i,t})$ and $log({ClosePrice}_{i,t}/{OpenPrice}_{i,t})$, respectively. ***, **, and * denote statistical significance at the 1%, 5%, and 10% levels, respectively.