Table G.1.

Changes in the order to trade ratio during August–September 2015 .

	Canada	Hong Kong	Norway	Sweden	U.K.
High Margin	−6.6${}^{\mathrm{\ast \ast \ast }}$	−2.3${}^{\mathrm{\ast \ast \ast }}$	−30.1${}^{\mathrm{\ast \ast }}$	5.2${}^{\mathrm{\ast \ast \ast }}$	10.1${}^{\mathrm{\ast \ast \ast }}$
	(1.0)	(0.7)	(13.3)	(1.5)	(0.8)
Index Constituent	5.8${}^{\mathrm{\ast \ast \ast }}$	10.4${}^{\mathrm{\ast \ast \ast }}$	45.3	6.3${}^{\mathrm{\ast \ast \ast }}$	1.3
	(2.2)	(1.5)	(28.5)	(2.4)	(1.2)
High margin × Index constituent	−2.4	8.6${}^{\mathrm{\ast \ast \ast }}$	40.9	−1.5	0.2
	(2.7)	(1.7)	(31.7)	(2.8)	(1.5)
Volume	−5.6${}^{\mathrm{\ast \ast \ast }}$	−4.6${}^{\mathrm{\ast \ast \ast }}$	−13.7${}^{\mathrm{\ast \ast \ast }}$	−2.7${}^{\mathrm{\ast \ast \ast }}$	−1.8${}^{\mathrm{\ast \ast \ast }}$
	(0.3)	(0.2)	(2.8)	(0.4)	(0.2)
Return	−0.6${}^{\mathrm{\ast }}$	0.8${}^{\mathrm{\ast \ast \ast }}$	2.9	−0.8${}^{\mathrm{\ast \ast }}$	−1.7${}^{\mathrm{\ast \ast \ast }}$
	(0.3)	(0.2)	(3.8)	(0.4)	(0.2)
Constant	189.4${}^{\mathrm{\ast \ast \ast }}$	176.1${}^{\mathrm{\ast \ast \ast }}$	318.4${}^{\mathrm{\ast \ast \ast }}$	145.4${}^{\mathrm{\ast \ast \ast }}$	133.0${}^{\mathrm{\ast \ast \ast }}$
	(4.8)	(3.8)	(39.6)	(6.3)	(3.2)
Observations	17,491	8,443	7,024	7,283	13,223
${\overline{\text{R}}}^2$	0.02	0.1	0.003	0.01	0.02

The table reports changes to the order to trade ratio (OTR) for a period during August to September 2015, when global stock markets declined, with no corresponding change to exchange margin requirements. 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 market decline (August 25–September 30, 2015), and 0 for the period immediately before the market decline (August 1–August 24, 2015). 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.