Table 2 Second-stage regression of volatility on AT

From: Research on the impact of algorithmic trading on market volatility

  

Control variables

Sample

\(\widehat{AT}_{i,t}\)

\(Depth1_{i,t}\)

\(Depth5_{i,t}\)

\(1/P_{i,t}\)

\(RQS_{i,t}\)

\(Vol_{i,t}\)

Panel A: Impact of AT on \(Volatility_{i,t}\)

Pooled

−0.817***

0.613*

−0.269***

−13.897

1.307***

0.058***

 

(−12.91)

(1.95)

(−4.81)

(−0.66)

(15.90)

(5.77)

GEM

−0.621***

3.817***

−0.741***

−45.558

1.377***

0.099***

 

(−6.40)

(2.91)

(−2.81)

(−1.45)

(11.35)

(4.24)

MBM

−1.205***

−0.615**

−0.075*

−25.385

1.418***

0.000

 

(−12.31)

(−2.53)

(−1.70)

(−0.66)

(5.80)

(0.02)

SME

−0.764***

0.826

−0.365***

28.473

1.178***

0.074***

 

(−7.64)

(1.37)

(−2.84)

(0.90)

(9.62)

(5.84)

Panel B: Impact of AT on \(\left| {Pctchg} \right|_{i,t}\)

Pooled

−1.198***

11.514***

−1.939***

−123.384*

3.401***

0.262***

 

(−5.50)

(4.05)

(−5.06)

(−1.69)

(11.35)

(8.08)

GEM

0.104

44.431***

−4.482***

−472.252***

3.870***

0.408***

 

(0.33)

(4.27)

(−5.27)

(−4.21)

(9.45)

(5.39)

MBM

−3.288***

1.539

−0.570**

177.579

2.349**

0.043

 

(−9.56)

(0.98)

(−2.46)

(1.29)

(2.46)

(1.09)

SME

−1.260***

18.255***

−2.854***

4.471

3.023***

0.301***

 

(−3.32)

(4.01)

(−4.59)

(0.04)

(6.49)

(7.28)

Panel C: Impact of AT on \(Amplitude_{i,t}\)

Pooled

−3.852***

−0.625

−0.633***

−376.945***

7.685***

0.282***

 

(−11.41)

(−0.48)

(−2.81)

(−3.57)

(20.29)

(5.66)

GEM

−2.686***

4.626

−0.884

−558.808***

7.598***

0.485***

 

(−6.06)

(1.48)

(−0.92)

(−3.70)

(14.10)

(4.29)

MBM

−5.820***

−4.593***

−0.069

−453.549**

8.838***

−0.003

 

(−12.78)

(−4.71)

(−0.43)

(−2.38)

(7.40)

(−0.05)

SME

−3.636***

−2.008

−0.501

−211.237

7.494***

0.365***

 

(−6.30)

(−0.95)

(−1.05)

(−1.28)

(12.74)

(5.59)

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