Table 3 Second-stage regression of liquidity on AT
From: Research on the impact of algorithmic trading on market volatility
Control variables | |||
|---|---|---|---|
Sample | \(\widehat{AT}_{i,t}\) | \(1/P_{i,t}\) | \(Vol_{i,t}\) |
Panel A: Impact of AT on \(RQS_{i,t}\) | |||
Pooled | −0.016*** | 86.502*** | −0.001*** |
(−3.69) | (62.94) | (−4.18) | |
GEM | −0.000 | 78.099*** | −0.000 |
(−0.05) | (28.38) | (−0.63) | |
MBM | −0.020*** | 92.444*** | −0.001*** |
(−4.37) | (35.93) | (−3.67) | |
SME | −0.028*** | 89.947*** | −0.002*** |
(−3.70) | (44.25) | (−4.04) | |
Panel B: Impact of AT on \(Depth1_{i,t}\) | |||
Pooled | −0.063*** | 20.323*** | −0.003** |
(−2.64) | (4.89) | (−2.34) | |
GEM | −0.007*** | 7.546*** | 0.000 |
(−2.60) | (3.16) | (0.58) | |
MBM | −0.216** | 48.782*** | −0.010** |
(−2.24) | (2.91) | (−2.26) | |
SME | −0.033*** | 17.178*** | −0.001** |
(−3.54) | (5.94) | (−2.38) | |
Panel C: Impact of AT on \(Depth5_{i,t}\) | |||
Pooled | −0.186** | 79.939*** | −0.006** |
(−2.25) | (5.27) | (−2.01) | |
GEM | −0.024*** | 45.478*** | 0.001* |
(−2.62) | (3.11) | (1.95) | |
MBM | −0.643* | 152.062** | −0.027* |
(−1.81) | (2.54) | (−1.91) | |
SME | −0.099*** | 78.056*** | −0.002* |
(−3.69) | (5.99) | (−1.66) | |
