Table 4 Parameter estimation for the serial multiple mediation model
From: Research on the impact of algorithmic trading on market volatility
Control variables | ||||||||
|---|---|---|---|---|---|---|---|---|
Sample | \(\widehat{AT}_{i,t}\) | \(Sentiment_{i,t}\) | \(Herds_{i,t}\) | \(Depth1_{i,t}\) | \(Depth5_{i,t}\) | \(1/P_{i,t}\) | \(RQS_{i,t}\) | \(Vol_{i,t}\) |
Panel A: Impact of AT on \(Sentiment_{i,t}\) | ||||||||
Pooled | −0.015*** | −0.010 | 0.002 | 0.106 | −0.005*** | 0.001*** | ||
(−12.08) | (−1.15) | (0.72) | (0.25) | (−3.33) | (5.14) | |||
GEM | −0.017*** | −0.010 | 0.016*** | −0.569 | −−0.008*** | 0.002*** | ||
(−7.29) | (−0.88) | (3.98) | (−0.80) | (−3.44) | (3.63) | |||
MBM | −0.011*** | −0.014*** | 0.002 | −1.572** | 0.004 | 0.000 | ||
(−7.20) | (−2.80) | (1.17) | (−2.57) | (1.61) | (0.77) | |||
SME | −0.013*** | −0.024*** | 0.010*** | −0.020 | −0.004** | 0.001*** | ||
(−6.99) | (−3.67) | (3.76) | (−0.03) | (−2.03) | (5.35) | |||
Panel B: Impact of AT and \(Sentiment_{i,t}\) on \(Herds_{i,t}\) | ||||||||
Pooled | −0.306*** | 0.642*** | −0.216*** | 0.027** | 30.938*** | −0.090*** | −0.011*** | |
(−17.67) | (9.21) | (−6.79) | (2.35) | (7.05) | (−5.70) | (−11.60) | ||
GEM | −0.253*** | 1.026*** | −0.116 | 0.123*** | 14.304** | −0.100*** | −0.008*** | |
(−10.95) | (7.99) | (−0.73) | (2.84) | (2.03) | (−4.18) | (−4.82) | ||
MBM | −0.319*** | −0.268** | −0.290*** | 0.028*** | 28.643*** | −0.027 | −0.013*** | |
(−10.65) | (−2.13) | (−6.87) | (3.81) | (3.10) | (−0.58) | (−8.74) | ||
SME | −0.336*** | 0.445*** | −0.195*** | 0.056*** | 34.455*** | −0.088*** | −0.012*** | |
(−10.56) | (4.21) | (−3.21) | (2.88) | (4.71) | (−3.68) | (−6.90) | ||
Panel C: Impact of AT, \(Sentiment_{i,t}\) and \(Herds_{i,t}\) on \(Volatility_{i,t}\) | ||||||||
Pooled | −0.562*** | 14.700*** | 0.103*** | 0.776*** | −0.306*** | −18.649 | 1.386*** | 0.043*** |
(−11.94) | (22.80) | (35.93) | (2.96) | (−4.14) | (−1.07) | (16.59) | (5.73) | |
GEM | −0.343*** | 14.584*** | 0.096*** | 3.977*** | −0.994*** | −38.575 | 1.505*** | 0.070*** |
(−5.38) | (10.86) | (20.77) | (3.20) | (−3.48) | (−1.43) | (12.32) | (3.92) | |
MBM | −1.036*** | 11.709*** | 0.111*** | −0.421** | −0.098** | −10.216 | 1.371*** | 0.000 |
(−11.73) | (6.79) | (17.36) | (−2.01) | (−2.05) | (−0.28) | (5.69) | (0.01) | |
SME | −0.544*** | 14.272*** | 0.103*** | 1.184** | −0.513*** | 25.196 | 1.238*** | 0.055*** |
(−7.22) | (18.85) | (22.99) | (2.16) | (−3.91) | (0.98) | (9.75) | (5.59) | |
