Table 5 Serial multiple mediation models under different market conditions
From: Research on the impact of algorithmic trading on market volatility
\(\widehat{AT}_{i,t}\) | \(Sentiment_{i,t}\) | \(Herds_{i,t}\) | ||||
|---|---|---|---|---|---|---|
Sample | \(\beta\) | \(\phi\) | \(\beta\) | \(\phi\) | \(\beta\) | \(\phi\) |
Panel A: Impact of AT on \(Volatility_{i,t}\) | ||||||
Pooled | −0.941*** | 0.181* | ||||
(−12.89) | (1.76) | |||||
GEM | −0.677*** | 0.034 | ||||
(−4.31) | (0.19) | |||||
MBM | −1.176*** | −0.055 | ||||
(−9.01) | (−0.32) | |||||
SME | −0.996*** | 0.371*** | ||||
(−9.43) | (2.59) | |||||
Panel B: Impact of AT on \(Sentiment_{i,t}\) | ||||||
Pooled | −0.025*** | 0.015*** | ||||
(−17.17) | (8.48) | |||||
GEM | −0.029*** | 0.019*** | ||||
(−9.89) | (5.61) | |||||
MBM | −0.017*** | 0.009** | ||||
(−5.29) | (2.56) | |||||
SME | −0.022*** | 0.014*** | ||||
(−12.18) | (6.08) | |||||
Panel C: Impact of AT and Sentiment on \(Herds_{i,t}\) | ||||||
Pooled | −0.398*** | 0.145*** | 0.550*** | −0.017 | ||
(−20.30) | (5.03) | (6.91) | (−0.18) | |||
GEM | −0.330*** | 0.122*** | 1.013*** | −0.215 | ||
(−10.45) | (2.96) | (8.13) | (−1.36) | |||
MBM | −0.372*** | 0.091 | −0.502*** | 0.352* | ||
(−7.87) | (1.44) | (−2.95) | (1.65) | |||
SME | −0.470*** | 0.200*** | 0.338*** | −0.089 | ||
(−17.33) | (4.32) | (2.93) | (−0.66) | |||
Panel D: Impact of AT,\(Sentiment_{i,t}\) and \(Herds_{i,t}\) on \(Volatility_{i,t}\) | ||||||
Pooled | −0.476*** | −0.154* | 16.659*** | −4.877*** | 0.113*** | −0.021*** |
(−7.48) | (−1.72) | (19.39) | (−4.56) | (29.47) | (−3.62) | |
GEM | −0.107 | −0.412*** | 17.640*** | −7.331*** | 0.117*** | −0.039*** |
(−0.94) | (−2.90) | (11.59) | (−4.60) | (17.29) | (−3.59) | |
MBM | −0.924*** | −0.205 | 12.779*** | −2.402 | 0.103*** | 0.012 |
(−7.64) | (−1.22) | (5.40) | (−0.71) | (13.34) | (1.09) | |
SME | −0.584*** | 0.064 | 15.967*** | −5.026*** | 0.110*** | −0.018** |
(−6.14) | (0.50) | (16.56) | (−4.64) | (18.65) | (−2.03) | |
