Table 6 Robustness test after substituting AT proxy variables
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 \(Volatility_{i,t}\) | ||||||||
Pooled | −18.511*** | 3.243*** | −0.552*** | −403.758*** | 1.790*** | 0.290*** | ||
(−12.92) | (9.85) | (−10.12) | (−13.89) | (20.45) | (21.02) | |||
GEM | −14.087*** | 5.819*** | −0.953*** | −342.227*** | 1.743*** | 0.275*** | ||
(−6.41) | (4.23) | (−3.61) | (−6.21) | (13.56) | (15.18) | |||
MBM | −27.253*** | 3.258*** | −0.491*** | −599.643*** | 2.125*** | 0.342*** | ||
(−12.28) | (11.54) | (−11.36) | (−12.09) | (8.48) | (15.45) | |||
SME | −17.350*** | 3.288*** | −0.628*** | −336.498*** | 1.632*** | 0.292*** | ||
(−7.64) | (5.23) | (−4.90) | (−9.23) | (12.50) | (13.20) | |||
Panel B: Impact of AT on \(Sentiment_{i,t}\) | ||||||||
Pooled | −0.336*** | 0.038*** | −0.003 | −7.023*** | 0.004*** | 0.005*** | ||
(−11.98) | (4.27) | (−0.89) | (−12.08) | (2.67) | (19.13) | |||
GEM | −0.384*** | 0.045*** | 0.011** | −8.718*** | 0.002 | 0.007*** | ||
(−7.22) | (2.97) | (2.55) | (−6.81) | (0.76) | (14.61) | |||
MBM | −0.258*** | 0.023*** | −0.002 | −7.020*** | 0.011*** | 0.003*** | ||
(−7.07) | (3.75) | (−1.53) | (−8.00) | (4.00) | (8.92) | |||
SME | −0.288*** | 0.017*** | 0.006** | −6.136*** | 0.004** | 0.005*** | ||
(−6.94) | (2.58) | (2.13) | (−8.66) | (2.01) | (12.11) | |||
Panel C: Impact of AT and \(Sentiment_{i,t}\) on \(Herds_{i,t}\) | ||||||||
Pooled | −6.959*** | 0.646*** | 0.771*** | −0.079*** | −115.307*** | 0.091*** | 0.076*** | |
(−17.65) | (9.27) | (15.84) | (−6.25) | (−20.11) | (4.95) | (18.34) | ||
GEM | −5.789*** | 1.029*** | 0.706*** | 0.036 | −107.101*** | 0.051* | 0.065*** | |
(−10.95) | (8.02) | (4.01) | (0.81) | (−12.23) | (1.89) | (11.39) | ||
MBM | −7.215*** | −0.267** | 0.736*** | −0.082*** | −123.412*** | 0.161*** | 0.078*** | |
(−10.62) | (−2.11) | (10.26) | (−8.17) | (−12.26) | (3.41) | (10.85) | ||
SME | −7.642*** | 0.449*** | 0.889*** | −0.060*** | −126.176*** | 0.111*** | 0.084*** | |
(−10.55) | (4.25) | (9.53) | (−2.81) | (−12.67) | (3.80) | (11.06) | ||
Panel D: Impact of AT, \(Sentiment_{i,t}\) and \(Herds_{i,t}\) on \(Volatility_{i,t}\) | ||||||||
Pooled | −12.834*** | 14.706*** | 0.103*** | 2.595*** | −0.501*** | −288.112*** | 1.720*** | 0.204*** |
(−11.96) | (22.80) | (35.88) | (9.53) | (−6.83) | (−13.10) | (19.81) | (17.45) | |
GEM | −7.897*** | 14.587*** | 0.096*** | 5.098*** | −1.113*** | −203.937*** | 1.710*** | 0.168*** |
(−5.40) | (10.86) | (20.75) | (4.02) | (−3.90) | (−5.67) | (13.40) | (9.12) | |
MBM | −23.436*** | 11.713*** | 0.111*** | 2.909*** | −0.456*** | −503.894*** | 1.979*** | 0.294*** |
(−11.70) | (6.79) | (17.36) | (11.79) | (−9.68) | (−10.91) | (8.04) | (14.24) | |
SME | −12.433*** | 14.276*** | 0.103*** | 2.945*** | −0.702*** | −235.608*** | 1.563*** | 0.211*** |
(−7.24) | (18.86) | (22.97) | (5.13) | (−5.31) | (−7.94) | (11.89) | (11.70) | |
