Table 2 Changes in RRS and its absolute value around effective addition events
From: Short selling and intraday volatility: evidence from the Chinese market
Pre-event | Post-event | t test | |
|---|---|---|---|
Panel A: RRS | |||
RRSR | 0.5126 | 0.4994 | 1.9112 |
RRSTV | 0.2913 | 0.2979 | −1.6735 |
RRSV | 0.5307 | 0.4964 | 7.6690*** |
Panel B: Absolute value | |||
Returns | 0.0031 | −0.00075 | 1.7223 |
Trading volume | 1.5598 × 107 | 1.3276 × 107 | 7.0037*** |
Garch-volatility | 0.0263 | 0.0263 | −0.2241 |