Table 4 Changes in RRS and its absolute value of ewma-Volatility and sma60-Volatility around effective addition events
From: Short selling and intraday volatility: evidence from the Chinese market
Pre-event | Post-event | t test | |
|---|---|---|---|
Panel A: RRS | |||
RRSV-ewma | 0.5397 | 0.5033 | 15.8478*** |
RRSV-sma60 | 0.5461 | 0.5190 | 18.1501*** |
Panel B: Absolute value | |||
ewma-volatility | 0.0250 | 0.0251 | −0.3186 |
Sma60-volatility | 0.0252 | 0.0252 | 0.1468 |