Intercept
1/(Share Price)
1/(Number of Trades)
1/(Trade Size)
Return Volatility
Clustering
Adjusted R2
F-value
|
-0.0006
-1.18
0.0484
(6.17**)
5.2621
(6.39**)
48.4500
(4.07**)
0.0503
(3.97**)
0.0560
(9.96**)
0.6464
176.88**
|
-0.0007
(2.71**)
0.0533
(19.81**)
3.9750
(9.67**)
64.8947
(14.19**)
0.0415
(5.39**)
0.0200
(5.17**)
0.9140
1023.30**
|
0.0010
(4.51**)
-0.0001
(3.05**)
-0.0001
-0.89
0.0001
-0.56
-0.0114
-0.4800
0.0574
(11.37**)
0.2139
27.17**
|
-0.0001
-0.33
0.0329
(6.39**)
2.8352
(5.23**)
54.7216
(6.99**)
0.0301
(3.61**)
0.0371
(10.04**)
0.7376
271.36**
|
-0.0008
(5.54**)
0.0461
(30.84**)
2.2533
(9.85**)
35.6243
(14.01**)
0.0481
(11.25**)
0.0133
(6.19**)
0.9504
1842.59**
|
0.0012
(7.88**)
-0.0001
(3.60**)
-0.0001
-0.14
0.0001
-1.27
-0.0063
-0.4
0.0381
(11.25**)
0.2106
26.67**
|
-0.0001
(0.03)
0.0340
(6.86**)
2.7970
(5.37**)
46.2509
(6.15**)
0.0297
(3.70**)
0.0362
(10.18**)
0.7283
258.86**
|
-0.0006
(5.85*)
0.0464
(41.43**)
1.3184
(7.70**)
27.1569
(14.26**)
0.0212
(6.62**)
0.0125
(7.76**)
0.9649
2645.62**
|
0.0021
(14.09**)
-0.0001
(3.07**)
-0.0001
(0.25)
0.0001
(1.45)
-0.0023
(0.15)
0.0340
(10.02**)
0.1742
21.29**
|