Period

Short-term-2007/1/1-2012/11/30 (announcement day: 2012/3/28)

Experimental (TW)/comparison (HK) trading volume effect (Y)

Coefficient

Standard error

t-statistic

p-value

Intercept (C)

9.953^***

0.013528

735.8135

0.0000

Time effect

−0.236^***

0.026389

−8.951484

0.0000

Economy effect

1.508^***

0.012589

119.8611

0.0000

Cross effect

−0.115^***

0.036636

−3.144748

0.0017

Day return rate

0.123

0.349840

0.353149

0.7240

Amplitude rate

9.505^***

0.572518

16.60321

0.0000

30-day return rate

40.514^***

2.079329

19.48444

0.0000

R-squared

0.850049