Period

Long-term-2007/1/1-2014/9/29 (announcement day: 2012/3/28)

Experimental (TW)/control (HK) trading volume effect

Coefficient

Standard error

t-statistic

p-value

Constant

9.949

0.012671

785.1883

0.0000

Time effect

−0.098^***

0.015322

−6.421686

0.0000

Economy effect

1.509^***

0.011930

126.5064

0.0000

Cross effect

−0.141^***

0.020909

−6.780391

0.0000

Day return rate

0.134

0.320719

0.419089

0.6752

Amplitude rate

9.775^***

0.531551

18.39044

0.0000

30-day return rate

39.948^***

1.913139

20.88136

0.0000

R-squared

0.857528