| Group | Volume (108) | Illiq (10−7) | R-square | Price delay | ||||
H share | A share | H share | A share | H share | A share | H share | A share | ||
Mean | Pre | 0.29 | 0.29 | 2.3 | 0.22 | 0.46 | 0.48 | 0.17 | 0.05 |
| Post | 0.33 | 0.20 | 13 | 0.40 | 0.31 | 0.44 | 0.08 | 0.04 |
Median | Pre | 0.12 | 0.19 | 0.24 | 0.0094 | 0.48 | 0.49 | 0.10 | 0.04 |
| Post | 0.14 | 0.15 | 0.4 | 0.013 | 0.25 | 0.47 | 0.04 | 0.03 |
Max | Pre | 2.8 | 1.3 | 44 | 1.1 | 0.86 | 0.78 | 0.79 | 0.21 |
| Post | 3.9 | 1.3 | 210 | 2.6 | 0.71 | 0.77 | 0.77 | 0.16 |
Min | Pre | 0.004 | 0.022 | 0.0067 | 0.011 | 0.04 | 0.12 | 0.01 | 0.00 |
| Post | 0.003 | 0.017 | 0.0082 | 0.016 | 0.00 | 0.01 | 0.01 | 0.00 |
Stdev | Pre | 0.59 | 0.29 | 6.4 | 0.26 | 0.20 | 0.17 | 0.18 | 0.04 |
| Post | 0.77 | 0.21 | 40.0 | 0.56 | 0.22 | 0.20 | 0.12 | 0.03 |