ln(Volume)

ILLIQ (10⁻⁶)

R^2

Price delay

D_i

−0.63** （−2.60）

−0.52** (−3.61)

0.208 (0.56)

0.123 (0.36)

−0.11 (−0.57)

−0.06 (−0.31)

0.12** (5.73)

0.12** (5.82)

D_t

−0.36 (−1.501)

−0.24 (−1.63)

0.0183 (0.05)

−0.153 (−0.44)

−0.33 (−1.61)

−0.21 (−1.18)

−0.01 (−0.37)

−0.01 (−0.43)

D_t * D_i

0.27 (0.78)

0.32 (1.55)

1.06* (2.02)

1.02* (2.10)

−0.64* (−2.2)

−0.62* (−2.44)

−0.08** (−2.56)

−0.08** (−2.72)

Size

0.59*** (18.35)

−0.393*** (−5.09)

0.28*** (7.05)

−0.02** (−4.76)

ROA

−0.04*** (−2.89)

−0.0284 (−0.79)

0.016 (0.85)

0.003 (1.28)

Leverage

0.09 (0.28)

−0.265 (−0.35)

0.22 (0.57)

−0.02 (−0.56)

Con

16.73** （97.98）

13.14** (51.46)

0.0216 (0.08)

2.86** (4.64)

−0.09 (−0.60)

−2.11** (−6.64)

0.05** (3.28)

0.16** (4.60)

R square

0.044

0.668

0.065

0.195

0.128

0.332

0.165

0.321