Period

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

Experimental group

Comparison group

Trading volume effect-TW (Y)

Trading volume effect-HK (Y)

Coefficient

Standard error

p-value

Coefficient

Standard error

p-value

Intercept (C)

11.534^***

0.0144

0.0000

9.896^***

0.0170

0.0000

Time effect

−0.365^***

0.0225

0.0000

−0.211^***

0.0283

0.0000

Day return rate

0.089

0.4988

0.8571

−0.109

0.4649

0.8138

Amplitude rate

4.839^***

0.7618

0.0000

13.087^***

0.7947

0.0000

30-day return rate

62.971^***

2.6898

0.0000

22.572^****

2.9322

0.0000

R-squared

0.3993

0.2182