Period

Long-term-2007/1/1-2014/9/29 (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

Constant

11.532

0.013349

0.0000

9.890

9.890323

0.0000

Time effect

−0.281^***

0.013509

0.0000

−0.070^***

−0.070718

0.0000

Day return rate

0.0592

0.451241

0.8955

−0.085

−0.085486

0.8425

Amplitude rate

4.9093^***

0.700061

0.0000

13.473^***

13.47383

0.0000

30-day return rate

63.800^***

2.453538

0.0000

21.327^***

21.32731

0.0000

R-squared

0.414065

0.19218