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The Official Journal of the Pan-Pacific Association of Input-Output Studies (PAPAIOS)

Table 5 The event period’s regression results

From: The impact of stock market manipulation on Nigeria’s economic performance

 

Intercept

Change

Volume

Volatility

Bid–ask spread

Prop. bid–ask spread

First set regressions

Bid–ask spread (on dummy)

      

Equation 5

0.0237

0.0002

    

P-value

< 0.0001***

0.31342

    

Prop. bid–ask spread (on dummy)

      

Equation 6

0.1216

0.0224

    

P-value

< 0.0001***

< 0.0001***

    

Bid–ask spread

      

Equation 7

0.02013

0.00142

− 10.00003

0.08204

  

P-value

< 0.0001**

0.38136

0.00212***

0.01511**

  

Prop. bid–ask spread

      

Equation 8

0.13181

0.02418

− 10.00005

0.43261

  

P-value

< 0.0001***

< 0.0001***

0.06241*

< 0.0001***

  

Second set regressions

Volume (on dummy)

      

Equation 9

10,944,432,333

4,713,066,917

    

P-value

< 0.0001***

0.8903

    

Volume

      

Equation 10

17,246,135,386

6,605,310,181

 

− 110,268,238,066

− 121,526,181,954

 

P-value

< 0.0001***

0.6219

 

0.0924*

0.0033***

 

Volume

      

Equation 11

16,873,273,330

7,035,147,112

 

− 110,487,638,057

 

− 18,065,758,918

P-value

< 0.0001***

0.3642

 

0.0882*

 

0.0647*

  1. Source: Author’s Brodgar 2.7.5 Compilation