Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression

Table 11

Comparison of coefficients of trading volume.

	Shanghai	Shenzhen	Germany	France	Canada	US	Japan	Italy	UK
0.05
0.15	0.0091				−0.2572
0.25	−0.0178						0.0116
0.35	−0.0033
0.45	−0.0089			−0.0160
0.55	−0.0055		−0.0056	0.0002	0.0058	0.0001		−0.0062	−0.0028
0.65				0.0087				0.0273	0.0200
0.75	0.0040
0.85					0.1646
0.95					0.3723

Note: significance at 1% level, significance at 5%, and significance at 10%.