Does the Capital Market Opening Improve the Price Discovery Efficiency of Stock Market? An Empirical Research Based on Shanghai-Hong Kong Stock Connect

Table 9

The results grouped by insider trading.

	Low insider trading		High insider trading
	Coefficient	T value	Coefficient	T value
Post	0.003	1.6	0.005	2.68
Open	0.001	0.76	0	0.29
Post  Open	−0.004	−1.99	−0.005	−2.88
Size	0.002	2.53	0.002	2.92
Leverage	0.002	0.74	0.002	0.64
Roa	0.014	1.14	−0.008	−0.69
Growth	0.001	0.75	0	−0.09
Firstholder	0	0.04	0	0.51
Managershare	0.000	2.23	0	0.1
Boardsize	0	−0.42	0	0.7
Independ	−0.006	−0.72	0.002	0.31
SOE	0	−0.22	0	0.25
Dual	−0.002	−1.4	0	−0.13
Big4	−0.001	−0.51	−0.002	−1.12
Analyst	0.000	−2.95	0	−0.1
Liquidity	−0.135	−0.23	0.914	1.68
MB	−0.004	−1.72	−0.005	−2.34
Turnover	0.001	5.47	0.001	4.84
Age	0	−1.41	0.000	−2.4
Intercept	0.762	58.08	0.760	58.39
Year/industry	Yes		Yes
Adj R2	0.136		0.115
N	1061		1197

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