Table 7. The Effect of Consolidated Trading on the NYSE in the Pre- and Consolidated Period with Security Characteristic Interactions (December 28, 1883 - April 9, 1886)
Table 7. The Effect of Consolidated Trading on the NYSE in the Pre- and Consolidated Period with Security Characteristic Interactions (December 28, 1883 - April 9, 1886)
This table reports the results from the estimation of the following model:
SPREADit = α0+ β1VOLit +β2CLOSEit+ β3STDEVi + β4COMPt + β5WVOLit + β6CALLt+ β7SHAREit + β8CONCt + β9RAILROADi + β10MARKET CAPITALIZATIONit + β11RAILROADi*COMPt + β12MARKETCAPITALIZATIONit* COMPt + β13Volit *COMPt + β14CLOSEit*COMPt + εit where SPREAD is either the natural log of the absolute or the relative spread as defined in Table 2. COMP is a dummy variable that takes on a value of one for all observations in the 60 weeks after February 17, 1885 and the value of zero for the observations in the 60 weeks before Feb 17, 1885. Railroadi is equal to zero if firm is a railroad and zero otherwise. Market Capitalization is the natural log of the shares outstanding times closing price for firm i in week t. The interactions represent the Compt variable times the respective independent variable. The other variables are as defined as in Table 3. Robust standard errors clustered by company are in parentheses. *** significant at 10%; ** significant at 5%; * significant at 1%.
