Results of estimation of the impact of leverage structure on stock price synchronicity with quantile regression.

Dependent variable: SYNCH. We estimate a quantile regression model for panel data (QREGPD) with nonadditive fixed effects. Adaptive MCMC optimization technique is applied, 1000 draws are performed, and 100 draws to drop as a burn-in period. Acceptance rate is set to 0.5. To save space, the estimation of results for other control variables are not reported.