If you have the same firms being observed both before and after, then this is panel data and you must use a panel data estimator such as -xtreg-, not -regress-, to fit your model.

For this model, or anything even like it, to work, you need observations before and after March and you also need observations on firms that were and firms that were not subject to the law implementation in March, and you need all four combinations of those. There is one issue related to sampling and statistics. Among these are the validity of the measures you are using, the linearity of the spread-liquidity and volume-liquidity relationships, the adequacy of your sample, and the issue of whether something other than this particular law might have coincidentally happened in March that actually accounts for any observed differences.

The validity of that approach, of course, depends on many other factors about which I have no information. The code I have written will give you a difference-in-differences estimate of the effect of the law implementation.

Pwcorr stata 15 vs stata 13