Research Article
An Empirical Study of the Effect of Investor Sentiment on Returns of Different Industries
Table 3
Return statistics of each industry.
| Industry | Mean | Standard deviation | Kurtosis | Skewness | JB statistics | ADF-t |
| Farming, forestry, animal husbandry, and fishery | 0.006894 | 0.097631 | −0.214655 | 3.532165 | 1.889504 | −7.737645*** | Extractive industry | 0.003295 | 0.111691 | 0.305372 | 3.557856 | 2.765355 | −6.799325*** | Chemical industry | 0.003431 | 0.085623 | 0.094045 | 3.258920 | 0.413938 | −6.474173*** | Ferrous metals | −0.002846 | 0.104951 | 0.281164 | 3.749400 | 3.547828 | −2.596785*** | Nonferrous metals | 0.006204 | 0.126077 | −0.060071 | 3.507858 | 1.100764 | −6.442558*** | Construction materials | 0.002747 | 0.096980 | 0.356129 | 3.747072 | 4.306106 | −6.566892*** | Mechanical installation | 0.002188 | 0.096631 | −0.139295 | 2.820706 | 0.443606 | −6.725198*** | Electronics | −0.000460 | 0.103672 | −0.260335 | 3.074738 | 1.118260 | −6.993854*** | Transportation equipment | 0.006274 | 0.103173 | −0.127551 | 3.037118 | 0.268588 | −5.715664*** | Information equipment | 0.000262 | 0.099586 | −0.222712 | 2.953698 | 0.810538 | −6.880790*** | Household appliances | 0.004821 | 0.095675 | −0.193469 | 3.177335 | 0.732221 | −6.330048*** | Food and beverage | 0.013467 | 0.085772 | −0.040146 | 3.970131 | 3.829889 | −7.478488*** | Textile and garment | 0.003287 | 0.100715 | 0.469081 | 4.824239 | 17.00731*** | −6.417958*** | Light manufacturing | 0.000639 | 0.099941 | −0.258313 | 3.807337 | 3.713056 | −6.610410*** | Biopharmaceuticals | 0.009660 | 0.086362 | 0.170174 | 3.313894 | 0.866395 | −7.461154*** | Public utility | −0.000795 | 0.079753 | 0.362636 | 4.353036 | 9.525104*** | −6.586849*** | Transportation | −0.004077 | 0.081682 | 0.085057 | 3.716854 | 2.193894 | −6.268708*** | Real estate | 0.004154 | 0.098869 | −0.118194 | 3.631311 | 1.836662 | −5.748892*** | Financial service | 0.000202 | 0.090827 | 0.024149 | 4.098793 | 4.889115* | −3.433203** | Business and trade | 0.003520 | 0.091366 | 0.036296 | 3.540816 | 1.203414 | −6.418831*** | Catering and tourism | 0.007037 | 0.100273 | −0.376900 | 3.413545 | 2.987743 | −6.964831*** | Information service | 0.003905 | 0.083502 | −0.207364 | 3.681743 | 2.573628 | −7.372482*** | General industry | 0.002546 | 0.104683 | 0.200064 | 3.862630 | 3.654610 | −6.265502*** |
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Notes: , , and denote, respectively, significance at the significance level of 1%, 5%, and 10%.
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