Research Article
An Empirical Study of the Effect of Investor Sentiment on Returns of Different Industries
Table 5
Effect of investor sentiments of the current period and one period lagged.
| Industry | Parameter estimate
| Parameter estimate
| Industry | Parameter estimate
| Parameter estimate
|
| Farming, forestry, animal husbandry, and fishery | 0.037385** | −0.028318* | Textile and garment | 0.048461*** | −0.038231** | Extractive industry | 0.056997*** | −0.041332** | Light manufacturing | 0.040493** | −0.030612* | Chemical industry | 0.044125*** | −0.032238** | Biopharmaceuticals | 0.030392** | −0.021772 | Ferrous metal | 0.053247*** | −0.042409** | Public utility | 0.041732*** | −0.033375*** | Nonferrous metal | 0.065028*** | −0.049041** | Transportation | 0.046340*** | −0.036269*** | Construction material | 0.061296*** | −0.049067*** | Real estate | 0.042135*** | −0.027891* | Mechanical installation | 0.039774*** | −0.026484* | Financial service | 0.042135** | −0.010572** | Electronics | 0.037814** | −0.029529* | Business and trade | 0.030454** | −0.021355 | Transportation equipment | 0.057564*** | −0.043570*** | Catering and tourism | 0.041507*** | −0.028868** | Information equipment | 0.028910* | −0.020259 | Information service | 0.023528* | −0.015257 | Household appliances | 0.038257** | −0.026050* | Integration | 0.004006 | 0.0004154 | Food and beverage | 0.038429*** | −0.028924** | | | |
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Notes: , , and denote, respectively, significance at the significance level of 1%, 5%, and 10%.
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