Research Article
An Empirical Study of the Effect of Investor Sentiment on Returns of Different Industries
Table 8
Effects of investor sentiment on industry returns based on Markov regime switching.
| Industry | Farming, forestry, animal husbandry, and fishery | Extractive industry | Chemical industry | Ferrous metal | Nonferrous metal | Construction materials |
| | 0.0704*** | 0.0677*** | −0.0436 | 0.0737*** | −0.0701* | −0.0584* | | 0.0324*** | 0.0372*** | 0.0009 | 0.0372*** | −0.0255 | 0.0263 | Root MSE | 0.0458 | 0.0499 | 0.0699 | 0.0638 | 0.1430 | 0.0889 | Square | 0.7065 | 0.7299 | 0.0006 | 0.6059 | 0.0751 | 0.1176 | | −0.0213 | −0.0335 | 0.0494** | −0.0455*** | 0.0360*** | 0.0679*** | | −0.0003 | 0.0081 | 0.0247*** | 0.0000 | 0.0282*** | 0.0373*** | Root MSE | 0.0921 | 0.1096 | 0.0516 | 0.0818 | 0.0822 | 0.0589 | Square | 0.8693 | 0.01704 | 0.5171 | 0.4835 | 0.3572 | 0.5914 | AIC | −190.2188 | −178.0989 | −222.4067 | 180.6269 | −146.7789 | −202.075 | BIC | −161.6211 | −149.5012 | −193.8090 | −152.0292 | −118.1812 | −173.4773 | LL | 99.1094 | 93.0495 | 115.2033 | 94.3135 | 77.3895 | 105.0375 | P11 | 0.6506 | 0.8439 | 0.7096 | 0.6944 | 0.7721 | 0.9454 | P12 | 0.1876 | 0.1089 | 0.2848 | 0.2075 | 0.0768 | 0.0655 | P21 | 0.3494 | 0.1561 | 0.2904 | 0.3056 | 0.2279 | 0.0546 | P22 | 0.8124 | 0.8911 | 0.7152 | 0.7925 | 0.9232 | 0.9345 |
| Industry | Mechanical equipment | Electronics | Transportation equipment | Information equipment | Household appliances | Catering and tourism |
| | −0.0251 ** | 0.0523*** | 0.0594*** | −0.0649** | 0.0734*** | 0.0120 | | 0.0114** | 0.0273*** | 0.0324*** | 0.0234 | 0.0245*** | 0.0119** | Residual | 0.0814 | 0.0719 | 0.0639 | 0.1070 | 0.0576 | 0.0950 | Square | 0.0739 | 0.3362 | 0.4699 | 0.0705 | 0.4206 | 0.05774 | | 0.1029*** | −0.0799*** | −0.1003*** | 0.0487 | −0.0472** | 0.0169*** | | 0.0229*** | 0.0310** | 0.0513*** | 0.0269 | 0.0181** | 0.0090*** | Root MSE | 0.0344 | 0.1047 | 0.0959 | 0.0662 | 0.0788 | 0.0235 | Square | 0.6622 | 0.1226 | 0.3003 | 0.3695 | 0.1683 | 0.4361 | AIC | −193.7313 | −178.0449 | −198.2534 | −186.0705 | −197.6915 | −209.8202 | BIC | −165.1336 | −149.4472 | −169.6557 | −157.4728 | −169.0938 | −181.2225 | LL | 100.8657 | 93.0225 | 103.1267 | 97.0352 | 102.8457 | 108.9101 | P11 | 0.9017 | 0.9601 | 0.9633 | 0.9658 | 0.8262 | 0.7425 | P12 | 0.3909 | 0.0327 | 0.0288 | 0.0389 | 0.1221 | 0.7326 | P21 | 0.0983 | 0.0399 | 0.0367 | 0.0342 | 0.1738 | 0.2575 | P22 | 0.6091 | 0.9673 | 0.9712 | 0.9611 | 0.8779 | 0.2674 |
| Industry | Textile and garment | Light manufacturing | Pharmaceuticals | Public utilities | Transportation | Real estate |
| | 0.0834*** | −0.0876*** | -0.0088 | −0.0552 | −0.0742*** | −0.1506*** | | 0.0375*** | 0.0361** | 0.0049 | 0.0390** | 0.0330*** | 0.0567*** | Root MSE | 0.0593 | 0.1037 | 0.0800 | 0.1159 | 0.0813 | 0.0611 | Square | 0.6511 | 0.1545 | 0.01349 | 0.1976 | 0.1959 | 0.5145 | | −0.0317** | 0.0517*** | 0.0758*** | −0.0013 | 0.039*** | 0.0362*** | | 0.0039 | 0.0285*** | 0.0302*** | 0.0053* | 0.0260*** | 0.0205*** | Root MSE | 0.0849 | 0.0617 | 0.0514 | 0.0498 | 0.0496 | 0.0692 | Square | 0.0067 | 0.4282 | 0.6222 | 0.03928 | 0.4871 | 0.2897 | AIC | −192.6297 | −196.2553 | −208.9941 | −245.056 | −238.2588 | −206.4154 | BIC | −164.0321 | −167.6577 | −180.3964 | −216.4583 | −209.6611 | −177.8177 | LL | 100.3149 | 102.1277 | 108.4970 | 126.5280 | 123.1294 | 107.2077 | P11 | 0.8276 | 0.9701 | 0.9177 | 0.9544 | 0.9627 | 0.8090 | P12 | 0.1068 | 0.0366 | 0.2194 | 0.0158 | 0.0449 | 0.0508 | P21 | 0.1724 | 0.0299 | 0.0823 | 0.0456 | 0.0373 | 0.1910 | P22 | 0.8932 | 0.9634 | 0.7806 | 0.9842 | 0.9551 | 0.9492 |
| Industry | Financial service | Business and trade | Catering and tourism | Information service | General | |
| | −0.0014 | 0.0563*** | 0.0388*** | −0.0437 | −0.0252 | | | 0.0040 | 0.0281*** | 0.0168*** | 0.0305** | −0.0005 | | Root MSE | 0.0496 | 0.0580 | 0.0689 | 0.1078 | 0.0926 | | Square | 0.0196 | 0.5279 | 0.1992 | 0.1329 | 0.0001 | | | −0.0483* | −0.0338 | −0.0820** | 0.0132 | 0.0790*** | | | 0.0380** | 0.0038 | 0.0333* | 0.0085** | 0.0401*** | | Root MSE | 0.1141 | 0.0779 | 0.1169 | 0.0540 | 0.0682 | | Square | 0.1492 | 0.00874 | 0.1153 | 0.08257 | 0.5604 | | AIC | −218.3481 | −204.8813 | −188.721 | −221.7585 | −175.087 | | BIC | −189.7504 | −176.2837 | −160.1233 | −193.1609 | −146.4893 | | LL | 113.1741 | 106.4407 | 98.36051 | 114.8793 | 91.54349 | | P11 | 0.9797 | 0.7239 | 0.9673 | 0.9663 | 0.9142 | | P12 | 0.0271 | 0.2086 | 0.0382 | 0.0341 | 0.1980 | | P21 | 0.0203 | 0.2761 | 0.0327 | 0.0337 | 0.0858 | | P22 | 0.9729 | 0.7914 | 0.9618 | 0.9659 | 0.8020 | |
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Notes: , , and denote, respectively, significance at the significance level of 1%, 5%, and 10%.
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