The Measurement Method of Investor Sentiment and Its Relationship with Stock Market

Table 6

Stationarity test of SENT, R, and VOL.

Variable	t value	p value	(c, t, k)
SENT	−1.986	0.045	(0,0,2)
R	−10.355	0.000	(1,1,0)
VOL	−3.577	0.036	(1,1,1)

Note. c, t, and k represent the constant term, trend term, and lag order, respectively. , , and .