Weibo Attention and Stock Market Performance: Some Empirical Evidence
Table 2
Correlation coefficients between Weibo Index and market variables.
Index
Pearson
Spearman
Kendall
Panel A: returns
SH50
0.0365 (0.2188)
0.0705 (0.0174)
0.0466 (0.0188)
HS300
−0.1152 (0.0001)
−0.0584 (0.0491)
−0.0377 (0.0571)
SZ
−0.0902 (0.0023)
−0.0379 (0.2017)
−0.0244 (0.2253)
SME
0.0038 (0.8970)
0.0748 (0.0117)
0.0518 (0.0089)
ChiNext
−0.0865 (0.0035)
−0.0636 (0.0319)
−0.0433 (0.0287)
Panel B: trading volume
SH50
0.2980 (0.0000)
0.3661 (0.0000)
0.2441 (0.0000)
HS300
0.0755 (0.0109)
−0.1971 (0.0000)
−0.1212 (0.0000)
SZ
0.3304 (0.0000)
0.3955 (0.0000)
0.2657 (0.0000)
SME
0.2394 (0.0000)
0.1787 (0.0000)
0.1223 (0.0000)
ChiNext
0.4732 (0.0000)
0.5373 (0.0000)
0.3686 (0.0000)
Panel C: volatility
SH50
0.2056 (0.0000)
0.1416 (0.0000)
0.0969 (0.0000)
HS300
0.2871 (0.0000)
0.3993 (0.0000)
0.2716 (0.0000)
SZ
0.0972 (0.0010)
−0.0258 (0.3844)
−0.0160 (0.4271)
SME
0.1698 (0.0000)
0.3093 (0.0000)
0.2082 (0.0000)
ChiNext
0.2071 (0.0000)
0.2270 (0.0000)
0.1531 (0.0000)
This table reports different correlation coefficients between returns, trading volume, and volatility of SH50, HS300, SZ, SME, and ChiNext and Weibo attention from March 1, 2013 to October 31, 2017. indicates significant at 1% level; indicates significant at 5% level; indicates significant at 10% level.
