Weibo Attention and Stock Market Performance: Some Empirical Evidence

Table 3

Granger causality between Weibo Index and market variables.

		Granger cause	Granger cause
Panel A: returns
Weibo Index	SH50	2.0340 (2.7100)	0.7788 (2.7100)
Weibo Index	HS300	0.9145 (2.7100)	6.6441 (2.7100)
Weibo Index	SZ	2.7986 (2.7100)	8.4985 (2.7100)
Weibo Index	SME	1.1694 (2.7100)	0.1129 (2.7100)
Weibo Index	ChiNext	2.5922 (2.7100)	0.8979 (2.7100)
Panel B: trading volume
Weibo Index	SH50	0.0972 (2.7100)	2.6370 (2.7100)
Weibo Index	HS300	0.7149 (2.7100)	0.5240 (2.7100)
Weibo Index	SZ	0.0154 (2.7100)	14.3082 (2.7100)
Weibo Index	SME	2.4014 (2.7100)	3.4286 (2.7100)
Weibo Index	ChiNext	0.6812 (2.7100)	13.4979 (2.7100)
Panel C: volatility
Weibo Index	SH50	0.6743 (2.7100)	1.2457 (2.7100)
Weibo Index	HS300	8.4079 (2.7100)	1.8290 (2.7100)
Weibo Index	SZ	0.4745 (2.7100)	0.9255 (2.7100)
Weibo Index	SME	1.1209 (2.7100)	6.4183 (2.7100)
Weibo Index	ChiNext	2.8049 (2.7100)	1.6762 (2.7100)

This table reports the results for the Granger causality analysis between returns, trading volume, and volatility of SH50, HS300, SZ, SME, and ChiNext and Weibo attention. The Granger cause means Weibo attention can Granger-cause the changes of market variables and Granger cause means markets can Granger-cause the changes of Weibo attention. indicates significant at 1% level; indicates significant at 5% level; indicates significant at 10% level.