Dynamic Spillover Effects of Investor Sentiment and Return between China and the United States

Table 2

Validation with dual-listed companies.

Company		T-statistic	value	R-squared
CEA	0.0877	1.79	0.0760	0.03
GSH	0.3985	8.54	0.0000	0.38
HNP	0.6016	10.73	0.0000	0.50
ZNH	0.1496	3.66	0.0000	0.10
SHI	0.1454	1.76	0.0800	0.03
ACH	0.0840	2.78	0.0060	0.06
LFC	0.5756	5.44	0.0000	0.20
SNP	0.4566	7.42	0.0000	0.32
PTR	0.3879	7.37	0.0000	0.32

Notes: This table reports time-series regressions for nine dual-listed companies in China and the United States, respectively. The dependent variables are the price difference of nine dual-listed companies in China and the United States between January 2010 and November 2019. The independent variable is the difference between the US investor sentiment and China investor sentiment. The US Sentix investor confidence index is used as US investor sentiment. , , and represent significance levels of 1%, 5%, and 10%, respectively.