Research Article
Investor Sentiment and Stock Price Crash Risk in the Chinese Stock Market
Table 4
The regression results between investor sentiment and the negative skewness coefficient of weekly return rate.
| Skewt + 1 | Holistic sentiment | Heterogeneous sentiment | 180-Index | 100-Index | 180-Index | 100-Index |
| C | −0.513 | 1.201 | −0.753 | 1.399 | | 0.007 | 0.025 | 0.022 | 0.053 | Dt | | | −0.298 | −0.377 | | | | 0.016 | 0.007 | Rett | 135.336 | 167.842 | 143.820 | 191.278 | Sigmat | 9.264 | 12.327 | 11.939 | 16.273 | Sizet | 0.005 | −0.074 | 0.016 | −0.080 | Pbt | −0.000 | 0.000 | −0.000 | 0.000 | Levt | 0.088 | −0.278 | 0.066 | −0.323 | Roat | 0.078 | 2.011 | 0.039 | 1.825 | R2 | 0.172 | 0.200 | 0.184 | 0.216 |
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Note. , , and indicate significant levels at 1%, 5%, and 10%, respectively. |