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 + 1Holistic sentimentHeterogeneous sentiment
180-Index100-Index180-Index100-Index

C−0.5131.201−0.7531.399
0.0070.0250.0220.053
Dt−0.298−0.377
0.0160.007
Rett135.336167.842143.820191.278
Sigmat9.26412.32711.93916.273
Sizet0.005−0.0740.016−0.080
Pbt−0.0000.000−0.0000.000
Levt0.088−0.2780.066−0.323
Roat0.0782.0110.0391.825
R20.1720.2000.1840.216

Note. , , and indicate significant levels at 1%, 5%, and 10%, respectively.