Investor Sentiment and Stock Price Crash Risk in the Chinese Stock Market

Table 5

The regression results between investor sentiment and the fluctuation difference of stock price in different phases.

Duvolt + 1	Holistic sentiment		Heterogeneous sentiment
	180-Index	100-Index	180-Index	100-Index
C	−0.285	1.239	−0.255	1.494
	0.004	0.019	0.023	0.045
Dt			−0.211	−0.270
			−0.001	−0.003
Rett	82.034	137.051	93.694	156.632
Sigmat	4.714	9.371	6.900	12.376
Sizet	0.004	−0.070	0.004	−0.078
Pbt	0.000	0.000	0.000	0.000
Levt	0.064	−0.095	0.058	−0.124
Roat	0.080	1.317	0.074	1.205
R^2	0.168	0.198	0.179	0.215

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