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

Table 6

The regression results involving instrumental variable 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	0.331	−0.980	0.162	−1.094
	0.012	0.022	0.029	0.040
Dt			−0.296	−0.319
			0.008	0.015
Rett	184.954	228.226	187.207	247.913
Sigmat	11.754	15.874	13.540	18.846
Sizet	−0.043	−0.000	−0.034	0.004
Pbt	−0.000	0.000	−0.000	0.000
Levt	0.103	0.051	0.084	0.013
Roat	0.618	2.326	0.623	2.251
R^2	0.019	0.060	0.031	0.074
F-value	11.49	52.84	13.02	42.68

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