Research Article
Investor Sentiment and Stock Price Crash Risk in the Chinese Stock Market
Table 7
The regression results involving instrumental variable 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 | 0.545 | −0.571 | 0.472 | −0.625 | | 0.007 | 0.016 | 0.029 | 0.033 | Dt | | | −0.216 | −0.224 | | | | −0.007 | 0.005 | Rett | 106.291 | 180.962 | 114.416 | 197.577 | Sigmat | 6.004 | 11.806 | 7.725 | 14.107 | Sizet | −0.040 | −0.007 | −0.035 | −0.005 | Pbt | 0.000 | 0.000 | 0.000 | −0.000 | Levt | 0.069 | 0.061 | 0.061 | 0.040 | Roat | 0.391 | 1.609 | 0.407 | 1.563 | R2 | 0.022 | 0.068 | 0.034 | 0.082 | F-value | 12.90 | 40.44 | 14.64 | 36.26 |
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Note. , , and indicate significant levels at 1%, 5%, and 10%, respectively. |