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
R^2	0.022	0.068	0.034	0.082
F-value	12.90	40.44	14.64	36.26

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