An Empirical Study of the Effect of Investor Sentiment on Returns of Different Industries

Table 1

Descriptive statistics of each index.

	Mean	Standard deviation	Kurtosis	Skewness	JB statistics
CEFD	0.241111	0.121486	0.380086	1.908905	7.147080**
NIPO	13.22271	9.999192	0.688533	2.208237	10.19792***
RIPO	0.921679	0.876651	2.985041	16.61689	893.4568***
TURN	0.376856	0.233725	1.287418	4.410218	34.83308***
NIA	1080212	1063835	1.897781	7.143569	127.6175***
The correlation of indexes
	CEFD	NIPO	RIPO	TURN	NIA
CEFD	1
NIPO	−0.667911***	1
RIPO	0.220840**	−0.368060***	1
TURN	0.418940***	−0.279498***	0.291517***	1
NIA	−0.138380	0.122912	0.343842***	0.610424***	1

Notes: ∗∗∗, ∗∗, and ∗ denote, respectively, significance at the significance level of 1%, 5%, and 10%, similar hereinafter.