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

Table 3

Return statistics of each industry.

Industry	Mean	Standard deviation	Kurtosis	Skewness	JB statistics	ADF-t
Farming, forestry, animal husbandry, and fishery	0.006894	0.097631	−0.214655	3.532165	1.889504	−7.737645***
Extractive industry	0.003295	0.111691	0.305372	3.557856	2.765355	−6.799325***
Chemical industry	0.003431	0.085623	0.094045	3.258920	0.413938	−6.474173***
Ferrous metals	−0.002846	0.104951	0.281164	3.749400	3.547828	−2.596785***
Nonferrous metals	0.006204	0.126077	−0.060071	3.507858	1.100764	−6.442558***
Construction materials	0.002747	0.096980	0.356129	3.747072	4.306106	−6.566892***
Mechanical installation	0.002188	0.096631	−0.139295	2.820706	0.443606	−6.725198***
Electronics	−0.000460	0.103672	−0.260335	3.074738	1.118260	−6.993854***
Transportation equipment	0.006274	0.103173	−0.127551	3.037118	0.268588	−5.715664***
Information equipment	0.000262	0.099586	−0.222712	2.953698	0.810538	−6.880790***
Household appliances	0.004821	0.095675	−0.193469	3.177335	0.732221	−6.330048***
Food and beverage	0.013467	0.085772	−0.040146	3.970131	3.829889	−7.478488***
Textile and garment	0.003287	0.100715	0.469081	4.824239	17.00731***	−6.417958***
Light manufacturing	0.000639	0.099941	−0.258313	3.807337	3.713056	−6.610410***
Biopharmaceuticals	0.009660	0.086362	0.170174	3.313894	0.866395	−7.461154***
Public utility	−0.000795	0.079753	0.362636	4.353036	9.525104***	−6.586849***
Transportation	−0.004077	0.081682	0.085057	3.716854	2.193894	−6.268708***
Real estate	0.004154	0.098869	−0.118194	3.631311	1.836662	−5.748892***
Financial service	0.000202	0.090827	0.024149	4.098793	4.889115*	−3.433203**
Business and trade	0.003520	0.091366	0.036296	3.540816	1.203414	−6.418831***
Catering and tourism	0.007037	0.100273	−0.376900	3.413545	2.987743	−6.964831***
Information service	0.003905	0.083502	−0.207364	3.681743	2.573628	−7.372482***
General industry	0.002546	0.104683	0.200064	3.862630	3.654610	−6.265502***

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