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

Table 4

Effect of sentiment on industry return.

Industry	Parameter estimate	adj−𝑅^2	Industry	Parameter estimate of	adj−𝑅^2
Farming, forestry, animal husbandry, and fishery	0.010572**	0.0494	Textile and garment	0.012170**	0.0615
Extractive industry	0.017801**	0.1069	Light manufacturing	0.011457***	0.0553
Chemical industry	0.013608***	0.1063	Biopharmaceuticals	0.009759**	0.0538
Ferrous metal	0.012803***	0.0626	Public utility	0.010123***	0.0678
Nonferrous industry	0.018426***	0.0899	Transportation	0.011796***	0.0878
Construction materials	0.014664***	0.0962	Real estate	0.015494***	0.1034
Mechanical installation	0.014671**	0.0970	Financial service	0.010219**	0.0533
Electronics	0.009823*	0.0378	Trade and business	0.014061***	0.0997
Transportation equipment	0.016164***	0.1033	Catering and tourism	0.008872*	0.0330
Information equipment	0.009669*	0.0397	Information service	0.008983***	0.0487
Household appliance	0.013644***	0.0856	General industry	0.008103	0.0252
Food and beverage	0.010993***	0.0684

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