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

Table 5

Effect of investor sentiments of the current period and one period lagged.

Industry	Parameter estimate; 𝛽1	Parameter estimate; 𝛽2	Industry	Parameter estimate; 𝛽1	Parameter estimate; 𝛽2
Farming, forestry, animal husbandry, and fishery	0.037385**	−0.028318*	Textile and garment	0.048461***	−0.038231**
Extractive industry	0.056997***	−0.041332**	Light manufacturing	0.040493**	−0.030612*
Chemical industry	0.044125***	−0.032238**	Biopharmaceuticals	0.030392**	−0.021772
Ferrous metal	0.053247***	−0.042409**	Public utility	0.041732***	−0.033375***
Nonferrous metal	0.065028***	−0.049041**	Transportation	0.046340***	−0.036269***
Construction material	0.061296***	−0.049067***	Real estate	0.042135***	−0.027891*
Mechanical installation	0.039774***	−0.026484*	Financial service	0.042135**	−0.010572**
Electronics	0.037814**	−0.029529*	Business and trade	0.030454**	−0.021355
Transportation equipment	0.057564***	−0.043570***	Catering and tourism	0.041507***	−0.028868**
Information equipment	0.028910*	−0.020259	Information service	0.023528*	−0.015257
Household appliances	0.038257**	−0.026050*	Integration	0.004006	0.0004154
Food and beverage	0.038429***	−0.028924**

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