Mathematical Problems in Engineering

Research Article

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

Table 8

Effects of investor sentiment on industry returns based on Markov regime switching.


Industry	Farming, forestry, animal husbandry, and fishery	Extractive industry	Chemical industry	Ferrous metal	Nonferrous metal	Construction materials

	0.0704***	0.0677***	−0.0436	0.0737***	−0.0701*	−0.0584*
	0.0324***	0.0372***	0.0009	0.0372***	−0.0255	0.0263
Root MSE	0.0458	0.0499	0.0699	0.0638	0.1430	0.0889
Square	0.7065	0.7299	0.0006	0.6059	0.0751	0.1176
	−0.0213	−0.0335	0.0494**	−0.0455***	0.0360***	0.0679***
	−0.0003	0.0081	0.0247***	0.0000	0.0282***	0.0373***
Root MSE	0.0921	0.1096	0.0516	0.0818	0.0822	0.0589
Square	0.8693	0.01704	0.5171	0.4835	0.3572	0.5914
AIC	−190.2188	−178.0989	−222.4067	180.6269	−146.7789	−202.075
BIC	−161.6211	−149.5012	−193.8090	−152.0292	−118.1812	−173.4773
LL	99.1094	93.0495	115.2033	94.3135	77.3895	105.0375
P₁₁	0.6506	0.8439	0.7096	0.6944	0.7721	0.9454
P₁₂	0.1876	0.1089	0.2848	0.2075	0.0768	0.0655
P₂₁	0.3494	0.1561	0.2904	0.3056	0.2279	0.0546
P₂₂	0.8124	0.8911	0.7152	0.7925	0.9232	0.9345

Industry	Mechanical equipment	Electronics	Transportation equipment	Information equipment	Household appliances	Catering and tourism

	−0.0251 **	0.0523***	0.0594***	−0.0649**	0.0734***	0.0120
	0.0114**	0.0273***	0.0324***	0.0234	0.0245***	0.0119**
Residual	0.0814	0.0719	0.0639	0.1070	0.0576	0.0950
Square	0.0739	0.3362	0.4699	0.0705	0.4206	0.05774
	0.1029***	−0.0799***	−0.1003***	0.0487	−0.0472**	0.0169***
	0.0229***	0.0310**	0.0513***	0.0269	0.0181**	0.0090***
Root MSE	0.0344	0.1047	0.0959	0.0662	0.0788	0.0235
Square	0.6622	0.1226	0.3003	0.3695	0.1683	0.4361
AIC	−193.7313	−178.0449	−198.2534	−186.0705	−197.6915	−209.8202
BIC	−165.1336	−149.4472	−169.6557	−157.4728	−169.0938	−181.2225
LL	100.8657	93.0225	103.1267	97.0352	102.8457	108.9101
P₁₁	0.9017	0.9601	0.9633	0.9658	0.8262	0.7425
P₁₂	0.3909	0.0327	0.0288	0.0389	0.1221	0.7326
P₂₁	0.0983	0.0399	0.0367	0.0342	0.1738	0.2575
P₂₂	0.6091	0.9673	0.9712	0.9611	0.8779	0.2674

Industry	Textile and garment	Light manufacturing	Pharmaceuticals	Public utilities	Transportation	Real estate

	0.0834***	−0.0876***	-0.0088	−0.0552	−0.0742***	−0.1506***
	0.0375***	0.0361**	0.0049	0.0390**	0.0330***	0.0567***
Root MSE	0.0593	0.1037	0.0800	0.1159	0.0813	0.0611
Square	0.6511	0.1545	0.01349	0.1976	0.1959	0.5145
	−0.0317**	0.0517***	0.0758***	−0.0013	0.039***	0.0362***
	0.0039	0.0285***	0.0302***	0.0053*	0.0260***	0.0205***
Root MSE	0.0849	0.0617	0.0514	0.0498	0.0496	0.0692
Square	0.0067	0.4282	0.6222	0.03928	0.4871	0.2897
AIC	−192.6297	−196.2553	−208.9941	−245.056	−238.2588	−206.4154
BIC	−164.0321	−167.6577	−180.3964	−216.4583	−209.6611	−177.8177
LL	100.3149	102.1277	108.4970	126.5280	123.1294	107.2077
P₁₁	0.8276	0.9701	0.9177	0.9544	0.9627	0.8090
P₁₂	0.1068	0.0366	0.2194	0.0158	0.0449	0.0508
P₂₁	0.1724	0.0299	0.0823	0.0456	0.0373	0.1910
P₂₂	0.8932	0.9634	0.7806	0.9842	0.9551	0.9492

Industry	Financial service	Business and trade	Catering and tourism	Information service	General

	−0.0014	0.0563***	0.0388***	−0.0437	−0.0252
	0.0040	0.0281***	0.0168***	0.0305**	−0.0005
Root MSE	0.0496	0.0580	0.0689	0.1078	0.0926
Square	0.0196	0.5279	0.1992	0.1329	0.0001
	−0.0483*	−0.0338	−0.0820**	0.0132	0.0790***
	0.0380**	0.0038	0.0333*	0.0085**	0.0401***
Root MSE	0.1141	0.0779	0.1169	0.0540	0.0682
Square	0.1492	0.00874	0.1153	0.08257	0.5604
AIC	−218.3481	−204.8813	−188.721	−221.7585	−175.087
BIC	−189.7504	−176.2837	−160.1233	−193.1609	−146.4893
LL	113.1741	106.4407	98.36051	114.8793	91.54349
P₁₁	0.9797	0.7239	0.9673	0.9663	0.9142
P₁₂	0.0271	0.2086	0.0382	0.0341	0.1980
P₂₁	0.0203	0.2761	0.0327	0.0337	0.0858
P₂₂	0.9729	0.7914	0.9618	0.9659	0.8020

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