Does Online Investor Sentiment Affect the Asset Price Movement? Evidence from the Chinese Stock Market

Table 3

Test results of structural break points.

Variables	Break test	F-stat.	Scaled F-stat.	Critical value	Break date
SHINDEX	0 versus	207.71	207.71	8.58	10/10/2014
	1 versus	96.26	96.26	10.13	09/02/2011
	2 versus	14.64	14.641	11.14	06/29/2012
	3 versus 4	1.87	1.87	11.83	/
SENINDEX	0 versus	254.29	254.29	8.58	10/09/2014
	1 versus 2	0.19	0.19	10.13	/
RSH	0 versus	12.45	24.91	11.47	07/29/2014
	1 versus 2	0.66	1.31	12.95	/
VSEN	0 versus 1	3.25	3.25	8.58	/
GARCHRSH	0 versus	226.32	226.32	8.58	10/10/2014
	1 versus	12.580	12.58	10.13	08/26/2011
	2 versus	19.17	19.17	11.14	02/14/2014
	3 versus 4	2.23	2.23	11.83	/
GARCHSEN	0 versus 1	6.58	6.58	8.58	/

Note: denotes the significance level of 5%.