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

Table 4

Autoregressive distributed lag model with the dependent variable of SHINDEX.

Variable	Coefficient	Std.	-statistic	value	Adj.
Panel A: subsample 1 (01/14/2011–09/02/2011)
c	241.9021	222.0302	1.0895	0.2846	0.854
	0.9595	0.0729	13.1648	0.0000
	−0.0069	0.0032	−2.1524	0.0395
Panel B: subsample 2 (09/09/2011–06/29/2012)
c	583.7682	272.4279	2.1428	0.0394	0.5208
	0.7448	0.1236	6.0246	0.0000
	0.0001	0.0033	0.0418	0.9669
	0.0004	0.0031	0.1444	0.8860
Panel C: subsample 3 (07/06/2012–10/10/2014)
	0.9124	0.0364	25.0576	0.0000	0.7645
	0.0081	0.0038	2.1256	0.0425
Panel D: subsample 4 (10/17/2014–06/05/2015)
	0.9537	0.0893	10.6845	0.0000	0.9672