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

Table 6

Autoregressive distributed lag model with the dependent variable of GARCHRSH.

Variable	Coefficient	Std.	-statistic	value	Adj.
Panel A: subsample 7 (01/14/2011–08/26/2011)
	0.0002	0.0001	2.0082	0.0551	0.7548
	0.7065	0.1392	5.0771	0.0000
	0.0000	0.0002	0.1553	0.8778
	−0.0002	0.0002	−0.9777	0.3372
	0.0000	0.0002	0.1396	0.8900
Panel B: subsample 8 (09/02/2011–02/14/2014)
	0.0001	0.0000	3.0601	0.0028	0.7072
	0.8431	0.0514	16.3937	0.0000
	0.0000	0.0001	−0.2758	0.7832
	0.0000	0.0001	−0.2424	0.8089
	0.0000	0.0001	0.0818	0.9350
Panel C: subsample 9 (02/21/2014–10/10/2014)
	0.0001	0.0001	1.9930	0.0573	0.6295
	0.7024	0.1333	5.2686	0.0000
	0.0003	0.0005	0.5438	0.5914
	0.0001	0.0003	0.1911	0.8500
	0.0000	0.0002	0.1142	0.9100
Panel D: subsample 10 (10/17/2014–06/05/2014)
	0.0002	0.0001	1.9263	0.0660	0.7878
	0.8325	0.0890	9.3494	0.0000
	0.0002	0.0003	0.6155	0.5440
	−0.0005	0.0003	−1.5050	0.1454
	0.0004	0.0003	1.3353	0.1943