Research Article
Does Online Investor Sentiment Affect the Asset Price Movement? Evidence from the Chinese Stock Market
Table 7
Estimation results of the autoregressive distributed lag model with high frequency components.
| | Independent variable | Coefficient | Std. error | -statistic | value | Adj. |
| | Panel A: is the dependent variable | | −0.2577 | 0.0678 | −3.8003 | 0.0002 | 0.0771 | | −0.0006 | 0.0003 | −1.8411 | 0.0670 |
| | Panel B: is the dependent variable | | −0.4562 | 0.0618 | −7.3789 | 0.0000 | 0.2239 | | −0.0121 | 0.0063 | −1.9263 | 0.0554 |
| | Panel C: is the dependent variable | | −0.0001 | 0.0000 | −2.4204 | 0.0164 | 0.0429 | | 0.0001 | 0.0000 | 2.1079 | 0.0362 |
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