The estimation results of the three probit models incorporating the fundamental variables and the direct sentiment measure
| Model 1 | Model 2 | Model 3 | |||
|---|---|---|---|---|---|
| Variable dépendante: CRISIS | |||||
| RETURN | −4.895435*** [0.0000] | RENDEMENT | −4.568109*** [0.0000] | RENDEMENT | −4.108642*** [0.0000] |
| LIQUIDITY | −0.334201*** [0.0000] | LIQUIDITE | −0.318369*** [0.0000] | LIQUIDITE | −0.308923*** [0.0000] |
| VOLATILITY | 60.21862*** [0.0000] | VOLATILITE | 60.97563*** [0.0000] | VOLATILITE | 61.7892*** [0.0000] |
| OPTIMISME *DUMEXPCT | 0.470236*** [0.0000] | OPTIMISME *DUMEXPMT | 0.450230*** [0.0000] | OPTIMISME *DUMEXPLT | 0.420438** [0.0003] |
| PESSIMISM *DUMCONTCT | 0.26407*** [0.0000] | PESSIMISME *DUMCONTMT | 0.26136*** [0.0000] | PESSIMISME *DUMCONTLT | 0.256991*** [0.0000] |
| C | −2.87162*** [0.0000] | C | −2.890241*** [0.0000] | C | −2.971560*** [0.0000] |
| R2 McFadden | 0.62 | R2 McFadden | 0.60 | R2 McFadden | 0.60 |
| LR stat (prob) | 0.0000 | LR stat (prob) | 0.0000 | LR stat (prob) | 0.0000 |
| Model 1 | Model 2 | Model 3 | |||
|---|---|---|---|---|---|
| Variable dépendante: CRISIS | |||||
| RETURN | RENDEMENT | RENDEMENT | |||
| LIQUIDITY | LIQUIDITE | LIQUIDITE | |||
| VOLATILITY | VOLATILITE | VOLATILITE | |||
| OPTIMISME | OPTIMISME *DUMEXPMT | OPTIMISME *DUMEXPLT | |||
| PESSIMISM | PESSIMISME *DUMCONTMT | PESSIMISME *DUMCONTLT | |||
| C | C | C | |||
| 0.62 | 0.60 | 0.60 | |||
| LR stat (prob) | 0.0000 | LR stat (prob) | 0.0000 | LR stat (prob) | 0.0000 |
Note(s): Values in brackets correspond to p-values
*, ** and *** imply significance at the 10, 5 and 1 percent levels
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