Table 3 Investor sentiment and global...

Table 3

Investor sentiment and global GSS bond returns

Sentiment	$μ$	$α$	$β$	$m$	$θ$	$ω$	$ω_{1}$	$ω_{m}$	Q-stat	F-stat	LLF	AIC
Direct	−0.0384** (0.0196)	0.2922*** (0.0563)	0.5582*** (0.0479)	0.6404 (0.9454)	0.2558*** (0.0517)	0.4908 (7.2570)	0.0554	0.2554	11.346	15.155	797.047	−1.5760
Indirect	0.0078 (0.0188)	0.0327*** (0.0078)	0.9667*** (0.0081)	−5.5334** (2.8385)	1.8209** (0.9345)	7.0064*** (0.6778)	0.1232	0.2732	12.823	13.503	755.50	−1.3797

Sentiment	$μ$	$α$	$β$	$m$	$θ$	$ω$	$ω_{1}$	$ω_{m}$	Q-stat	F-stat	LLF	AIC
Direct	−0.0384** (0.0196)	0.2922*** (0.0563)	0.5582*** (0.0479)	0.6404 (0.9454)	0.2558*** (0.0517)	0.4908 (7.2570)	0.0554	0.2554	11.346	15.155	797.047	−1.5760
Indirect	0.0078 (0.0188)	0.0327*** (0.0078)	0.9667*** (0.0081)	−5.5334** (2.8385)	1.8209** (0.9345)	7.0064*** (0.6778)	0.1232	0.2732	12.823	13.503	755.50	−1.3797

Note(s): This is the output regression estimated using equations (1), (2), and (3). Values in parentheses are standard errors. ***, and ** denote 1 and 5% significance level, respectively. ${ω_{1}}_{1}$ and $ω_{m}$ are weights on the first lag and maximum weight over the 4-lag window. Q-Stat and F-Stat are statistics for Ljung–Box test on squared standardized residuals and the ARCH Lagrange multiplier test for 10 lags

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