Table 4 Investor sentiment and...

Table 4

Investor sentiment and individual GSS bond returns

Sentiment	$μ$	$α$	$β$	$m$	$θ$	$ω$	$ω_{1}$	$ω_{m}$	Q-stat	F-stat	LLF	AIC
For green bond index returns (glgbi)
Direct	0.4890*** (0.0202)	0.1342*** (0.0357)	0.8339*** (0.0461)	0.6783 (0.4163)	0.1208** (0.0583)	0.5755 (2.5682)	0.1566	0.4101	12.958	1.455	560.87	−2.2594
Indirect	0.0112 (0.0154)	0.0298*** (0.0069)	0.9698*** (0.0073)	−3.5312** (1.9423)	1.2294** (0.6223)	5.5058 (5.8288)	0.2043	0.2843	9.972	1.024	783.21	−1.4889
For social bond index returns (glsobi)
Direct	0.0170 (0.0156)	0.0497*** (0.0111)	0.9497*** (0.0114)	0.8021** (0.4074)	0.1241* (0.0826)	0.4868 (1.2609)	0.0636	0.3498	3.039	0.303	711.46	−1.4426
Indirect	0.0102 (0.0151)	0.0301*** (0.0068)	0.9695*** (0.0070)	−3.9227** (1.7941)	1.3826** (0.5819)	5.6081 (5.1729)	0.1075	0.3075	5.841	0.588	769.57	−1.4267
For Sustainability bond index returns (glsubi)
Direct	0.0208* (0.0117)	0.0498*** (0.0101)	0.9498*** (0.0758)	0.4839 (0.3576)	0.0376 (0.0758)	4.3752 (6.4645)	0.7159	0.7159	12.844	1.344	466.74	−0.9195
Indirect	0.0161 (0.0113)	0.0486*** (0.0107)	0.9510*** (0.0108)	0.0237 (3.9628)	0.1562 (1.2911)	0.0005 (1.4957)	0.2584	0.2952	14.243	1.461	499.80	−0.9421

Sentiment	$μ$	$α$	$β$	$m$	$θ$	$ω$	$ω_{1}$	$ω_{m}$	Q-stat	F-stat	LLF	AIC
For green bond index returns (glgbi)
Direct	0.4890*** (0.0202)	0.1342*** (0.0357)	0.8339*** (0.0461)	0.6783 (0.4163)	0.1208** (0.0583)	0.5755 (2.5682)	0.1566	0.4101	12.958	1.455	560.87	−2.2594
Indirect	0.0112 (0.0154)	0.0298*** (0.0069)	0.9698*** (0.0073)	−3.5312** (1.9423)	1.2294** (0.6223)	5.5058 (5.8288)	0.2043	0.2843	9.972	1.024	783.21	−1.4889
For social bond index returns (glsobi)
Direct	0.0170 (0.0156)	0.0497*** (0.0111)	0.9497*** (0.0114)	0.8021** (0.4074)	0.1241* (0.0826)	0.4868 (1.2609)	0.0636	0.3498	3.039	0.303	711.46	−1.4426
Indirect	0.0102 (0.0151)	0.0301*** (0.0068)	0.9695*** (0.0070)	−3.9227** (1.7941)	1.3826** (0.5819)	5.6081 (5.1729)	0.1075	0.3075	5.841	0.588	769.57	−1.4267
For Sustainability bond index returns (glsubi)
Direct	0.0208* (0.0117)	0.0498*** (0.0101)	0.9498*** (0.0758)	0.4839 (0.3576)	0.0376 (0.0758)	4.3752 (6.4645)	0.7159	0.7159	12.844	1.344	466.74	−0.9195
Indirect	0.0161 (0.0113)	0.0486*** (0.0107)	0.9510*** (0.0108)	0.0237 (3.9628)	0.1562 (1.2911)	0.0005 (1.4957)	0.2584	0.2952	14.243	1.461	499.80	−0.9421

Note(s): This is the output regression estimated using equations (1), (2), and (3). Values in parentheses are standard errors. ***, ** and * denote 1%, 5%, and 10% levels of significance, 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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