The impact of investor attention on stock volatility
| No. | Ticker | Ln(SVI) | Ln (SVImarket) | Adj. R2 | No. | Ticker | Ln(SVI) | Ln (SVImarket) | Adj. R2 |
|---|---|---|---|---|---|---|---|---|---|
| (1) | BFC | 0.284** | 0.137 | (26) | KDH | 0.438** | 0.261* | 0.215 | |
| (2) | CAV | −0.0654 | 0.275 | (27) | KSB | 0.511*** | 0.160 | ||
| (3) | CII | 0.228* | 0.251** | 0.211 | (28) | LDG | 0.342* | 0.074 | |
| (4) | CTD | 0.219** | 0.207 | (29) | MBB | 0.323 | |||
| (5) | CTG | 0.325* | 0.328 | (30) | MWG | 0.417*** | 0.148 | ||
| (6) | CTI | 0.470*** | 0.222 | (31) | NBB | 0.269* | 0.149 | ||
| (7) | DCM | 0.315** | 0.299 | (32) | NKG | 0.356** | 0.139 | ||
| (8) | DHG | −0.421*** | 0.182* | 0.242 | (33) | NLG | 0.468*** | 0.182 | |
| (9) | DPM | 0.276*** | 0.341 | (34) | NT2 | 0.331*** | 0.191 | ||
| (10) | DPR | 0.164 | (35) | PDR | 0.158 | ||||
| (11) | DRC | 0.443*** | 0.311 | (36) | PHR | 0.085 | |||
| (12) | DXG | 0.216 | (37) | PTB | 0.252* | 0.288*** | 0.175 | ||
| (13) | FCN | 0.350*** | 0.273 | (38) | PVD | 0.431*** | 0.308 | ||
| (14) | GMD | 0.360*** | 0.184 | (39) | PVT | 0.222** | 0.226 | ||
| (15) | GTN | 0.377*** | 0.264 | (40) | QCG | 0.417* | 0.137 | ||
| (16) | HAG | 1.398*** | 0.244 | (41) | REE | 0.197 | |||
| (17) | HBC | 0.307** | 0.244** | 0.139 | (42) | SJD | 0.226 | ||
| (18) | HNG | 0.695* | 0.124 | (43) | SJS | 0.470*** | 0.204* | 0.136 | |
| (19) | HPG | 0.207* | 0.218* | 0.171 | (44) | SKG | 0.117 | ||
| (20) | HQC | 0.125 | (45) | STB | 0.125 | ||||
| (21) | HT1 | 0.181 | (46) | STG | 0.406 | ||||
| (22) | IJC | 0.307** | 0.184 | (47) | VHC | 0.281* | 0.147 | ||
| (23) | IMP | 0.221 | (48) | VNM | 0.102 | ||||
| (24) | KBC | 0.797*** | 0.327*** | 0.192 | (49) | VSC | 0.343*** | 0.198 | |
| (25) | KDC | −0.460** | 0.264*** | 0.250 |
| No. | Ticker | Ln(SVI) | Ln (SVImarket) | Adj. | No. | Ticker | Ln(SVI) | Ln (SVImarket) | Adj. |
|---|---|---|---|---|---|---|---|---|---|
| (1) | BFC | 0.284** | 0.137 | (26) | KDH | 0.438** | 0.261* | 0.215 | |
| (2) | CAV | −0.0654 | 0.275 | (27) | KSB | 0.511*** | 0.160 | ||
| (3) | CII | 0.228* | 0.251** | 0.211 | (28) | LDG | 0.342* | 0.074 | |
| (4) | CTD | 0.219** | 0.207 | (29) | MBB | 0.323 | |||
| (5) | CTG | 0.325* | 0.328 | (30) | MWG | 0.417*** | 0.148 | ||
| (6) | CTI | 0.470*** | 0.222 | (31) | NBB | 0.269* | 0.149 | ||
| (7) | DCM | 0.315** | 0.299 | (32) | NKG | 0.356** | 0.139 | ||
| (8) | DHG | −0.421*** | 0.182* | 0.242 | (33) | NLG | 0.468*** | 0.182 | |
| (9) | DPM | 0.276*** | 0.341 | (34) | NT2 | 0.331*** | 0.191 | ||
| (10) | DPR | 0.164 | (35) | PDR | 0.158 | ||||
| (11) | DRC | 0.443*** | 0.311 | (36) | PHR | 0.085 | |||
| (12) | DXG | 0.216 | (37) | PTB | 0.252* | 0.288*** | 0.175 | ||
| (13) | FCN | 0.350*** | 0.273 | (38) | PVD | 0.431*** | 0.308 | ||
| (14) | GMD | 0.360*** | 0.184 | (39) | PVT | 0.222** | 0.226 | ||
| (15) | GTN | 0.377*** | 0.264 | (40) | QCG | 0.417* | 0.137 | ||
| (16) | HAG | 1.398*** | 0.244 | (41) | REE | 0.197 | |||
| (17) | HBC | 0.307** | 0.244** | 0.139 | (42) | SJD | 0.226 | ||
| (18) | HNG | 0.695* | 0.124 | (43) | SJS | 0.470*** | 0.204* | 0.136 | |
| (19) | HPG | 0.207* | 0.218* | 0.171 | (44) | SKG | 0.117 | ||
| (20) | HQC | 0.125 | (45) | STB | 0.125 | ||||
| (21) | HT1 | 0.181 | (46) | STG | 0.406 | ||||
| (22) | IJC | 0.307** | 0.184 | (47) | VHC | 0.281* | 0.147 | ||
| (23) | IMP | 0.221 | (48) | VNM | 0.102 | ||||
| (24) | KBC | 0.797*** | 0.327*** | 0.192 | (49) | VSC | 0.343*** | 0.198 | |
| (25) | KDC | −0.460** | 0.264*** | 0.250 |
Notes: Only coefficients with at least 10 percent significance level and attention variables are presented, full details are reported in Table AII. *,**,***Significant at 10, 5 and 1 percent levels, respectively