Descriptive statistics of the analyzed variables
| Statistic | Mean | Median | SD | Min | Max |
|---|---|---|---|---|---|
| Vol | 3,672,363 | 3,463,024 | 1,144,582 | 833,734 | 11,388,420 |
| VPT | 243.3096 | 224.0000 | 102.7091 | 86.0000 | 1,136.0000 |
| VNT | 117.3686 | 89.0000 | 175.3354 | 32.0000 | 2,688.0000 |
| VTT | 639.7495 | 575.0000 | 357.0173 | 213.0000 | 5,281.0000 |
| IS | 0.033866 | 0.036085 | 0.037105 | −0.177825 | 0.189162 |
| Ret | 0.000855 | 0.000938 | 0.013029 | −0.087995 | 0.045704 |
| MKT | 0.000470 | 0.000584 | 0.011827 | −0.088402 | 0.044613 |
| SMB | 0.000446 | 0.000665 | 0.007399 | −0.039959 | 0.027848 |
| HML | 0.000787 | 0.000762 | 0.007814 | −0.056169 | 0.021858 |
| WML | 0.000563 | 0.000787 | 0.007337 | −0.058128 | 0.023911 |
| IML | 0.000561 | 0.000718 | 0.007804 | −0.030943 | 0.036575 |
| Statistic | Mean | Median | SD | Min | Max |
|---|---|---|---|---|---|
| Vol | 3,672,363 | 3,463,024 | 1,144,582 | 833,734 | 11,388,420 |
| VPT | 243.3096 | 224.0000 | 102.7091 | 86.0000 | 1,136.0000 |
| VNT | 117.3686 | 89.0000 | 175.3354 | 32.0000 | 2,688.0000 |
| VTT | 639.7495 | 575.0000 | 357.0173 | 213.0000 | 5,281.0000 |
| IS | 0.033866 | 0.036085 | 0.037105 | −0.177825 | 0.189162 |
| Ret | 0.000855 | 0.000938 | 0.013029 | −0.087995 | 0.045704 |
| MKT | 0.000470 | 0.000584 | 0.011827 | −0.088402 | 0.044613 |
| SMB | 0.000446 | 0.000665 | 0.007399 | −0.039959 | 0.027848 |
| HML | 0.000787 | 0.000762 | 0.007814 | −0.056169 | 0.021858 |
| WML | 0.000563 | 0.000787 | 0.007337 | −0.058128 | 0.023911 |
| IML | 0.000561 | 0.000718 | 0.007804 | −0.030943 | 0.036575 |
Note(s): Vol is the trading volume, VPT is the volume of positive tweets, VNT is the volume of negative tweets, VTT is the total volume of tweets, ISI is the Twitter Investor Sentiment Index, Ret is the market return, MKT is the market factor, SMB is the size factor, HML is the value factor, WML is the momentum factor, IML is the liquidity factor