Table 3 VAR models for the variables of...

Table 3

VAR models for the variables of interest

Variable	Coefficient	Std. Error	Stat. z	p > z	[95% conf	Interval]
Panel A: return
ISI_lag1	−0.0433	0.0288	−1.5100	0.1320	−0.0998	0.0131
ISI_lag2	−0.0027	0.0201	−0.1400	0.8920	−0.0420	0.0366
Ret_lag1	−0.0122	0.0572	−0.2100	0.8320	−0.1243	0.1000
Ret_lag2	−0.0449	0.0596	−0.7500	0.4510	−0.1618	0.0719
Vol_lag1	0.0004	0.0036	0.1100	0.9100	−0.0066	0.0074
Vol_lag2	−0.0074	0.0033	−2.2900	0.0220	−0.0138	−0.0011
Inflation	−0.0073	0.0034	−2.1100	0.0350	−0.0140	−0.0005
Interest rate	0.9258	0.7118	1.3000	0.1930	−0.4693	2.3209
Exchange rate	0.0032	0.0040	0.8000	0.4220	−0.0046	0.0111
GDP	−0.0006	0.0011	−0.5200	0.6000	−0.0028	0.0016
Constant	0.1152	0.0537	2.1400	0.0320	0.0099	0.2205
Panel B: investor sentiments on Twitter
ISI_lag1	0.2251	0.0637	3.5300	0.0000	0.1002	0.3499
ISI_lag2	0.0860	0.0444	1.9400	0.0530	−0.0010	0.1731
Ret_lag1	0.0139	0.1267	0.1100	0.9130	−0.2344	0.2621
Ret_lag2	0.0176	0.1320	0.1300	0.8940	−0.2411	0.2762
Vol_lag1	0.0032	0.0079	0.4000	0.6890	−0.0124	0.0187
Vol_lag2	0.0005	0.0072	0.0700	0.9420	−0.0136	0.0146
Inflation	−0.0254	0.0076	−3.3300	0.0010	−0.0404	−0.0105
Interest rate	1.5853	1.5756	1.0100	0.3140	−1.5027	4.6733
Exchange rate	−0.0062	0.0089	−0.7000	0.4820	−0.0236	0.0111
GDP	−0.0085	0.0025	−3.3700	0.0010	−0.0134	−0.0035
Constant	0.0839	0.1190	0.7100	0.4810	−0.1493	0.3170
Panel C: trading volume
ISI_lag1	0.1466	0.4811	0.3000	0.7610	−0.7964	1.0896
ISI_lag2	−0.0539	0.3354	−0.1600	0.8720	−0.7113	0.6035
Ret_lag1	−1.4280	0.9567	−1.4900	0.1360	−3.3030	0.4471
Ret_lag2	−2.3710	0.9966	−2.3800	0.0170	−4.3243	−0.4178
Vol_lag1	0.3392	0.0599	5.6600	0.0000	0.2218	0.4565
Vol_lag2	0.1419	0.0544	2.6100	0.0090	0.0353	0.2484
Inflation	0.1086	0.0576	1.8800	0.0600	−0.0044	0.2215
Interest rate	−7.2747	11.8989	−0.6100	0.5410	−30.5961	16.0466
Exchange rate	0.2270	0.0669	3.3900	0.0010	0.0959	0.3581
GDP	0.0408	0.0189	2.1600	0.0310	0.0037	0.0779
Constant	6.6815	0.8984	7.4400	0.0000	4.9207	8.4422
No. of Obs	270		Equation	R-sq	χ²	p > χ²
Log-likelihood	1440.7250		IS	0.1878	62.4220	0.0000
AIC	−10.4276		Ret	0.0515	14.6714	0.1445
HQIC	−10.2510		Vol	0.3750	162.0310	0.0000
SBIC	−9.9878

Variable	Coefficient	Std. Error	Stat. z	p > z	[95% conf	Interval]
Panel A: return
ISI_lag1	−0.0433	0.0288	−1.5100	0.1320	−0.0998	0.0131
ISI_lag2	−0.0027	0.0201	−0.1400	0.8920	−0.0420	0.0366
Ret_lag1	−0.0122	0.0572	−0.2100	0.8320	−0.1243	0.1000
Ret_lag2	−0.0449	0.0596	−0.7500	0.4510	−0.1618	0.0719
Vol_lag1	0.0004	0.0036	0.1100	0.9100	−0.0066	0.0074
Vol_lag2	−0.0074	0.0033	−2.2900	0.0220	−0.0138	−0.0011
Inflation	−0.0073	0.0034	−2.1100	0.0350	−0.0140	−0.0005
Interest rate	0.9258	0.7118	1.3000	0.1930	−0.4693	2.3209
Exchange rate	0.0032	0.0040	0.8000	0.4220	−0.0046	0.0111
GDP	−0.0006	0.0011	−0.5200	0.6000	−0.0028	0.0016
Constant	0.1152	0.0537	2.1400	0.0320	0.0099	0.2205
Panel B: investor sentiments on Twitter
ISI_lag1	0.2251	0.0637	3.5300	0.0000	0.1002	0.3499
ISI_lag2	0.0860	0.0444	1.9400	0.0530	−0.0010	0.1731
Ret_lag1	0.0139	0.1267	0.1100	0.9130	−0.2344	0.2621
Ret_lag2	0.0176	0.1320	0.1300	0.8940	−0.2411	0.2762
Vol_lag1	0.0032	0.0079	0.4000	0.6890	−0.0124	0.0187
Vol_lag2	0.0005	0.0072	0.0700	0.9420	−0.0136	0.0146
Inflation	−0.0254	0.0076	−3.3300	0.0010	−0.0404	−0.0105
Interest rate	1.5853	1.5756	1.0100	0.3140	−1.5027	4.6733
Exchange rate	−0.0062	0.0089	−0.7000	0.4820	−0.0236	0.0111
GDP	−0.0085	0.0025	−3.3700	0.0010	−0.0134	−0.0035
Constant	0.0839	0.1190	0.7100	0.4810	−0.1493	0.3170
Panel C: trading volume
ISI_lag1	0.1466	0.4811	0.3000	0.7610	−0.7964	1.0896
ISI_lag2	−0.0539	0.3354	−0.1600	0.8720	−0.7113	0.6035
Ret_lag1	−1.4280	0.9567	−1.4900	0.1360	−3.3030	0.4471
Ret_lag2	−2.3710	0.9966	−2.3800	0.0170	−4.3243	−0.4178
Vol_lag1	0.3392	0.0599	5.6600	0.0000	0.2218	0.4565
Vol_lag2	0.1419	0.0544	2.6100	0.0090	0.0353	0.2484
Inflation	0.1086	0.0576	1.8800	0.0600	−0.0044	0.2215
Interest rate	−7.2747	11.8989	−0.6100	0.5410	−30.5961	16.0466
Exchange rate	0.2270	0.0669	3.3900	0.0010	0.0959	0.3581
GDP	0.0408	0.0189	2.1600	0.0310	0.0037	0.0779
Constant	6.6815	0.8984	7.4400	0.0000	4.9207	8.4422
No. of Obs	270		Equation	R-sq	χ²	p > χ²
Log-likelihood	1440.7250		IS	0.1878	62.4220	0.0000
AIC	−10.4276		Ret	0.0515	14.6714	0.1445
HQIC	−10.2510		Vol	0.3750	162.0310	0.0000
SBIC	−9.9878

Note(s): ISI is the Twitter Investor Sentiment Index, Ret is the market return, Vol is the trading volume, GDP is the gross domestic product, p < 0.01 is significant at 1%, p < 0.05 is significant at 5% and p < 0.10 is significant at 10%

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