Table 3 Summary statistics Variable N...

Table 3

Summary statistics

Variable	N	Mean	SD	Min	Max
SESTM	192	0.502	0.130	0.193	0.821
VADER	192	−0.046	0.296	−0.743	0.632
HIV	192	0.534	0.091	0.307	0.757
LM	192	0.398	0.100	0.162	0.685
Q_t (Commercials)	192	0.000	0.014	−0.034	0.043
Q_t (Non-commercials)	192	0.000	0.009	−0.022	0.027
WTI return	192	0.001	0.049	−0.167	0.161
US10 return	192	−0.002	0.044	−0.187	0.182
US30 return	192	−0.003	0.032	−0.147	0.130
VIX return	192	0.001	0.145	−0.426	0.707
Gold return	192	0.011	0.030	−0.046	0.163
S&P500 return	192	0.002	0.016	−0.080	0.043
NASDAQ return	192	0.003	0.022	−0.089	0.057
Dollar return	192	0.000	0.009	−0.029	0.024
Gas return	192	0.000	0.057	−0.267	0.165
EPU return	192	−0.365	0.824	−2.774	3.197

Variable	N	Mean	SD	Min	Max
SESTM	192	0.502	0.130	0.193	0.821
VADER	192	−0.046	0.296	−0.743	0.632
HIV	192	0.534	0.091	0.307	0.757
LM	192	0.398	0.100	0.162	0.685
Q_t (Commercials)	192	0.000	0.014	−0.034	0.043
Q_t (Non-commercials)	192	0.000	0.009	−0.022	0.027
WTI return	192	0.001	0.049	−0.167	0.161
US10 return	192	−0.002	0.044	−0.187	0.182
US30 return	192	−0.003	0.032	−0.147	0.130
VIX return	192	0.001	0.145	−0.426	0.707
Gold return	192	0.011	0.030	−0.046	0.163
S&P500 return	192	0.002	0.016	−0.080	0.043
NASDAQ return	192	0.003	0.022	−0.089	0.057
Dollar return	192	0.000	0.009	−0.029	0.024
Gas return	192	0.000	0.057	−0.267	0.165
EPU return	192	−0.365	0.824	−2.774	3.197

Note(s): This table presents descriptive statistics for various variables. This table include sentiment scores derived from the SESTM, the VADER algorithm, and the HIV and LM dictionaries. We also provide the changes in positions (Q_t) of commercial and non-commercial traders. Additionally, we report returns for WTI crude oil, US 10-year and 30-year treasury bonds, the VIX index, gold, the S&P 500 index, the NASDAQ index, the US dollar, natural gas, and the EPU index. Variables are defined in Appendix. For each variable, we provide the number of observations (N), mean (Mean), standard deviation (SD), minimum (Min) and maximum (Max)

Source(s): Authors’ own work

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