The Effect of Online Investor Sentiment on Stock Movements: An LSTM Approach

Table 3

Results of ADF test for stationarity.

Variables	ADF test statistic	Test critical values			value
		1% level	5% level	10% level
Sentiment	−47.42181	−3.430243	−2.861377	−2.566723	0.0001
Return	−42.34230	−3.430243	−2.861377	−2.566723	0.0000
Volume	−16.62150	−3.958120	−3.409844	−3.126628	0.0000
Order-imbalance	−79.42494	−3.430243	−2.861377	−2.566723	0.0001
Book-to-market ratio	−11.85718	−3.430243	−2.861377	−2.566723	0.0000
Market value	−8.817231	−3.430243	−2.861377	−2.566723	0.0000
Beta	−20.33678	−3.430243	−2.861377	−2.566723	0.0000