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

Table 5

Regression results of stock return and investor sentiment.

	Case (1)	Case (2)	Case (3)	Case (4)
	0.0599 (345.06)	0.0607(235.66)	0.0587(125.28)	0.0583 (111.37)
		−0.0013 (−2.48)	−0.0013 (−2.50)	−0.0014 (−2.54)
		0.0015 (5.00)	0.0016 (5.32)	0.0016 (5.29)
		−0.0005 (−1.08)	−0.0005 (−1.02)	−0.0005 (−1.02)
			0.0327 (5.94)	0.0318 (5.88)
	0.0011 (3.15)			0.0009 (2.57)
(%)	0.02	0.03	0.15	0.16
	83,324	83,324	83,324	83,324

Note. Data period is from August 1, 2014, to June 15, 2018. T -statistics are in parentheses and significance at the 0.01, 0.05, or 0.1 level is indicated by an ∗∗∗, an ∗∗, or an ∗, respectively.