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

Table 7

Regression results of investor sentiment and order imbalance of big trade.

	Case (1)	Case (2)	Case (3)	Case (4)
	0.2467 (15.82)	−0.1271 (−1.61)	−0.0713 (−1.52)	−0.0871 (−1.90)
		0.3606 (2.77)	0.2097 (2.65)	0.2083 (2.64)
		0.7253 (4.10)	0.4506 (4.27)	0.4506 (4.27)
		0.6650 (5.02)	0.3851 (4.96)	0.3856 (4.97)
			0.3995 (22.68)	0.3992 (22.61)
	0.1083 (5.03)			0.0310 (2.25)
(%)	0.09	5.26	20.38	20.39
	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.