Investor Sentiment and Stock Market Reactions to COVID-19: Evidence from China
Table 5
Regression result of model (4): excessive trading volume and registered place of listed company.
T = 1
T = 5
T = 10
T = 15
T = 20
T = 25
0.0923 (0.449)
0.5028 (2.746)
0.4261 (2.548)
0.3082 (2.065)
0.2566 (1.935)
0.2080 (1.646)
Firm size
−0.0017 (−0.016)
−0.1078 (−1.125)
−0.0667 (−0.762)
−0.0494 (−0.632)
−0.0204 (−0.294)
−0.0332 (−0.503)
Turnover
−0.1641 (−3.135)
−0.1131 (−2.425)
−0.0398 (−0.934)
−0.0087 (−0.228)
−0.0041 (−0.121)
−0.0172 (−0.536)
PE
−0.0005 (−0.673)
−0.0004 (−0.598)
−0.0003 (−0.455)
−0.0002 (−0.302)
−0.0002 (−0.521)
−0.0004 (−0.873)
ROE
−0.0062 (−1.038)
−0.0025 (−0.469)
0.0011 (0.227)
0.0044 (1.008)
0.0044 (1.152)
0.0051 (1.383)
BPS
0.2559 (1.112)
0.0737 (0.359)
−0.0434 (−0.232)
−0.0816 (−0.489)
−0.1184 (−0.798)
−0.1222 (−0.864)
EPS
0.0152 (0.358)
0.0174 (0.459)
0.0250 (0.724)
0.0152 (0.492)
0.0214 (0.780)
0.0182 (0.696)
Constant
−0.0109 (−0.004)
2.9527 (1.336)
1.7438 (0.864)
1.3566 (0.753)
0.8260 (0.516)
1.2177 (0.799)
N
190
190
190
190
190
190
0.0798
0.0753
0.0469
0.0332
0.0316
0.0332
Note. This table is based on the following regression: and presents the result of the regression with control variables. T is the number of trading days before and after the event date. T statistics are reported in parentheses. Significance at 10%, 5%, and 1% levels is indicated by ,, and , respectively.
