Does Online Investor Sentiment Affect the Asset Price Movement? Evidence from the Chinese Stock Market

Table 5

Autoregressive distributed lag model with the dependent variable of RSH.

Variable	Coefficient	Std.	-statistic	value	Adj.
Panel A: subsample 5 (01/14/2011–07/29/2014)
	−0.0015	0.0018	−0.8235	0.4114	0.0150
	−0.0419	0.0777	−0.5391	0.5906
	−0.0103	0.0078	−1.3096	0.1921
	−0.0100	0.0087	−1.1530	0.2505
	−0.0019	0.0078	−0.2444	0.8072
Panel B: subsample 6 (08/05/2014–06/05/2015)
	0.0169	0.0069	2.4546	0.0194	0.0084
	0.0425	0.1818	0.2335	0.8168
	0.0002	0.0195	0.0116	0.9908
	0.0287	0.0197	1.4538	0.1552
	0.0235	0.0189	1.2450	0.2217