Weibo Attention and Stock Market Performance: Some Empirical Evidence
Table 1
Statistical properties for the variables.
Variables
Mean
Max
Min
Median
Std.
Kurtosis
Skewness
JB
Q(20)
SH50_returns
0.04
7.84
−9.38
0.00
1.63
9.14
−0.46
110
1825
HS300_returns
0.05
6.71
−8.75
0.06
1.57
8.94
−0.87
113
1814
SZ_returns
0.03
6.45
−8.24
0.09
1.75
7.15
−0.86
64
953
SME_returns
−0.03
6.83
−100
0.16
3.46
614.50
−21.34
7
17801414
ChiNext_returns
0.00
7.16
−100
0.11
3.67
487.08
−17.92
11
11162412
SH50_volume
12.75
15.14
11.43
12.55
0.73
3.15
0.97
14755
180
HS300_volume
13.94
15.74
12.79
13.83
0.64
2.89
0.73
15774
101
SZ_volume
12.93
14.96
10.83
13.35
1.10
1.65
−0.30
20034
103
SME_volume
11.93
13.04
10.72
11.91
0.48
2.38
−0.03
14283
18
ChiNext_volume
11.42
12.57
9.81
11.44
0.55
2.32
−0.20
15749
29
SH50_volatility
2.01 × 10−4
5.67 × 10−3
2.68 × 10−6
7.37 × 10−5
4.62 × 10−4
60.60
6.70
2418
165676
HS300_volatility
1.76 × 10−4
4.34 × 10−3
3.19 × 10−6
6.64 × 10−5
3.97 × 10−4
50.58
6.15
3379
114424
SZ_volatility
1.99 × 10−4
5.18 × 10−3
1.93 × 10−6
8.10 × 10−5
4.25 × 10−4
56.61
6.40
2337
143913
SME_volatility
2.02 × 10−4
5.67 × 10−3
0
7.99 × 10−5
4.45 × 10−4
66.36
6.89
2398
199154
ChiNext_volatility
2.95 × 10−4
7.83 × 10−3
0
1.30 × 10−4
5.66 × 10−4
56.94
6.17
2443
145072
SH50_attention
4.96
8.94
0.00
4.85
1.53
2.68
0.39
9462
33
HS300_attention
5.36
9.08
0.00
5.36
0.69
7.03
−0.09
4615
770
SZ_attention
2.52
6.83
0.00
2.48
1.11
3.44
0.43
2028
44
SME_attention
6.75
11.57
0.00
6.73
0.63
20.22
−0.01
2132
14051
ChiNext_attention
8.77
11.68
0.00
8.83
0.69
25.85
−1.93
5281
25430
This table reports the statistical properties for returns, volume, volatility, and Weibo attention. JB denotes the Jarque-Bera statistic test with the null hypothesis of Gaussian distribution. Q(20) denotes the Ljung-Box statistic test for up to 20th-order serial correlation. indicates significant at 1% level.
