Weibo Attention and Stock Market Performance: Some Empirical Evidence

Table 4

Results for the quantile regression analysis.

Indices	Quantile regression
	0.05	0.2	0.4	0.6	0.8	0.95
Panel A: returns
SH50	−0.3718	0.0252	0.0328	0.0752	0.1059	0.3492
HS300	−1.2600	−0.4090	−0.1226	−0.0668	0.2057	0.9803
SZ	−0.9174	−0.1622	−0.0354	−0.0121	−0.0825	0.3389
SME	−0.8412	−0.2953	0.0198	0.2887	0.5507	0.9357
ChiNext	−1.5149	−0.5379	−0.2338	−0.0720	0.2259	0.7316
Panel B: trading volume
SH50	0.0685	0.0727	0.0902	0.1532	0.3290	0.3052
HS300	−0.2416	−0.2277	−0.1841	−0.0657	0.2200	0.3326
SZ	0.1505	0.4418	0.5550	0.3858	0.1683	0.0799
SME	0.0107	0.0383	0.1076	0.1982	0.2855	0.1804
ChiNext	0.3937	0.4471	0.4436	0.4705	0.4288	0.2215
Panel C: volatility
SH50	0.0000	0.0002	0.0001	0.0013	0.0052	0.0230
HS300	0.0008	0.0016	0.0031	0.0061	0.0122	0.0393
SZ	−0.0002	0.0005	0.0005	0.0010	0.0045	0.0163
SME	0.0008	0.0018	0.0040	0.0067	0.0136	0.0143
ChiNext	0.0005	0.0009	0.0035	0.0079	0.0189	0.0392

indicates significant at 1% level; indicates significant at 5% level.