Research Article
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 |
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indicates significant at 1% level; indicates significant at 5% level. |