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Table 1 Summary of the regression results This table reports the regression results of model (6). As the analysis is based on the stock by stock regression, we employ the Bonferroni correction method to correct the p-values for the multiple comparisons problem. The significance cut-off is set to α/n (α = 0.05 and n = 90). Since not all the variables are standardized, the reported coefficients are not the basis points but depend on the scale of the variables

From: Baidu index and predictability of Chinese stock returns

Variables

ChiNext

Main board

SME board

Full sample

Intercept

0.0173a

0.0153a

0.0157a

0.0161a

SSFBI t − 1

0.0023a

0.0019a

0.0029a

0.0024a

SSFBI t − 2

−0.0008

−0.0002

−0.0013

−0.0008

SSFBI t − 3

0.0003

0.0003

0.0005

0.0004

SSFBI t − 4

0.0002

0.0000

−0.0005

−0.0001

SSFBI t − 5

0.0001

0.0000

0.0001

0.0001

AbRet t − 1

0.0162

0.0138

0.0103

0.0134

AbRet t − 2

−0.0041

0.0128

0.0128

0.0072

AbRet t − 3

−0.0041

−0.0000

0.0077

0.0012

AbRet t − 4

−0.0128

0.0046

0.0049

−0.0011

AbRet t − 5

0.0027

−0.0072

0.0031

−0.0004

  1. Note: adenotes the significant at 1% level