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 |