Table 1 Variable definitions
Variable | Meaning | |
|---|---|---|
Explained variables | RVi,t | The realized volatility of stock I on day t |
RBVi,t | The continuous volatility of stock I on day t | |
Jumpi,t | The jump volatility of stock I on day t | |
Explanatory variables | SentiInterni,t | The Internet sentiment of stock I on day t |
SentiTradei,t | The trading sentiment of stock I on day t | |
Mediating variable | VPINi,t | The probability of informed trading of stock I on day t |
Control variables | Returni,t | The return of stock I on day t |
BMi,t | The book-to-market ratio of stock I on day t | |
Sizei,t | The market value of stock I on day t | |
SenNumi,t | The number of posts of stock I on day t | |
CSt | The credit spread of the market on day t | |
TSt | The term spread of the market on day t | |
Tuest/Wedt/Thurt/Frit | The four weekday-effect dummies on day t |