Table 10 Results of mediation effect model before and after the COVID-19 pandemic

Panel A: Mediating effect results before COVID-19

SentiIntern

0.00340***

(2.99)

0.0249**

(2.33)

0.0239**

(2.27)

0.0233**

(2.11)

SentiTrade

0.0115***

(4.98)

0.0855***

(4.17)

0.0876***

(3.78)

0.0650***

(4.00)

0.0111***

(4.88)

0.0828***

(4.13)

0.0864***

(3.71)

0.0602***

(3.97)

VPIN

0.693***

(5.58)

1.192***

(9.31)

0.451***

(3.15)

0.691***

(5.64)

1.158***

(9.09)

0.431***

(3.05)

L.Y

0.417***

(24.30)

0.324***

(16.69)

0.224***

(11.92)

0.145***

(7.23)

0.409***

(23.60)

0.318***

(17.50)

0.221***

(11.61)

0.142***

(7.35)

BM

− 0.132***

(− 3.29)

− 0.772***

(− 3.08)

− 0.790***

(− 3.43)

− 0.137

(− 0.59)

− 0.134***

(− 3.44)

− 0.790***

(− 3.25)

− 0.800***

(− 3.55)

− 0.148

(− 0.64)

Size

0.0452

(1.64)

− 0.0250

(− 0.22)

0.0507

(0.42)

− 0.187**

(− 2.42)

0.0430

(1.60)

− 0.0469

(− 0.43)

0.0354

(0.30)

− 0.205***

(− 2.74)

SenNum

0.00780***

(5.08)

0.0430***

(3.85)

0.0534***

(4.51)

0.0436***

(4.14)

0.0101***

(5.82)

0.0582***

(4.59)

0.0679***

(4.95)

0.0594***

(5.04)

Return

0.154***

(4.37)

1.727***

(5.99)

1.659***

(5.61)

0.875**

(2.09)

0.148***

(4.20)

1.655***

(5.99)

1.632***

(5.53)

0.783*

(1.94)

CS

0.0172

(1.30)

0.360***

(2.93)

0.381***

(3.47)

0.235

(1.62)

0.0180

(1.35)

0.376***

(3.11)

0.404***

(3.70)

0.235

(1.61)

TS

− 0.0250

(− 0.98)

− 0.558***

(− 2.67)

− 0.828***

(− 4.11)

− 0.144

(− 0.58)

− 0.0262

(− 1.03)

− 0.569***

(− 2.73)

− 0.825***

(− 4.10)

− 0.153

(− 0.62)

_cons

− 0.882

(− 1.34)

1.604

(0.57)

− 0.240

(− 0.08)

4.484**

(2.32)

− 0.834

(− 1.30)

2.084

(0.79)

0.0819

(0.03)

4.886**

(2.61)

Firm

Control

Control

Control

Control

Control

Control

Control

Control

Weekday

Control

Control

Control

Control

Control

Control

Control

Control

adj. R²

0.326

0.238

0.224

0.052

0.328

0.239

0.226

0.052

Panel B: Mediating effect results after COVID-19

SentiIntern

0.00609***

(5.05)

0.0459***

(5.27)

0.0603***

(6.99)

0.0289**

(2.55)

SentiTrade

0.0139***

(3.94)

0.0736***

(3.86)

0.0956***

(3.91)

0.0721***

(4.03)

0.0132***

(3.96)

0.0702***

(3.88)

0.0905***

(3.96)

0.0693***

(4.04)

VPIN

0.602***

(6.11)

1.413***

(14.79)

0.750***

(7.65)

0.580***

(5.92)

1.381***

(14.52)

0.723***

(7.30)

L.Y

0.386***

(21.80)

0.501***

(35.64)

0.298***

(21.65)

0.167***

(14.35)

0.378***

(21.49)

0.495***

(35.55)

0.289***

(21.32)

0.165***

(14.17)

BM

− 0.0779***

(− 4.44)

− 0.361***

(− 6.09)

− 0.346***

(− 4.60)

− 0.176**

(− 2.62)

− 0.0753***

(− 4.30)

− 0.344***

(− 5.83)

− 0.323***

(− 4.24)

− 0.161**

(− 2.38)

Size

0.0510***

(5.09)

0.0204

(0.53)

0.0421

(0.93)

− 0.256***

(− 6.58)

0.0506***

(5.08)

0.0162

(0.43)

0.0362

(0.80)

− 0.259***

(− 6.66)

SenNum

0.0151***

(7.94)

0.0634***

(6.88)

0.112***

(8.68)

0.087***

(7.66)

0.0175***

(8.64)

0.0781***

(8.02)

0.136***

(9.70)

0.098***

(8.08)

Return

0.136***

(5.56)

− 0.160

(− 0.92)

0.0581

(0.37)

− 0.0723

(− 0.27)

0.115***

(4.71)

− 0.321*

(− 1.82)

− 0.135

(− 0.88)

− 0.200

(− 0.74)

CS

0.0588***

(8.74)

0.618***

(16.44)

0.522***

(11.58)

0.521***

(13.20)

0.0594***

(8.94)

0.626***

(16.81)

0.531***

(11.90)

0.526***

(13.22)

TS

− 0.0674***

(− 4.81)

− 1.537***

(− 17.91)

− 1.184***

(− 13.87)

− 1.638***

(− 13.60)

− 0.0669***

(− 4.76)

− 1.532***

(− 17.58)

− 1.171***

(− 13.48)

− 1.638***

(− 13.50)

_cons

− 1.081***

(− 4.54)

− 0.146

(− 0.16)

− 0.627

(− 0.58)

5.695***

(6.15)

− 1.075***

(− 4.55)

− 0.0668

(− 0.08)

− 0.528

(− 0.49)

5.734***

(6.21)

Firm

Control

Control

Control

Control

Control

Control

Control

Control

Weekday

Control

Control

Control

Control

Control

Control

Control

Control

adj. R²

0.347

0.418

0.349

0.092

0.348

0.418

0.351

0.093