Table 5 Results of the impact of investor sentiment on stock volatility

SentiIntern

0.0447***

(6.03)

0.0582***

(7.46)

0.0398***

(4.51)

SentiTrade

0.0777***

(4.95)

0.0740***

(4.91)

0.100***

(5.07)

0.0952***

(5.03)

0.0809***

(4.89)

0.0755***

(4.81)

L.Y

0.529***

(50.19)

0.521***

(49.58)

0.421***

(33.14)

0.410***

(31.69)

0.188***

(18.33)

0.184***

(18.13)

BM

− 0.283***

(− 3.32)

− 0.267***

(− 3.14)

− 0.320***

(− 3.24)

− 0.296***

(− 3.01)

− 0.108*

(− 1.66)

− 0.0879

(− 1.37)

Size

0.123***

(2.86)

0.119***

(2.80)

0.181***

(3.87)

0.177***

(3.84)

− 0.0631*

(− 1.82)

− 0.0693**

(− 2.04)

SenNum

0.0672***

(8.17)

0.0831***

(8.98)

0.105***

(9.59)

0.127***

(10.13)

0.0933***

(10.36)

0.109***

(11.39)

Return

0.352**

(2.28)

0.196

(1.26)

0.670***

(4.50)

0.482***

0.297

0.126

CS

0.736***

(21.23)

0.749***

(21.74)

0.695***

(17.20)

0.711***

(17.67)

0.599***

(17.42)

0.605***

(17.49)

TS

− 1.471***

(− 17.91)

− 1.473***

(− 17.62)

− 1.362***

(− 16.99)

− 1.354***

(− 16.59)

− 1.485***

(− 13.17)

− 1.482***

(− 13.01)

_cons

− 2.621**

(− 2.57)

− 2.561**

(− 2.55)

− 3.897***

(− 3.52)

− 3.849***

(− 3.53)

1.256

(1.53)

1.356*

(1.68)

Chisq

1848.80***

1863.39***

2999.80***

3079.48***

2103.07***

2118.87***

Firm

Control

Control

Control

Control

Control

Control

Weekday

Control

Control

Control

Control

Control

Control

adj. R²

0.418

0.419

0.359

0.361

0.085

0.086