Table 6 The results of investor sentiments’ effects on volatilities in different boards

Panel A: Main board

SentiIntern

0.0437***

(4.24)

0.0486***

(4.43)

0.0450***

(4.44)

SentiTrade

0.0736***

(2.95)

0.0704***

(2.94)

0.0945***

(3.06)

0.0913***

(3.06)

0.0760**

(2.67)

0.0704**

(2.64)

L.Y

0.537***

(37.22)

0.531***

(37.18)

0.430***

(22.56)

0.422***

(21.88)

0.183***

(11.65)

0.178***

(11.54)

BM

− 0.324***

(− 2.87)

− 0.308***

(− 2.76)

− 0.330**

(− 2.34)

− 0.308**

(− 2.21)

− 0.205***

(− 3.09)

− 0.181***

(− 2.70)

Size

0.0661

(0.92)

0.0626

(0.91)

0.136

(1.57)

0.131

(1.59)

− 0.139***

(− 2.96)

− 0.146***

(− 3.27)

SenNum

0.0608***

(5.03)

0.0745***

(5.42)

0.100***

(6.08)

0.119***

(6.24)

0.0932***

(6.65)

0.111***

(7.43)

Return

0.504**

(2.24)

0.343

(1.46)

0.568**

(2.44)

0.416*

(1.70)

0.624*

(1.86)

0.432

(1.34)

CS

0.795***

(20.56)

0.809***

(20.68)

0.762***

(17.43)

0.778***

(17.54)

0.617***

(12.75)

0.625***

(12.74)

TS

− 1.470***

(− 12.42)

− 1.467***

(− 12.27)

− 1.442***

(− 12.07)

− 1.428***

(− 11.86)

− 1.307***

(− 9.24)

− 1.298***

(− 9.13)

_cons

− 1.349

(− 0.78)

− 1.295

(− 0.79)

− 2.956

(− 1.41)

− 2.892

(− 1.45)

3.095***

(2.75)

3.221***

(2.99)

Firm

Control

Control

Control

Control

Control

Control

Weekday

Control

Control

Control

Control

Control

Control

adj. R²

0.418

0.419

0.355

0.356

0.085

0.086

Panel B: SME board

SentiIntern

0.0329**

(2.11)

0.0614***

(3.87)

0.0321

(1.45)

SentiTrade

0.0834***

(2.91)

0.0803***

(2.82)

0.123***

(3.44)

0.116***

(3.28)

0.0994***

(3.96)

0.0938***

(3.75)

L.Y

0.541***

(25.96)

0.535***

(25.45)

0.411***

(16.17)

0.402***

(15.32)

0.214***

(10.61)

0.212***

(10.62)

BM

− 0.0979

(− 0.79)

− 0.0858

(− 0.69)

− 0.168

(− 1.14)

− 0.148

(− 1.00)

0.114

(1.03)

0.126

(1.13)

Size

0.124*

(1.92)

0.122*

(1.86)

0.166**

(2.19)

0.165**

(2.14)

− 0.0493

(− 0.82)

− 0.0529

(− 0.89)

SenNum

0.0706***

(5.25)

0.0834***

(5.21)

0.108***

(5.99)

0.130***

(5.92)

0.103***

(6.87)

0.117***

(7.02)

Return

0.406*

(1.77)

0.290

(1.24)

0.874***

(4.09)

0.662***

(3.26)

0.139

(0.33)

0.0102

(0.02)

CS

0.784***

(10.71)

0.788***

(10.92)

0.776***

(8.66)

0.782***

(8.84)

0.610***

(8.23)

0.607***

(8.11)

TS

− 1.543***

(− 11.14)

− 1.551***

(− 11.01)

− 1.338***

(− 9.15)

− 1.343***

(− 8.94)

− 1.776***

(− 7.39)

− 1.776***

(− 7.38)

_cons

− 2.759*

(− 1.85)

− 2.729*

(− 1.82)

− 3.614**

(− 2.08)

− 3.632**

(− 2.06)

0.753

(0.53)

0.804

(0.58)

Firm

Control

Control

Control

Control

Control

Control

Weekday

Control

Control

Control

Control

Control

Control

adj. R²

0.442

0.443

0.369

0.371

0.104

0.105

Panel C: GEM board

SentiIntern

0.0548***

(4.15)

0.0704***

(5.12)

0.0296

(1.65)

SentiTrade

0.0830***

(3.19)

0.0778***

(3.22)

0.0947***

(3.15)

0.0882***

(3.18)

0.0767***

(3.31)

0.0724***

(3.27)

L.Y

0.481***

(21.55)

0.469***

(21.86)

0.396***

(16.03)

0.378***

(15.11)

0.161***

(9.92)

0.157***

(9.63)

BM

− 0.869***

(− 3.37)

− 0.859***

(− 3.40)

− 0.996***

(− 3.79)

− 0.986***

(− 3.80)

− 0.301

(− 1.26)

− 0.280

(− 1.20)

Size

0.125**

(2.28)

0.114**

(2.20)

0.168**

(2.68)

0.157**

(2.63)

− 0.00748

(− 0.16)

− 0.0147

(− 0.32)

SenNum

0.0780***

(4.32)

0.103***

(6.96)

0.113***

(5.10)

0.146***

(6.92)

0.0736***

(4.64)

0.0877***

(5.96)

Return

0.106

(0.29)

− 0.0632

(− 0.18)

0.557

(1.64)

0.345

(1.05)

0.0464

(0.09)

− 0.100

(− 0.20)

CS

0.521***

(6.85)

0.545***

(7.15)

0.433***

(5.09)

0.461***

(5.38)

0.517***

(8.40)

0.529***

(8.98)

TS

− 1.394***

(− 7.03)

− 1.392***

(− 6.88)

− 1.228***

(− 7.11)

− 1.212***

(− 6.95)

− 1.530***

(− 6.23)

− 1.533***

(− 6.10)

_cons

− 2.166

(− 1.64)

− 1.977

(− 1.57)

− 3.057*

(− 2.03)

− 2.853*

(− 1.99)

0.178

(0.16)

0.299

(0.27)

Firm

Control

Control

Control

Control

Control

Control

Weekday

Control

Control

Control

Control

Control

Control

adj. R²

0.393

0.394

0.361

0.363

0.065

0.066