Table 7 Mediation effect model results

SentiIntern

0.00526***

(5.26)

0.0391***

(5.47)

0.0474***

(6.48)

0.0280***

(3.27)

SentiTrade

0.0120***

(5.58)

0.0673***

(4.72)

0.0825***

(4.76)

0.0579***

(4.23)

0.0115***

(5.62)

0.0642***

(4.68)

0.0788***

(4.72)

0.0547***

(4.17)

VPIN

0.746***

(9.04)

1.479***

(18.91)

0.759***

(9.83)

0.729***

(8.91)

1.449***

(18.45)

0.735***

(9.44)

L.Y

0.434***

(30.34)

0.476***

(37.94)

0.306***

(25.90)

0.170***

(16.25)

0.427***

(29.24)

0.470***

(38.02)

0.299***

(25.17)

0.168***

(16.26)

BM

− 0.066***

(− 4.02)

− 0.220***

(− 2.74)

− 0.212**

(− 2.32)

− 0.0218

(− 0.34)

− 0.0641***

(− 3.94)

− 0.207**

(− 2.57)

− 0.195**

(− 2.11)

− 0.0110

(− 0.17)

Size

0.0467***

(5.20)

0.0749*

(1.87)

0.0945**

(2.32)

− 0.125***

(− 3.70)

0.0465***

(5.26)

0.0725*

(1.83)

0.0930**

(2.28)

− 0.128***

(− 3.81)

SenNum

0.0136***

(9.30)

0.0592***

(7.63)

0.0879***

(8.87)

0.0720***

(8.45)

0.0160***

(9.55)

0.0733***

(8.41)

0.107***

(9.33)

0.0842***

(9.01)

Return

0.144***

(6.49)

0.234

(1.43)

0.454***

(3.05)

0.0878

(0.35)

0.127***

(5.73)

0.0985

(0.60)

0.306**

(2.06)

− 0.0355

(− 0.15)

CS

0.0737***

(12.51)

0.704***

(21.11)

0.627***

0.522***

0.0749***

(12.74)

0.717***

(21.59)

0.643***

(16.57)

0.529***

(15.52)

(16.20)

(15.47)

TS

− 0.073***

(− 5.81)

− 1.437***

(− 17.48)

− 1.222***

(− 15.08)

− 1.393***

(− 12.23)

− 0.0738***

(− 5.80)

− 1.440***

(− 17.21)

− 1.219***

(− 14.77)

− 1.395***

(− 12.14)

_cons

− 1.009***

(− 4.73)

− 1.559

(− 1.65)

− 1.992**

(− 2.07)

2.599***

(3.24)

− 1.010***

(− 4.81)

− 1.529

(− 1.63)

− 1.994**

(− 2.07)

2.636***

(3.31)

Firm

Control

Control

Control

Control

Control

Control

Control

Control

Weekday

Control

Control

Control

Control

Control

Control

Control

Control

adj. R²

0.422

0.422

0.376

0.091

0.423

0.423

0.377

0.092