Table 9 Results of baseline model before and after the COVID-19 pandemic

Panel A: Before the COVID-19

SentiIntern

0.0284***

(2.64)

0.0287***

(2.64)

0.0274**

(2.49)

SentiTrade

0.0955***

(4.28)

0.0925***

(4.22)

0.103***

(3.95)

0.101***

(3.86)

0.0772***

(4.10)

0.0713***

(3.99)

L.Y

0.369***

(20.12)

0.362***

(19.99)

0.310***

(17.23)

0.304***

(16.35)

0.156***

(7.98)

0.152***

(7.99)

BM

− 0.882***

(− 3.23)

− 0.899***

(− 3.43)

− 0.960***

(− 3.48)

− 0.964***

(− 3.59)

− 0.237

(− 0.99)

− 0.242

(− 1.03)

Size

0.0284

(0.22)

0.00456

(0.04)

0.136

(0.89)

0.116

(0.79)

− 0.145*

(− 1.75)

− 0.168**

(− 2.12)

SenNum

0.0494***

(4.15)

0.0665***

(4.96)

0.0656***

(4.97)

0.0828***

(5.46)

0.0527***

(4.61)

0.0704***

(5.66)

Return

1.808***

(6.58)

1.727***

(6.53)

1.984***

(6.82)

1.931***

(6.64)

0.967**

(2.32)

0.858**

(2.13)

CS

0.363***

(2.91)

0.381***

(3.11)

0.381***

(3.36)

0.407***

(3.62)

0.255*

(1.72)

0.257*

(1.72)

TS

− 0.549**

(− 2.61)

− 0.557***

(− 2.65)

− 0.827***

(− 4.06)

− 0.820***

(− 4.03)

− 0.157

(-0.64)

− 0.163

(-0.66)

_cons

0.476

(0.15)

0.996

(0.33)

− 2.046

(− 0.55)

− 1.612

(− 0.46)

3.633*

(1.75)

4.120**

(2.07)

Firm

Control

Control

Control

Control

Control

Control

Weekday

Control

Control

Control

Control

Control

Control

adj. R²

0.234

0.235

0.212

0.215

0.050

0.051

Panel B: After the COVID-19

SentiIntern

0.0508***

(5.66)

0.0722***

(7.92)

0.0417***

(3.55)

SentiTrade

0.0824***

(3.92)

0.0783***

(3.94)

0.113***

(3.96)

0.107***

(4.01)

0.0965***

(4.39)

0.0913***

(4.37)

L.Y

0.543***

(45.89)

0.535***

(46.20)

0.406***

(24.88)

0.393***

(24.66)

0.183***

(16.32)

0.179***

(16.00)

BM

− 0.406***

(− 6.20)

− 0.386***

(− 5.99)

− 0.435***

(− 5.47)

− 0.405***

(− 5.10)

− 0.258***

(− 3.89)

− 0.234***

(− 3.53)

Size

0.0668

(1.65)

0.0602

(1.51)

0.139***

(2.76)

0.129**

(2.61)

− 0.188***

(− 4.93)

− 0.196***

(− 5.17)

SenNum

0.0688***

(7.16)

0.0848***

(8.32)

0.126***

(9.08)

0.153***

(10.15)

0.108***

(9.23)

0.123***

(10.06)

Return

− 0.0661

(− 0.40)

− 0.246

(− 1.47)

0.191

(1.20)

− 0.0443

(− 0.28)

0.122

(0.48)

− 0.0568

(− 0.22)

CS

0.636***

(16.12)

0.644***

(16.52)

0.571***

(11.95)

0.581***

(12.32)

0.578***

(13.93)

0.581***

(14.10)

TS

− 1.564***

(− 18.07)

− 1.558***

(− 17.74)

− 1.323***

(− 15.54)

− 1.304***

(− 15.05)

− 1.723***

(− 14.38)

− 1.716***

(− 14.22)

_cons

− 1.164

(− 1.21)

− 1.033

(− 1.10)

− 2.756**

(− 2.31)

− 2.577**

(− 2.20)

4.215***

(4.64)

4.356***

(4.85)

Firm

Control

Control

Control

Control

Control

Control

Weekday

Control

Control

Control

Control

Control

Control

adj. R²

0.415

0.416

0.332

0.335

0.087

0.088