Table 9 Probit regression

Lagged return_t−1

0.011 (0.873)

0.025 (0.449)

0.014^c (0.052)

−0.022 (0.219)

−0.006 (0.371)

0.001 (0.988)

0.056^a (0.002)

0.008 (0.571)

0.009^c (0.061)

0.047^b (0.022)

0.012 (0.523)

0.014 (0.113)

Volume_t−1

0.062 (0.551)

0.404^a (0.000)

0.110^a (0.000)

0.176^a (0.000)

0.041^b (0.030)

0.035 (0.541)

0.025 (0.253)

0.015 (0.710)

−0.002 (0.736)

0.246^a (0.000)

0.016 (0.695)

0.142^a (0.000)

Google Trend_t−1

0.226^a (0.000)

0.051^a (0.002)

0.019^c (0.064)

0.007 (0.586)

−0.053^b (0.013)

0.039^a (0.009)

0.023^b (0.012)

0.081^a (0.000)

0.008 (0.112)

0.054 (0.119)

0.042^a (0.005)

0.042^a (0.008)

Market return_t−1

0.019 (0.588)

0.035 (0.112)

−0.014^b (0.029)

0.013 (0.464)

0.043^a (0.000)

0.010 (0.593)

−0.041^a (0.008)

0.004 (0.803)

−0.007 (0.137)

0.009 (0.615)

0.007 (0.613)

0.008 (0.386)

Volatility_t−1

−0.045 (0.229)

−0.022 (0.209)

−0.014^c (0.069)

0.059^a (0.000)

0.051^a (0.000)

0.031^b (0.038)

−0.007 (0.541)

0.014 (0.239)

−0.003 (0.640)

0.027 (0.164)

0.034^a (0.003)

0.022^b (0.049)

Observation

406

406

406

406

406

406

406

406

406

406

406

4466

R-squared

0.293

0.404

0.270

0.404

0.452

0.266

0.138

0.246

0.234

0.308

0.247

0.228