The game of lies by stock investors in social media: a study based on city lockdowns in China

Financial Innovation

Table 11 Statistics of IF for the periods around the lockdown in Shanghai

	OP	CP	HP	LP	PCP	Overall
\(IS\) in \({p}_{-1}^{Shanghai}\)	0.467***	0.595*****	0.491***	0.565****	0.457***	0.524****
\(IS\) in \({p}_{0}^{Shanghai}\)	− 0.310**	− 0.115	− 0.295*	− 0.207	− 0.354**	− 0.261*
\(IS\) in \({p}_{1}^{Shanghai}\)	0.115	0.318**	0.219	0.171	0.111	0.189
\(IS\) in \({p}_{2}^{Shanghai}\)	0.225	0.607****	0.339***	0.501****	0.262*	0.422***

\({p}_{-1}^{Shanghai}\) denotes the 38 trading days before the lockdown in Shanghai
\({p}_{0}^{Shanghai}\) denotes the 38 trading days during the lockdown in Shanghai
\({p}_{1}^{Shanghai}\) denotes the 38 trading days after the end of the lockdown in Shanghai
\({p}_{2}^{Shanghai}\) denotes the second 38 trading days after the end of lockdown in Shanghai
^*, **, ***, ****, and ***** represent significance levels of 0.1, 0.05, 0.01, 0.001, and 0.0001, respectively
The overall column uses the mean of OP, CP, HP, LP, and PCP as price proxies for calculating correlations