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Financial Innovation

Table 6 Analysis of the integrity factor for three intra-day periods from 2019 to 2022

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

 

OP

CP

HP

LP

PCP

Overall

ISA

0.385*****

0.384*****

0.381*****

0.388*****

0.373*****

0.383*****

ISB

0.270*****

0.297*****

0.283*****

0.282*****

0.278*****

0.282*****

ISC

0.198*****

0.241*****

0.208 *****

0.223*****

0.196*****

0.213*****

  1. *, **, ***, ****, 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
  2. ISA, ISB, and ISC represent investor sentiment for time periods 00:00 a.m.–09:30 a.m.; 09:30 a.m.–15:00 p.m.; and 15:00 p.m.–24:00 p.m., respectively, within a day
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