4. Empirical Results
4.2 Use the number of responses of a specific stock to predict the return of stocks
4.2 Use the number of responses of a specific stock to predict the return of stocks
We pick up 23 stocks from the component stocks of Taiwan 50 whose samples are at least 10. In ch3, we use the independent variable ( R ) to represent the number of responses in an article mentioning one of the 23 stocks – the author of article told us the stock is bullish or bearish. The dependent variable (S) is the returns of one of the 23 stocks next day or more days later. The model 3 in ch3 is used to exam whether the R can predict the S or not and the results are as below:
Table 3: The result of model 3 (ticker:4938)
Variable (8) lag1 (9) lag2 (10) lag3
The table 3 above shows that there is positive relationship between the number of responses and the returns 3 days from now of 4398.
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Table 4: The result of model 3 (ticker:3481)
Variable (8) lag1 (9) lag2 (10) lag3
Constant 0.013089 0.039979 -0.03759
(0.02480) (0.02416) (0.02383)
lnR -0.00337 -0.01336 0.015953*
(0.00927) (0.00881) (0.00884)
M(t) -0.0094 -0.01132* -0.0121*
(0.00708) (0.00641) (0.00631)
M(t-1) 0.004623 0.007167 0.005
(0.00593) (0.00575) (0.00544)
M(t-2) 0.005226 0.004176 0.002356
(0.00601) (0.00573) (0.00578)
M(t-3) 0.001646 0.002387 0.003797
(0.00593) (0.00563) (0.00560)
Observation 25 25 25
R square 0.1613 0.2466 0.2791 (p-value<0.01: ***, p-value < 0.05:**, p-value < 0.1: *)
The table 4 above shows that there is positive relationship between the number of responses and the returns 3 days from now of 3481.
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Table 5: The result of model 3 (ticker:2330)
Variable (8) lag1 (9) lag2 (10) lag3
Constant -0.0011 0.011279 0.004166
(0.00704) (0.00697) (0.00747)
lnR 0.000717 -0.00444 -0.00149
(0.00276) (0.00274) (0.00298)
M(t) 0.001833 0.00061 0.001459
(0.00297) (0.00293) (0.00309)
M(t-1) 0.00348 0.00434 0.00300
(0.00313) (0.00301) (0.00312)
M(t-2) -0.00384 -0.00507 -0.00362
(0.00311) (0.00305) (0.00314)
M(t-3) 0.004675 0.004297 0.004293
(0.00310) (0.00297) (0.00320)
Observation 35 35 35
R square 0.1498 0.2183 0.1551 (p-value<0.01: ***, p-value < 0.05:**, p-value < 0.1: *)
The table 5 above shows that there is no significant relationship between the number of responses and returns of 2330.
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Table 6: The result of model 3 (ticker:3008)
Variable (8) lag1 (9) lag2 (10) lag3
Constant 0.015061 0.007836 0.015109
(0.00920) (0.00941) (0.00879)
lnR -0.00556 -0.00242 -0.0057
(0.00368) (0.00377) (0.00357 )
M(t) 0.000239 -0.0007 -0.00105
(0.00361) (0.0037) (0.00358)
M(t-1) 0.00043 0.00003 -0.00062
(0.00369) (0.00381) (0.00365)
M(t-2) 0.00020 0.00140 0.00191
(0.00376) (0.00386) (0.00374)
M(t-3) -0.00053 -0.00163 -0.00063
(0.00365) (0.00376) (0.00363)
Observation 36 36 36
R square 0.0763 0.0196 0.0841 (p-value<0.01: ***, p-value < 0.05:**, p-value < 0.1: *)
The table 6 above shows that there is no significant relationship between the number of responses and returns of 3008.
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Table 7: The result of model 3 (ticker:2303)
Variable (8) lag1 (9) lag2
Constant -0.01268 0.00817
(0.01373) (0.00899)
lnR -0.0028 -0.0158**
(0.01014) (0.00538)
M(t) 0.02786 0.02656*
(0.02123) (0.01328)
M(t-1) -0.00755 -0.00852
(0.02096) (0.00896)
Observation 10 10
R square 0.2694 0.6963 (p-value<0.01: ***, p-value < 0.05:**, p-value < 0.1: *)
The table 7 above shows that there is negative relationship between the number of responses and the returns 2 days from now of 2303.
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Table 8: The result of model 3 (ticker:2357)
Variable (8) lag1 (9) lag2 (10) lag3
Constant -0.01248 -0.00272 0.004495
(0.01166) (0.01229) (0.01118)
The table 8 above shows that there is no significant relationship between the number of responses and returns of 2357.
Table 9: The result of model 3 (ticker:1303) Variable (8) lag1
The table 9 above shows that there is no significant relationship between the number of responses and returns of 1303.
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Table 10: The result of model 3 (ticker:2002)
Variable (8) lag1
(p-value<0.01: ***, p-value < 0.05:**, p-value < 0.1: *)
The table 10 above shows that there is no significant relationship between the number of responses and returns of 2002.
Table 11: The result of model 3 (ticker:2311)
Variable (8) lag1 (9) lag2 (10) lag3
The table 11 above shows that there is negative relationship between the number of responses and the returns 3 days from now of 2311.
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Table 12: The result of model 3 (ticker:2317)
Variable (8) lag1 (9) lag2 (10) lag3
Constant 0.008615* -0.01164** -0.00199
(0.00510) (0.00483) (0.00526)
lnR -0.003 0.005511*** 0.00145
(0.00202) (0.00191) (0.00206)
M(t) 0.00634** 0.00840*** 0.00669**
(0.00250) (0.00241) (0.00254)
M(t-1) 0.00503* 0.00670*** 0.00621**
(0.00262) (0.00243) (0.00269)
M(t-2) 0.00283 0.00400 0.00296
(0.00263) (0.00250) (0.00271)
M(t-3) 0.004479* 0.00469* 0.005571**
(0.00261) (0.00241) (0.00267)
Observation 48 48 48
R square 0.2567 0.3476 0.2270 (p-value<0.01: ***, p-value < 0.05:**, p-value < 0.1: *)
The table 12 above shows that there is positive relationship between the number of responses and the returns 2 days from now of 2317.
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Table 13: The result of model 3 (ticker:1216)
Variable (8) lag1 (9) lag2 (10) lag3
The table 13 above shows that there is significantly positive relationship between the number of responses and the returns 1 day from now of 1216.
Table 14: The result of model 3 (ticker:2382) Variable (8) lag1
The table 14 above shows that there is no significant relationship between the number of responses and returns in 2382.
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Table 15: The result of model 3 (ticker:2891)
Variable (8) lag1 (9) lag2
The table 13 above shows that there is significantly negative relationship between the number of responses and the returns 1 day from now of 2891.
Table 16: The result of model 3 (ticker:2325)
Variable (8) lag1 (9) lag2 (10) lag3
The table 16 above shows that there is significantly positive relationship between the number of responses and the returns 1 day from now of 2325.
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Table 17: The result of model 3 (ticker:2412)
Variable (8) lag1 (9) lag2
Constant -0.00841 -0.00205
(0.00718) (0.00531)
lnR 0.00291 0.00071
(0.00252) (0.00204)
M(t) 0.00558*** 0.00549***
(0.00071) (0.00079)
M(t-1) 0.00054 0.00090
(0.00084) (0.00091)
M(t-2) 0.00029 0.00039
(0.00074) (0.00082)
Observation 10 10
R square 0.9325 0.9164 (p-value<0.01: ***, p-value < 0.05:**, p-value < 0.1: *)
The table 17 above shows that there is no significant relationship between the number of responses and returns in 2412.
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Table 18: The result of model 3 (ticker:2490)
Variable (8) lag1 (9) lag2 (10) lag3
Constant 0.00981 -0.01012 0.02060
(0.0241) (0.0266) (0.0209)
lnR -0.00535 0.00296 -0.01056
(0.0096) (0.0107) (0.0088)
M(t) 0.00405 0.00381 0.00450
(0.0051) (0.0058) (0.0048)
M(t-1) -0.00360 -0.00257 -0.00057
(0.0050) (0.0052) (0.0051)
M(t-2) -0.00133 -0.00182 -0.00428
(0.0053) (0.0053) (0.0051)
M(t-3) -0.00491 -0.00342 -0.00318
(0.0088) (0.0084) (0.00797)
Observation 20 20 20
R square 0.1161 0.1015 0.1800 (p-value<0.01: ***, p-value < 0.05:**, p-value < 0.1: *)
The table 18 above shows that there is no significant relationship between the number of responses and returns in 2490.
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Table 19: The result of model 3 (ticker:1476)
Variable (8) lag1 (9) lag2 (10) lag3
Constant -0.00219 -0.02264* 0.008389
(0.01295) (0.01305) (0.01101)
The table 19 above shows that there is significantly negative relationship between the number of responses and the returns 3 days from now of 1476.
Table 20: The result of model 3 (ticker:9904) Variable (8) lag1
The table 20 above shows that there is no significant relationship between the number of responses and returns of 9904.
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Table 21: The result of model 3 (ticker:2354)
Variable (8) lag1 (9) lag2 (10) lag3
Constant 0.011796 0.03279 0.010732
(0.02871) (0.02670) (0.03119)
lnR -0.00871 -0.01894 -0.00761
(0.01462) (0.01265) (0.01513)
M(t) 0.00018 -0.001 0.003516
(0.01012) (0.00891) (0.01137)
M(t-1) 0.005509 -0.00047 0.00188
(0.01076) (0.00966) (0.01135)
M(t-2) 0.009579 0.015187 0.010182
(0.01103) (0.00944) (0.01095)
M(t-3) 0.005619 -0.00245 0.002736
(0.01203) (0.00947) (0.01049)
Observation 12 12 12
R square 0.3181 0.4740 0.3069 (p-value<0.01: ***, p-value < 0.05: **, p-value < 0.1: *)
The table 21 above shows that there is no significant relationship between the number of responses and returns of 2354.
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Table 22: The result of model 3 (ticker:2474)
Variable (8) lag1 (9) lag2 (10) lag3
Constant -0.01403 0.015708 0.010182
(0.01408) (0.01497) (0.01534)
lnR 0.005135 -0.00986 -0.00704
(0.00645) (0.00711) (0.00729)
M(t) 0.01809*** 0.015336*** 0.016977***
(0.00524) (0.00532) (0.00519)
M(t-1) 0.002762 0.000415 0.000228
(0.00537) (0.00524) (0.00548)
M(t-2) -0.00061 -0.0004 -0.00118
(0.00593) (0.00582) (0.00592)
M(t-3) -0.0144** -0.01282** -0.01339**
(0.00626) (0.00612) (0.00619)
Observation 37 37 37
R square 0.3846 0.4087 0.3904 (p-value<0.01: ***, p-value < 0.05: **, p-value < 0.1: *)
The table 22 above shows that there is no significant relationship between the number of responses and returns of 2474.
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Table 23: The result of model 3 (ticker:2454)
Variable (8) lag1 (9) lag2 (10) lag3
Constant 0.01273 -0.01463 0.01702
(0.0124) (0.0115) (0.0128)
lnR -0.00244 0.01013** -0.00457
(0.0052) (0.00491) (0.0056)
M(t) -0.00225 -0.00485 -0.00110
(0.0062) (0.0059) (0.0062)
M(t-1) 0.00115 0.00180 0.00214
(0.0059) (0.00546) (0.0059)
M(t-2) -0.00406 -0.00444 -0.00417
(0.0058) (0.00535) (0.0057)
M(t-3) -0.00485 -0.00517 -0.00410
(0.0061) (0.0056) (0.00598)
Observation 31 31 31
R square 0.0557 0.1862 0.1862 (p-value<0.01: ***, p-value < 0.05:**, p-value < 0.1: *)
The table 23 above shows that there is significantly positive relationship between the number of responses and the returns 2 days from now of 2454.
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Table 24: The result of model 3 (ticker:2887)
Variable (8) lag1 (9) lag2 (10) lag3
Constant -0.01603 0.011135 0.000237
(0.01135) (0.00803) (0.00859)
lnR 0.00598 -0.00395 -0.00002
(0.003875) (0.002458) (0.00283)
M(t) 0.01483*** 0.015001*** 0.01466***
(0.00162) (0.00161) (0.00196)
M(t-1) -0.00239 -0.00072 -0.00081
(0.00207) (0.001778) (0.0022)
M(t-2) -0.00170 -0.00036 -0.00192
(0.00197) (0.00217) (0.00239)
M(t-3) -0.00115 0.00673 0.00252
(0.00733) (0.00733) (0.00852)
Observation 11 11 11
R square 0.9577 0.9587 0.9375 (p-value<0.01: ***, p-value < 0.05:**, p-value < 0.1: *)
The table 24 above shows that there is no significant relationship between the number of responses and returns of 2887.
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Table 25: The result of model 3 (ticker:3474)
Variable (8) lag1 (9) lag2 (10) lag3
Constant 0.013083 0.002841 0.027658*
(0.01557) (0.01552) (0.01480)
lnR -0.00557 -0.00144 -0.0114*
(0.006019) (0.005981) (0.00568)
M(t) 0.01059** 0.01034** 0.01062***
(0.00401) (0.004121) (0.00389)
M(t-1) -0.00336 -0.00206 -0.00348
(0.00429) (0.00412) (0.00401)
M(t-2) 0.007* 0.00692 0.007935*
(0.00408) (0.004295) (0.00396)
M(t-3) -0.00254 -0.00163 -0.00403
(0.00414) (0.004058) (0.004068)
Observation 55 55 55
R square 0.1674 0.1538 0.2172 (p-value<0.01: ***, p-value < 0.05: **, p-value < 0.1: *)
The table 25 above shows that there is significantly negative relationship between the number of responses and the returns 3 days from now of 3474.
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Table 26: The result of model 4 (portfolio)
Variable (11) lag1 (12) lag2 (13) lag3
The table 26 above shows the portfolio that there is significantly positive relationship between the average number of responses and the returns 1 day from now and negative relationship 3 days from now.
According to the Table 3 to Table 25, we can find the independent variables of stocks 4938, 3481, 2303, 2311, 2317, 1216, 2891, 2325, 1476, 2454 and 3474 can predict the return of these stocks and the numbers of lags significant for all stocks above are not all the same. The relationship between independent and dependent variables can be positive or negative. Even if some of the independent variables can predict the dependent variables, the results are inconsistent. Besides, the table 26 shows the portfolio that there is significantly positive relationship between the average number of responses and the returns 1 day from now and negative relationship 3 days from now.
We also can not explain why the significant numbers of lags are 1 and 3 but 2.
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Consequently, the information can not give us consistent results. We can’t explain rationally about these results and we can say that the people in PPT are just a specific group. Their comments or articles in PTT aren’t able to influence the stock market. The information is insufficient.
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