A-23. Note: GJR refers to the Glosten et.al. (1993) method of threshold GARCH. See table 11 for additional explanations.
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1 Table 11: GARCH(1,1) Volatility Regressions Estimates Returns Market Bullishness Vol.Eq. Vol.Eq. Intraday Trades Messages Agreement Arch Garch Intercept Opening Bt 1 Intercept Opening Factor ln(n t 1) ln(1+m t 1) A t 1 Term Term Minimum Median Maximum Mean St.dev Mean (DIA) Mean (XLK) T-Statistics Returns Market Bullishness Vol.Eq. Vol.Eq. Intraday Trades Messages Agreement Arch Garch Intercept Opening Bt 1 Intercept Opening Factor ln(n t 1) ln(1+m t 1) A t 1 Term Term Minimum Median Maximum Mean St.dev Mean (DIA) Mean (XLK) Note: The volatility regressions are based on 15-minute intervals with the log difference in returns as the dependent variable. The number of mesages M t 1, the bullishness index B t 1 and the agreement index A t 1 are based on the 1-hour time period prior to a 15-minute interval. A-22
2 Table 12: GJR(1,1) Volatility Regressions Estimates Minimum Median Maximum Mean St.dev Mean (DIA) Mean (XLK) T-Statistics Minimum Median Maximum Mean St.dev Mean (DIA) Mean (XLK) Note: GJR refers to the Glosten et.al. (1993) method of threshold GARCH. See table 11 for additional explanations. A-23
3 Table 13: EGARCH(1,1) Volatility Regressions Estimates Minimum Median Maximum Mean St.dev Mean (DIA) Mean (XLK) T-Statistics Minimum Median Maximum Mean St.dev Mean (DIA) Mean (XLK) Note: See table 11 for explanations. A-24
4 Table 14: Time Sequencing Tests Yahoo! Finance (15 minutes) X Y X Y Y X X 1 X 2 X 3 X 4 SPY χ 2 Y 1 Y 2 Y 3 Y 4 SPY χ 2 messages return c a c 39.2 c c b c c 85.0 c messages volatility c b c c c 434. c c b c 269. c messages small a c a a c 153. c c a c c c messages medium c c c c a c c c c c c messages large c c a c 516. c c c c c c messages volume c c a c 624. c c a c c c messages spread c c a c 10.4 words return a c a a b c 39.1 c words volatility c b a c 225. c c c 155. c words small b c a a c 136. c c c words medium c c a c a 556. c c c c c c words large c c c 254. c c c 762. c words volume c c a c 404. c c a a a c words spread b a c c 5.76 bullishness return c c b c a 54.2 c bullishness volatility c c a c 122. c c b b c 415. c bullishness small c c c c c 743. c c c c c c c bullishness medium c c c c b 281. c c b a a b c bullishness large c c c c c 300. c c c c c c 661. c bullishness volume c c c c c 727. c c c c c c c bullishness spread a b c a 6.85 agreement return c b a 18.0 a agreement volatility b c b a c 77.6 c c c c c 323. c agreement small c c c c c 645. c c c c c c c agreement medium c c c c b 157. c c c c c b 654. c agreement large c c c c c 216. c c c c c c agreement volume c c c c c 587. c c c c c c c agreement spread a b a a 14.5 a Note: The results in this table are based on messages obtained from the Yahoo! Finance message boards. The unit of observation is a 15- minute interval during the 09:30-16:00 trading day for a given company. We estimate each equation as a panel with company fixed effects. The regressors X i and Y i are subscripted by their lags. SPY is a variable with the log of the price of the Standard & Poors Depositary Receipt S&P 500 Tracking Fund, except in the Return regressions where this variable is the time-differenced log of the price. NWK is an indicator variable for a day being the first trading day after a weekend or holiday. A coefficient that is signficant at the 99% level is indicated with a, while b and c denote significance at a 99.9% level and a 99.99% level, respectively. The four X variables were obtained from the message boards. The messages and words variables were transformed into logarithms, while bullishness and agreement are the B t and A t measures defined in the text. The seven financial Y variables are: the log differencess in daily closing price ( return ); the percentage ratio of daily price volatility relative to the day s average price; the log number of small (<$10k), medium ($10k $100k) and large (>$100k) trades; the log number of traded shares ( volume ); and the daily average of the bid-ask spread. A-25
5 Table 15: Time Sequencing Tests Raging Bull (15 minutes) X Y X Y Y X X 1 X 2 X 3 X 4 SPY χ 2 Y 1 Y 2 Y 3 Y 4 SPY χ 2 messages return c c 63.8 c c c c messages volatility c c c 282. c c c c messages small c c 50.6 c c a c c c c messages medium c c c b 683. c c a c c c messages large c c c 615. c c c c messages volume c c c 392. c c b c c c c messages spread a b a words return b c 21.6 b b c c words volatility c b c 175. c c b c words small c c c 71.8 c c c c c c words medium c c a b 466. c c a b c c words large c c c 368. c c c c words volume c c c 305. c c c c c words spread a b a bullishness return c c c 39.5 c c a a 32.1 c bullishness volatility c a c 56.3 c c c c 227. c bullishness small c c b c c 199. c c c c c c bullishness medium c c b a b 249. c c c a b c bullishness large c c c b c 235. c c c c c c bullishness volume c c c c c 267. c c c c c c bullishness spread a 13.2 agreement return c c 26.6 c a b a 25.9 c agreement volatility c a a c 56.4 c c c c c 249. c agreement small c c c c c 288. c c c c c c agreement medium c c c c b 198. c c c c c a c agreement large c c c c c 202. c c c c c c agreement volume c c c c c 293. c c c c c c c agreement spread a Note: A coefficient that is signficant at the 99% level is indicated with a, while b and c denote significance at a 99.9% level and a 99.99% level, respectively. See table 14 for further explanations. A-26
6 Table 16: Time Sequencing Tests Yahoo Finance (1 day) X Y Y = f(x 1, X 2,...) X = f(y 1, Y 2,...) X 1 X 2 WSJ 2 WSJ 1 WSJ 0 WSJ +1 NWK Market χ 2 Y 1 Y 2 WSJ 2 WSJ 1 WSJ 0 WSJ +1 NWK Market χ 2 messages return a a c 11.0 a c c a c messages volatility c a a c 19.5 c c c a c messages small c c c a b c c 179. c a c c c a c c messages medium c c c b c c c c a c messages large c c c a c c c c c a c messages volume c c c a c c c 258. c c c c b c b messages spread c c a c words return a a c a c c b 3.66 words volatility b c a c c a 2.64 words small c c b b c 56.5 c c a c c a 33.0 c words medium b b c b c b a c a c b 1.38 words large c b a c b c c c a c c words volume c a c b c c c 109. c b a c c c words spread a c c b 0.22 bullishness return a c a c a c 1.01 bullishness volatility b a b c 16.0 b a c a c 8.67 bullishness small c c c a b c 69.8 c c a c a c 127. c bullishness medium c c c b c c c a c a c 37.3 c bullishness large c a c a c c c a c a b bullishness volume c a c b b c c 70.6 c c a c a c 65.5 c bullishness spread a a a c a c 3.30 agreement return a c c c 0.41 agreement volatility b c c c 6.47 agreement small b c b b c 14.7 b c c c 92.5 c agreement medium a b c b c b b c c 47.5 c agreement large c a c b c c c a c c agreement volume c a c c b c c 18.5 c c c c 39.1 c agreement spread b a a c c 12.2 a Note: The results in this table are based on messages obtained from the Yahoo! Finance message boards. The unit of observation is the trading day for a given company. We estimate each equation as a panel with company fixed effects. The regressors X i and Y i are subscripted by their lags. SPY is a variable with the log of the price of the Standard & Poors Depositary Receipt S&P 500 Tracking Fund, except in the Return regressions where this variable is the time-differenced log of the price. NWK is an indicator variable for a day being the first trading day after a weekend or holiday. Variables WSJ 2, WSJ 1, WSJ 0, and WSJ +1 indicate how many stories were released in the Wall Street Journal on a given day: the day before yesterday, yesterday, today, or tomorrow. NWK is an indicator variable for a day being the first trading day after a weekend or holiday. A coefficient that is signficant at the 99% level is indicated with a, while b and c denote significance at a 99.9% level and a 99.99% level, respectively. The four X variables were obtained from the message boards. The messages and words variables were transformed into logarithms, while bullishness and agreement are the B t and A t measures defined in the text. The seven financial Y variables are: the log differencess in daily closing price ( return ); the percentage ratio of daily price volatility relative to the day s average price; the log number of small (<$10k), medium ($10k $100k) and large (>$100k) trades; the log number of traded shares ( volume ); and the daily average of the bid-ask spread. A-27
7 Table 17: Time Sequencing Tests Raging Bull (1 day) X Y Y = f(x 1, X 2,...) X = f(y 1, Y 2,...) X 1 X 2 WSJ 2 WSJ 1 WSJ 0 WSJ +1 NWK Market χ 2 Y 1 Y 2 WSJ 2 WSJ 1 WSJ 0 WSJ +1 NWK Market χ 2 messages return a c c c a c messages volatility b a c 12.9 a a c c a c a messages small c c a b c 87.4 c c b c c a c a 70.1 c messages medium c c c b c c c c a c c messages large c c c a c c c c c c a c c messages volume c a a c b b c c 144. c c c c a c a 44.4 c messages spread a a c c a c words return a c c a c words volatility b c c a c a 13.2 a words small c c b b c 26.6 c c b c c b 110. c words medium b a c b c b c a c c words large c a c b c c b c c a c c words volume c a c c b c c 54.2 c c a c c c 91.0 c words spread b a c a c bullishness return a c b c 0.08 bullishness volatility b c b c 5.92 bullishness small c c b b c 22.2 c c a c 77.1 c bullishness medium b c b c b b b b 47.2 c bullishness large b a c b c c a c b c bullishness volume c a c c b c c 19.0 c c a c 47.3 c bullishness spread a c 2.99 agreement return a c b 0.12 agreement volatility b c b 0.00 agreement small c b b c c 6.88 agreement medium c b c b 8.54 agreement large a c b c c agreement volume a c c b c c c 3.84 agreement spread b 0.04 Note: A coefficient that is signficant at the 99% level is indicated with a, while b and c denote significance at a 99.9% level and a 99.99% level, respectively. See table 16 for further explanations. A-28
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