| Variable classification | Name | Symbols | Definition of variables |
| Explained variables | SSE Share Price | y | Changes in the SSE generally represent broad market point movements |
| Explanatory variables | Investor Sentiment Index | Se | Constructed using the formula |
| Control variables | Overnight shibor | SH | Shanghai Interbank Offered Rate |
|
| Exchange rates | IR | Renminbi to US Dollar Daily Exchange Rate |
|
| First-order lag in investor sentiment |
| First-order lags of the explanatory variable Se |
|
| Second order lag in investor sentiment |
| Second-order lags of the explanatory variable Se |