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