Table 3.

Contemporaneous correlations between daily return volatility and the logarithm value of Baidu search volume index (BSVI). This table represents the contemporaneous correlation coefficients between daily return volatility and the logBSVI. The daily return volatility was evaluated by GARCH(1,1), and the BSVI was downloaded from Baidu website (http://index.baidu.com/). “Pearson” denotes the Pearson correlation coefficients and “Spearman” denotes the Spearman correlation coefficients.

Stock Code	Pearson	Spearman	Stock Code	Pearson	Spearman
000006.SZ	0.6350 ***	0.6116 ***	000548.SZ	0.6844 ***	0.6774 ***
000009.SZ	0.5438 ***	0.5759 ***	000551.SZ	0.5720 ***	0.5755 ***
000012.SZ	0.5695 ***	0.6016 ***	000552.SZ	0.4721 ***	0.5402 ***
000014.SZ	0.7483 ***	0.7943 ***	000554.SZ	0.6373 ***	0.6269 ***
000032.SZ	0.6620 ***	0.5754 ***	000559.SZ	0.7577 ***	0.6282 ***
000055.SZ	0.5939 ***	0.6426 ***	000561.SZ	0.6496 ***	0.6368 ***
000058.SZ	0.6933 ***	0.6983 ***	000565.SZ	0.7033 ***	0.5856 ***
000060.SZ	0.7179 ***	0.7161 ***	000572.SZ	0.2658 ***	0.2312 ***
000062.SZ	0.7943 ***	0.7083 ***	000570.SZ	0.6686 ***	0.6296 ***
000063.SZ	0.7191 ***	0.7783 ***	000576.SZ	0.8218 ***	0.9019 ***
000070.SZ	0.7676 ***	0.6209 ***	000597.SZ	0.6126 ***	0.6302 ***
000088.SZ	0.5323 ***	0.5504 ***	000600.SZ	0.6494 ***	0.7218 ***
000151.SZ	0.7625 ***	0.6843 ***	000603.SZ	0.6619 ***	0.6735 ***
000417.SZ	0.6989 ***	0.7001 ***	000619.SZ	0.7267 ***	0.7798 ***
000428.SZ	0.6507 ***	0.5203 ***	000628.SZ	0.6563 ***	0.6311 ***
000488.SZ	0.5604 ***	0.5268 ***	000629.SZ	0.5891 ***	0.7649 ***
000501.SZ	0.5668 ***	0.5873 ***	000631.SZ	0.7011 ***	0.6506 ***
000506.SZ	0.7013 ***	0.7260 ***	000635.SZ	0.4228 ***	0.3719 ***
000544.SZ	0.6417 ***	0.6558 ***	000639.SZ	0.6920 ***	0.7639 ***
000545.SZ	0.6415 ***	0.6238 ***	000652.SZ	0.5663 ***	0.6709 ***

Notes: *** denotes statistical significance at the 1% levels.