Table 4.

The mutual information between the daily return volatility and abnormal Baidu search volume. This table reports the mutual information between the daily return volatility and abnormal Baidu search volume. The daily return volatility is the GARCH(1,1) volatility of Bollerslev [16], and the abnormal Baidu search volume ($AbSearch$) is calculated by Model 3.

Stock Code	Mutual Information	Stock Code	Mutual Information
000006.SZ	0.7427	000548.SZ	0.6864
000009.SZ	0.7552	000551.SZ	0.6625
000012.SZ	0.5988	000552.SZ	0.7403
000014.SZ	0.6822	000554.SZ	0.7728
000032.SZ	0.7541	000559.SZ	0.7279
000055.SZ	0.6711	000561.SZ	0.6869
000058.SZ	0.7179	000565.SZ	0.6817
000060.SZ	0.7687	000572.SZ	0.8038
000062.SZ	0.7136	000570.SZ	0.7769
000063.SZ	0.7878	000576.SZ	0.6755
000070.SZ	0.6836	000597.SZ	0.6933
000088.SZ	0.6865	000600.SZ	0.6991
000151.SZ	0.7326	000603.SZ	0.7440
000417.SZ	0.7225	000619.SZ	0.7093
000428.SZ	0.7077	000628.SZ	0.6846
000488.SZ	0.7558	000629.SZ	0.6222
000501.SZ	0.7073	000631.SZ	0.7017
000506.SZ	0.7357	000635.SZ	0.7117
000544.SZ	0.6833	000639.SZ	0.6755
000545.SZ	0.6853	000652.SZ	0.6752