New JLS-Factor Model versus the Standard JLS Model: A Case Study on Chinese Stock Bubbles

Figure 1

Daily trajectory of the SSEC and SZSC from 2005/07/11 to 2015/07/29 by using the JLS-factor model presented in (10) with . The fit of SSEC from 2005/07/11 to 2008/10/17 is illustrated in (a) as a red solid line, whose parameters are = 2007/10/16, = 0.03, = 1.89, = 0.03, = 4971.87, = −4809410.22, = 4808854.92, = 215.66, = −32.46, = −25.11, and = 0.20 with an r.m.s. of the fit residuals = 193.04. The fit of SZSC from 2005/07/11 to 2008/10/17 is illustrated in (b) as a red solid line, whose parameters are = 2007/11/26, = 1.26, = 0.31, = 3.48, = 14926.14, = −7159.59, = 6083.23, = −320.05, = 92.46, = 39.43, and = 2.73 with an r.m.s. of the fit residuals = 643.26. The fit of SSEC from 2008/11/03 to 2009/08/31 is illustrated in (c) as a red solid line, whose parameters are = 2009/08/03, = 17.46, = 0.45, = 2.14, = 3357.54, = −2150.17, = −122.12, = 74.22, = 37.78, = −83.33, and = −0.33 with an r.m.s. of the fit residuals = 60.49. The fit of SZSC from 2008/11/03 to 2009/08/31 is illustrated in (d) as a red solid line, whose parameters are = 2009/08/03, = 17.28, = 0.53, = 4.80, = 13437.80, = −10004.44, = 627.84, = 132.05, = 66.10, = −56.60, and = −0.25 with an r.m.s. of the fit residuals = 282.30. The fit of SSEC from 2014/03/13 to 2015/07/29 is illustrated in (e) as a red solid line, whose parameters are = 2015/06/08, = 5.50, = 0.39, = 1.09, = 5884.95, = −4081.11, = 316.83, = 105.11, = 10.50, = −115.53, and = −0.14 with an r.m.s. of the fit residuals = 119.37. The fit of SZSC from 2014/03/13 to 2015/07/29 is illustrated in (f) as a red solid line, whose parameters are = 2015/06/08, = 5.63, = 0.34, = 3.99, = 13809.61, = −15604.59, = −1027.34, = −2.62, = 535.60, = −392.55, and = −0.84 with an r.m.s. of the fit residuals = 486.32.

(a) 05/07/11–08/10/17 SSEC bubble

(b) 05/07/11–08/10/17 SZSC bubble

(c) 08/11/03–09/08/31 SSEC bubble

(d) 08/11/03–09/08/31 SZSC bubble

(e) 14/03/13–15/07/29 SSEC bubble

(f) 14/03/13–15/07/29 SZSC bubble