New JLS-Factor Model versus the Standard JLS Model: A Case Study on Chinese Stock Bubbles
Table 5
The significance test results of the new and the original JLS model for the SSEC bubbles.
Independent variable
2005/7/11–2008/10/17
2008/11/3–2009/8/31
2014/3/13–2015/7/29
JLS model
New JLS model
JLS model
New JLS model
JLS model
New JLS model
5731.247
4992.469
2825.911
4653.301
4792.062
7704.706
−442310.7
−441176.2
−880.458
−3444.690
−2954.052
−5275.828
(−15.337)
(−88.287)
(−40.295)
441796.9
440839.6
−0.518
−154.749
−362.186
−365.562
(104.014)
(62.763)
(−48.883)
(−12.484)
(−17.492)
(−19.400)
8.616
−1.487
−13.058
(11.445)
(−0.852)
(−4.771)
−1.437
−0.203
2.568
(−6.260)
(−0.724)
(6.028)
−2.214
−0.439
−2.669
(−3.491)
(−0.257)
(−2.855)
−5.284
0.650
−22.477
(−4.733)
(0.693)
796
796
340
340
340
340
0.978
0.983
0.913
0.984
0.961
0.986
F-statistic
17320.70
7531.207
1784.438
2089.920
4146.165
3995.439
AIC
13.593
13.337
14.674
11.066
13.273
12.249
SC
13.610
13.378
14.708
11.180
13.307
12.328
HQC
13.599
13.353
14.688
11.112
13.286
12.280
The regression coefficients, adjusted -squares (), and three statistical criteria are presented. The -statistics are reported in the parentheses. Significance at the 1% confidence level.
