New JLS-Factor Model versus the Standard JLS Model: A Case Study on Chinese Stock Bubbles
Table 6
The significance test results of the new and the original JLS model for the SZSC 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
18490.62
20234.73
2827.723
4643.542
17060.47
28286.88
(79.333)
(65.072)
(61.104)
(24.763)
(184.250)
(49.029)
−7103.479
−8099.557
−879.179
−3427.315
−10429.75
−19848.04
(−23.023)
(−29.957)
(−10.349)
(−15.398)
(−78.527)
(−41.031)
6244.976
6196.875
−0.519
−154.527
−1126.786
−1288.108
(52.350)
(57.204)
(−48.751)
(−12.533)
(−14.849)
(−17.401)
3.127
−1.639
50.255
(1.095)
(−0.941)
(4.384)
1.877
−0.192
−5.513
(2.234)
(−0.686)
(−3.137)
5.347
−0.349
14.983
(3.076)
(−0.204)
(3.927)
−39.379
0.685
−98.284
(−11.916)
(0.734)
(−9.908)
796
796
340
340
340
340
0.978
0.987
0.913
0.984
0.951
0.979
F-statistic
17954.89
10329.40
1782.521
2089.289
3271.277
2673.850
AIC
16.174
15.643
14.675
11.067
15.902
15.046
SC
16.192
15.684
14.709
11.180
15.936
15.125
HQC
16.181
15.658
14.689
11.113
15.916
15.078
The regression coefficients, adjusted -squares (), and three statistical criteria are presented. The t-statistics are reported in the parentheses. Significance at the 10% confidence level. Significance at the 5% confidence level. Significance at the 1% confidence level.
