Research Article

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

Table 7

The significance test results of the new and the original JLS model for the 2005–2008 SZSC bubbles.

Independent variable 2005/11/15–2007/11/28 2007/11/29–2008/10/17
JLS modelNew JLS modelJLS modelNew JLS model

17692.9741967.4115512.4519841.75
(260.833)(30.219)(72.230)(130.481)
−39857.89−98196.21−10840.88−40897.70
(−115.809)(−32.662)(−20.378)(−21.170)
−36775.25−89665.52−2.8001885.201
(−105.480)(−33.281)(−54.535)(7.814)
290.262−140.944
(20.157)(−14.366)
−90.60823.000
(−20.270)(13.351)
8.009107.469
(2.782)(15.265)
7.62−17.028
(1.419)(−1.587)
495495340340
0.9830.9930.9040.980
F-statistic14598.8010925.421594.1291731.150
AIC15.89915.10818.09615.380
SC15.92515.16718.13015.490
HQC15.90915.13118.10915.424

The regression coefficients, adjusted -squares (), and three statistical criteria are presented. The t-statistics are reported in the parentheses. Significance at the 1% confidence level.