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 model
New JLS model
JLS model
New JLS model
17692.97
41967.41
15512.45
19841.75
(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
−2.800
1885.201
(−105.480)
(−33.281)
(−54.535)
(7.814)
290.262
−140.944
(20.157)
(−14.366)
−90.608
23.000
(−20.270)
(13.351)
8.009
107.469
(2.782)
(15.265)
7.62
−17.028
(1.419)
(−1.587)
495
495
340
340
0.983
0.993
0.904
0.980
F-statistic
14598.80
10925.42
1594.129
1731.150
AIC
15.899
15.108
18.096
15.380
SC
15.925
15.167
18.130
15.490
HQC
15.909
15.131
18.109
15.424
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.