Risk Measure and Early-Warning System of China's Stock Market Based on Price-Earnings Ratio and Price-to-Book Ratio

Table 3

Correlation test of the time series of Shanghai Composite Index return.

Leg	AC	PAC	𝑄-Stat	Prob.
1	−0.516	−0.516	236.43	0.000
2	−0.012	−0.378	236.55	0.000
3	0.045	−0.251	238.39	0.000
4	−0.008	−0.182	238.45	0.000
5	0.002	−0.129	238.45	0.000
6	−0.032	−0.149	239.35	0.000
7	0.048	−0.082	241.39	0.000
8	−0.066	−0.147	245.32	0.000
9	0.048	−0.113	247.35	0.000
10	−0.010	−0.105	247.44	0.000

Note: the 𝑄-Stat expression is of the form 𝑄=𝑇(𝑇+2)∑(𝑟²_𝑗/𝑇−𝑗). Null hypothesis: series has 𝑃-order autocorrelation. Alternative hypothesis: series does not have 𝑃-order autocorrelation. Table 4 shows the ten-order lagged result of every series.