Risk Measure and Early-Warning System of China's Stock Market Based on Price-Earnings Ratio and Price-to-Book Ratio
Table 7
Shanghai Composite Index early-warning table.
Date
P/E alarm
P/B alarm
RC
Index
Date
P/E alarm
P/B alarm
RC
Index
2007/05/15
1
2
3
Up
2009/02/18
0
0
0
Up
2007/06/04
1
2
3
Up
2009/02/24
0
0
0
Down
2007/07/05
1
2
3
Up
2009/04/08
0
0
0
Up
2007/09/11
2
2
4
Up
2009/07/29
1
1
2
Down
2007/10/18
2
2
4
Down
2009/08/12
1
1
2
Down
2007/10/25
2
2
4
Down
2009/08/17
1
0
0
Down
2007/11/08
2
2
4
Down
2009/09/01
0
0
0
Up
2008/01/22
1
2
3
Down
2009/11/24
1
1
2
Down
2008/01/28
1
2
3
Down
2009/11/27
1
1
2
Down
2008/03/27
1
1
2
Down
2010/04/19
0
0
0
Down
2008/04/09
1
1
2
Down
2010/05/06
0
0
0
Down
2008/06/10
0
1
1
Down
2010/05/17
0
0
0
Down
2008/06/19
0
1
1
Down
2010/06/29
0
0
0
Up
2008/08/11
0
0
0
Down
2010/11/12
0
0
0
Down
2008/10/27
0
0
0
Down
2010/11/16
0
0
0
Down
2008/11/18
0
0
0
Up
2010/12/29
0
0
0
Down
2008/12/23
0
0
0
Down
Note: date stands for the date of the index actual drop exceeding the value of VaR. RC stands for risk accumulation. Index stands for the situation of the Shanghai Composite Index running afterwards.
