Items

SSE Composite Index

SHSE-SZSE 300 Index

SSE 180 Index

Group 1

Group 2

Group 1

Group 2

Group 1

Group 2

α

0.002351

0.000304

0.002371

0.000215

0.002514

0.000171

(1.804762)

(0.522399)

(1.683619)

(0.304902)

(1.799939)

(0.243792)

θ

−2.791913

−0.400187

−2.010144

−0.003922

−2.349002

0.116467

(−1.197713)

(−0.202152)

(−0.890665)

(−0.001808)

(−1.059158)

(0.05504)

ϕ0

0.153788

0.007836

0.178638

0.004868

0.164331

0.010385

(2.059767)**

(0.186805)

(2.304188)**

(0.11247)

(2.157563)**

(0.240985)

ϕ1

−208.1230

142.8628

−190.8845

107.5139

−190.0514

73.09347

(−2.240692)**

(2.103394)*

(−2.154074)**

(1.537544)

(−2.208615)**

(1.089568)

α0

0.00000341

0.00000283

0.0000018

0.00000399

0.0000035

0.0000042

(2.091966)**

(4.895807)***

(2.18718)**

(4.600879)***

(1.956839)*

(4.815853)***

α1

0.072325

0.052258

0.011097

0.050736

0.066624

0.053207

(6.858148)***

(7.895717)***

(6.221614)***

(6.913897)***

(6.120176)***

(7.386013)***

β

0.923433

0.93367

0.010971

0.933314

0.929195

0.9303

(90.70697)***

(125.0082)***

(84.39165)***

(109.3732)***

(85.87972)***

(113.5822)***