Stationarity: ADF unit root

Persistence: AR(1) coefficient

Endogeneity: γ

Heteroskedasticity: ARCH LM test

CSI 100

Returns

−18.9361***

0.0081

32.8089***

PE

−44.2272***

0.9985***

0.0307***

38.8577***

PB

−24.9132***

0.9988***

0.2319***

27.2841***

CSI 300

Returns

−21.4195***

0.0178

39.0858***

PE

−43.9985***

0.9986***

0.0314***

58.1927***

PB

−24.7439***

0.9989***

0.2386***

43.4782***

SSE Composite

Returns

−21.7608***

−0.0020

47.7123***

PE

−43.8773***

0.9986***

0.0274***

60.5641***

PB

−44.4403***

0.9989***

0.2401***

49.7458***

SZSE Component

Returns

−21.1609***

0.0369

33.8359***

PE

−23.2604***

0.9985***

0.0224***

70.1312***

PB

−23.7681***

0.9984***

0.2028***

88.3023***