| 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*** |