| Skewness | Ordinary Correlation | |
CSI 100 | Returns | −0.2529 |
|
| PE | 1.1437 | 0.0402 (1.7743)* |
| PB | 1.3910 | 0.0211 (0.9323) |
CSI 300 | Returns | −0.3700 |
|
| PE | 1.4205 | 0.0475 (2.0957)** |
| PB | 1.1418 | 0.0257 (1.1369) |
SSE Composite | Returns | −0.3849 |
|
| PE | 1.1875 | 0.0391 (1.7278)* |
| PB | 1.3633 | 0.0158 (0.7003) |
SZSE Component | Returns | −0.3502 |
|
| PE | 1.2743 | 0.0394 (1.7416)* |
| PB | 1.6071 | 0.0436 (1.9245)* |