|
|
| Predictor | |||
| Panel A: | Estimator | PE | Theil U | PB | Theil U |
| CSI 100 | OLS | 7.08 × 10−5 (1.7743)* | 0.9591 | 2.79 × 10−4 (0.9323) | 0.9763 |
| AOLS | 5.05 × 10−5 (1.9943)** | 0.3573 | 1.49 × 10−5 (0.0859) | 0.3195 | |
| FGLS | 5.14 × 10−5 (76.363)*** | 0.3563 | 1.58 × 10−3 (23.657)*** | 0.3109 | |
| CSI 300 | OLS | 8.28 × 10−5 (2.0957)** | 0.9514 | 3.44 × 10−4 (1.1369) | 0.9707 |
|
| AOLS | 5.88 × 10−5 (2.4871)** | 0.3313 | 6.10 × 10−5 (0.3649) | 0.3007 |
|
| FGLS | 3.14 × 10−5 (12.037)*** | 0.3452 | 1.24 × 10−3 (20.034)*** | 0.3515 |
| SSE Composite | OLS | 5.60 × 10−5 (1.7278)* | 0.9611 | 2.03 × 10−4 (0.7003) | 0.9833 |
| AOLS | 3.84 × 10−5 (2.1169)** | 0.3058 | 9.16 × 10−5 (0.6680) | 0.2512 | |
| FGLS | 1.93 × 10−4 (20.024)*** | 0.3056 | 1.06 × 10−3 (10.146)*** | 0.2531 | |
| SZSE Component | OLS | 6.21 × 10−5 (1.7416)* | 0.9592 | 5.68 × 10−4 (1.9245)* | 0.9554 |
| AOLS | 2.58 × 10−5 (1.1442) | 0.3556 | 2.14 × 10−4 (1.5351) | 0.2513 | |
| FGLS | 6.45 × 10−5 (3.2057)*** | 0.3428 | 3.14 × 10−4 (25.237)*** | 0.3018 | |