F-statistic

Prob.

$T*R^2$

Prob.

股灾前

$R_{f,t}$

102.5463

0.0000

85.6735

0.0000

$R_{s,t}$

38.5431

0.0000

39.7613

0.0000

股灾中

$R_{f,t}$

98.6943

0.0000

88.6926

0.0000

$R_{s,t}$

38.6512

0.0000

33.7497

0.0000

股灾后

$R_{f,t}$

93.9854

0.0000

83.6588

0.0000

$R_{s,t}$

36.6306

0.0000

34.7669

0.0000