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| 是否协整 | 市场主导系数 | 市场对新息的反应能力 | 信息贡献份额 | ||||
| 事件① | 估计窗 | 是(5%) | Γ现 = 0.90 | 电 > 现 | IS电 = 85.56% | IS现 = 14.44% | ||
| Γ电 = 0.10 | PT电 = 68.96% | PT现 = 31.04% | ||||||
| 事后窗 | 是(10%) | Γ现 = 0.76 | 电 > 现 | IS电 = 98.49% | IS现 = 1.51% | |||
| Γ电 = 0.24 | PT电 = 86.11% | PT现 = 13.89% | ||||||
| 事件② | 估计窗 | 是(1%) | Γ现 = 0.83 | 电 > 现 | IS电 = 57.25% | IS现 = 42.75% | ||
| Γ电 = 0.17 | PT电 = 42.88% | PT现 = 57.12% | ||||||
| 事后窗 | 是(1%) | Γ现 = 0.88 | 电 > 现 | IS电 = 75.38% | IS现 = 24.62% | |||
| Γ电 = 0.12 | PT电 = 51.16% | PT现 = 48.84% | ||||||
| 事件③ | 估计窗 | 是(1%) | Γ现 = 0.69 | 电 > 现 | IS电 = 43.50% | IS现 = 56.50% | ||
| Γ电 = 0.31 | PT电 = 33.78% | PT现 = 66.22% | ||||||
| 事后窗 | 是(5%) | Γ现 = 0.25 | 现 > 电 > 期 | IS电 = 27.26% | IS现 = 45.41% | IS期 = 27.33% | ||
| Γ电 = 0.27 | PT电 = 27.47% | PT现 = 30.36% | PT期 = 42.17% | |||||
| Γ期 = 0.48 | ||||||||
| 事件④ | 估计窗 | 是(5%) | Γ现 = 0.38 | 期 > 现 > 电 | IS电 = 28.23% | IS现 = 35.69% | IS期 = 36.08% | |
| Γ电 = 0.46 | PT电 = 43.14% | PT现 = 43.52% | PT期 = 13.34% | |||||
| Γ期 = 0.16 | ||||||||
| 事后窗 | 是(5%) | Γ现 = 0.22 | 现 > 电 > 期 | IS电 = 46.56% | IS现 = 0.27% | IS期 = 53.17% | ||
| Γ电 = 0.34 | PT电 = 46.81% | PT现 = 4.33% | PT期 = 48.86% | |||||
| Γ期 = 0.44 | ||||||||