|
| NASDAQ | DJIA | ||
| 解释变量 | 收益率(5%) | 收益率(10%) | 收益率(5%) | 收益率(10%) |
| 截距项 | 0.0005** (2.885) | 0.0005* (2.885) | 0.0003** (2.079) | 0.0003* (2.079) |
| 滞后项 | 0.0075 (0.350) | 0.0075 (0.350) | −0.035 (−1.677) | −0.035 (−1.677) |
| 周一虚拟变量 | −0.0003 (−1.120) | −0.0003 (−1.120) | −0.0002 (−0.901) | −0.0002 (−0.901) |
| 周五虚拟变量 | −0.0001 (−0.436) | −0.0001 (−0.436) | −0.00006 (−0.291) | −0.00006 (−0.291) |
| 一月变量 | −0.0005 (−1.167) | −0.0005 (−1.167) | −0.0007 (−2.072) | −0.0007 (−2.072) |
| SAD | 0.00002 (0.200) | 0.00002 (0.200) | 0.0001 (1.196) | 0.0001 (1.196) |
| AQI | −0.0002 (−1.016) | −0.0002 (−1.016) | −0.0001 (−0.844) | −0.0001 (−0.844) |
| 自由度 | 1699 | 1699 | 1714 | 1714 |
| R2 | 0.002 | 0.002 | 0.005 | 0.005 |
| Sig. F | 0.737 | 0.737 | 0.233 | 0.233 |