|
| 上证综指 | |||
| 解释变量 | 收益率(5%) | 收益率(10%) | 换手率(5%) | 换手率(10%) |
| 截距项 | 0.0003 (1.313) | 0.0003 (1.313) | 1.106** (25.756) | 1.106* (25.756) |
| 滞后项 | 0.0187 (0.739) | 0.0187 (0.739) | - - | - - |
| 周一虚拟变量 | 0.0008 (1.823) | 0.0008 (1.823) | 0.084 (1.075) | 0.084 (1.075) |
| 周五虚拟变量 | 0.0004 (1.037) | 0.0004 (1.037) | 0.004 (0.049) | 0.004 (0.049) |
| 一月变量 | −0.0004 (−0.594) | −0.0004 (−0.594) | 0.0999 (0.814) | 0.0999 (0.814) |
| SAD | 0.0002 (0.780) | 0.0002 (0.780) | −0.004 (−0.109) | −0.004 (−0.109) |
| AQI | −0.0002 (−0.608) | −0.0002 (−0.608) | −0.059 (−1.266) | −0.059 (−1.266) |
| 自由度 | 927 | 927 | 927 | 927 |
| R2 | 0.006 | 0.006 | 0.004 | 0.004 |
| Sig. F | 0.472 | 0.472 | 0.587 | 0.587 |