Government intervention model based on behavioral heterogeneity for China’s stock market

Zhou, Zhong-Qiang; Li, Jie; Zhang, Wei; Xiong, Xiong

doi:10.1186/s40854-022-00408-8

Financial Innovation

Table 2 HAM estimation results on CSI 300 for the July 1, 2015 to December 31, 2017 period

From: Government intervention model based on behavioral heterogeneity for China’s stock market

	(1)	(2)	(3)	(4)	(5)
	\(n_{s,max}=0.1\)	\(n_{s,max}=0.2\)	\(n_{s,max}=0.3\)	\(n_{s,max}=0.4\)	\(n_{s,max}=0.5\)
Panel A: \(x_{s}=q(0.1)\)
\(\phi _{f}\)	0.925***	0.916***	0.905***	0.891***	0.872***
\(\phi _{f}\)	(0.009)	(0.009)	(0.010)	(0.011)	(0.013)
\(\phi _{c}\)	1.083***	1.092***	1.103***	1.118***	1.137***
\(\phi _{c}\)	(0.009)	(0.010)	(0.011)	(0.012)	(0.013)
\(\phi _{s}\)	0.704***	0.855***	0.905***	0.931***	0.947***
\(\phi _{s}\)	(0.095)	(0.045)	(0.028)	(0.020)	(0.015)
\(\beta\)	10.061***	8.722***	7.353***	5.959***	4.548***
\(\beta\)	(2.811)	(2.367)	(1.935)	(1.519)	(1.122)
\(s^{2}\)	0.049	0.048	0.047	0.047	0.046
\(R^{2}\)	0.995	0.995	0.995	0.995	0.995
Obs.	613	613	613	613	613
Panel B: \(x_{s}=q(0.2)\)
\(\phi _{f}\)	0.931***	0.921***	0.908***	0.890***	0.865***
\(\phi _{f}\)	(0.010)	(0.010)	(0.011)	(0.012)	(0.014)
\(\phi _{c}\)	1.089***	1.100***	1.113***	1.132***	1.158***
\(\phi _{c}\)	(0.011)	(0.011)	(0.012)	(0.013)	(0.015)
\(\phi _{s}\)	0.702***	0.855***	0.906***	0.932***	0.948***
\(\phi _{s}\)	(0.096)	(0.045)	(0.027)	(0.019)	(0.014)
\(\beta\)	10.371***	8.981***	7.552***	6.086***	4.590***
\(\beta\)	(2.927)	(2.465)	(2.007)	(1.559)	(1.128)
\(s^{2}\)	0.049	0.048	0.048	0.047	0.046
\(R^{2}\)	0.995	0.995	0.995	0.995	0.995
Obs.	613	613	613	613	613
Panel C: \(x_{s}=q(0.3)\)
\(\phi _{f}\)	0.936***	0.926***	0.913***	0.895***	0.870***
\(\phi _{f}\)	(0.011)	(0.012)	(0.012)	(0.013)	(0.015)
\(\phi _{c}\)	1.094***	1.105***	1.118***	1.137***	1.163***
\(\phi _{c}\)	(0.012)	(0.012)	(0.013)	(0.014)	(0.016)
\(\phi _{s}\)	0.675***	0.843***	0.900***	0.928***	0.945***
\(\phi _{s}\)	(0.106)	(0.049)	(0.030)	(0.020)	(0.014)
\(\beta\)	10.582***	9.271***	7.921***	6.530***	5.097***
\(\beta\)	(3.011)	(2.576)	(2.139)	(1.704)	(1.276)
\(s^{2}\)	0.049	0.048	0.048	0.047	0.046
\(R^{2}\)	0.995	0.995	0.995	0.995	0.995
Obs.	613	613	613	613	613

This table presents the estimation results for the HAM \(x_{t}=\frac{1}{R^{*}}(n_{f,t}\phi _{f}+n_{c,t}\phi _{c}+n_{s,t}\phi _{s})x_{t-1}+\epsilon _{t}\), with \(R^{*}=(1+r)/(1+g)=1.0001\), and the fractions \(n_{f,t}\), \(n_{c,t}\), and \(n_{s,t}\) updated according to Eqs. (5–7). *, **, and *** indicate statistical significance at the 10%, 5%, and 1% levels, respectively. Standard errors are denoted in parentheses. \(s^2\) is the variance of residuals

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