Table 1.
The results of Ljung-Box-Pierce Q.
| Stock Code | 5-Lags | 10-Lags | 15-Lags | 20-Lags |
|---|---|---|---|---|
| 000006.SZ | 21.6051 *** | 38.4482 *** | 42.4545 *** | 48.2823 *** |
| 000009.SZ | 8.0681 | 20.2608 ** | 50.1010 *** | 57.5135 *** |
| 000012.SZ | 5.9939 *** | 22.6637 ** | 30.2325 ** | 39.3211 *** |
| 000014.SZ | 24.7229 *** | 39.5542 *** | 60.2213 *** | 68.8523 *** |
| 000032.SZ | 18.5736 *** | 35.9589 *** | 41.3653 *** | 55.0598 *** |
| 000055.SZ | 16.1696 *** | 25.1449 *** | 35.4292 *** | 43.4041 *** |
| 000058.SZ | 20.4609 *** | 31.4845 *** | 36.7648 *** | 42.5812 *** |
| 000060.SZ | 13.4690 ** | 14.2572 | 32.2536 *** | 33.5518 ** |
| 000062.SZ | 24.7848 *** | 28.1216 *** | 36.2232 *** | 50.3635 *** |
| 000063.SZ | 15.2538 *** | 25.4355 *** | 28.4957 ** | 33.0139 ** |
| 000070.SZ | 30.8077 *** | 46.3809 *** | 49.2339 *** | 52.8709 *** |
| 000088.SZ | 22.7924 *** | 52.1273 *** | 56.3863 *** | 65.1081 *** |
| 000417.SZ | 5.0400 | 26.7173 *** | 40.2973 *** | 43.4603 *** |
| 000151.SZ | 18.5001 *** | 43.9111 *** | 61.21 *** | 63.2111 *** |
| 000428.SZ | 18.8814 *** | 39.0454 *** | 54.2291 *** | 58.0627 *** |
| 000488.SZ | 10.6168 * | 21.6755 ** | 31.5148 ** | 42.4101 *** |
| 000501.SZ | 10.5518 * | 43.9884 *** | 59.9645 *** | 72.0285 *** |
| 000506.SZ | 83.1071 *** | 96.4226 *** | 109.1136 *** | 110.5655 *** |
| 000572.SZ | 2.5366 | 25.0778 *** | 28.9072 ** | 38.4491 *** |
| 000544.SZ | 16.2461 *** | 28.9105 *** | 39.0724 *** | 52.2869 *** |
| 000545.SZ | 15.6275 *** | 20.2738 ** | 30.3052 ** | 49.6051 *** |
| 000548.SZ | 7.1463 | 28.3473 *** | 42.6825 *** | 49.8242 *** |
| 000551.SZ | 10.6251 * | 22.0099 ** | 29.1647 ** | 31.4479 ** |
| 000552.SZ | 9.4039 * | 11.0429 | 39.3816 ** | 42.3156 *** |
| 000554.SZ | 10.2074 * | 14.6459 | 19.2328 | 21.6216 |
| 000559.SZ | 11.7471 ** | 35.2579 *** | 40.7503 *** | 42.0554 *** |
| 000561.SZ | 13.8186 ** | 18.5989 ** | 29.6349 | 39.4647 *** |
| 000565.SZ | 16.7915 *** | 19.1473 ** | 30.4736 ** | 37.2379 ** |
| 000570.SZ | 16.6161 *** | 33.7508 *** | 52.1117 *** | 58.3116 *** |
| 000576.SZ | 61.1017 *** | 68.8473 *** | 72.7982 *** | 89.2181 *** |
| 000597.SZ | 6.4010 | 21.4204 ** | 31.0142 ** | 34.1832 ** |
| 000600.SZ | 9.1283 * | 28.6727 *** | 37.5731 *** | 48.2757 *** |
| 000603.SZ | 24.6331 *** | 36.1251 *** | 47.0366 *** | 68.8977 *** |
| 000619.SZ | 23.0051 *** | 34.4507 *** | 47.1044 *** | 49.5425 *** |
| 000628.SZ | 18.5710 *** | 23.5099 *** | 27.5565 ** | 35.9639 *** |
| 000629.SZ | 12.6282 ** | 17.6407 ** | 20.1427 | 30.2449 * |
| 000631.SZ | 5.3062 | 21.3837 ** | 31.8666 ** | 39.0597 *** |
| 000635.SZ | 12.1342 ** | 22.4461 *** | 35.1346 *** | 38.7178 *** |
| 000639.SZ | 21.8042 *** | 41.4061 *** | 49.9885 *** | 62.4539 *** |
| 000652.SZ | 10.0423 * | 22.7582 *** | 24.5094 * | 35.6892 ** |
Notes: *, ** and *** denotes statistical significance at the 10%, 5%, and 1% levels, respectively.