因变量：对数收益率 $l{r}_{i,t}$

模型

固定效应模型–组内估计量

随机效应模型-MLE法

$BaiduInde{x}_t$

−3.03e−07

(6.70e−07)

−3.26e−07

(6.64e−07)

$BaiduInde{x}_{t-1}$

1.83e−06^*

(9.94e−07)

1.88e−06^*

(9.96e−07)

$BaiduInde{x}_{t-2}$

−2.19e−06

(1.28e−06)

−2.18e−06^*

(1.28e−06)

$BaiduInde{x}_{t-3}$

8.52e−07

(9.73e−07)

7.88e−07

(9.43e−07)

$lvolum{e}_{i,t}$

−0.067232

(0.0449511)

−0.0673701

(0.0446659)

$lvolum{e}_{i,t-1}$

0.0406368

(0.0279909)

0.0406865

(0.0280735)

$lvolum{e}_{i,t-2}$

0.016961

(0.0103933)

0.0168062

(0.0103996)

$lvolum{e}_{i,t-3}$

0.0054559

(0.0107986)

0.0054879

(0.0106952)

$lturnove{r}_{i,t}$

0.0635113

(0.0433104)

0.0636634

(0.0430455)

$lturnove{r}_{i,t-1}$

−0.0370043

(0.0278499)

−0.037115

(0.0279178)

$lturnove{r}_{i,t-2}$

−0.0169311

(0.0100862)

−0.0167919^*

(0.0100905)

$lturnove{r}_{i,t-3}$

−0.0050789

(0.0102471)

−0.0051492

(0.0101492)

截距项

−0.0174667

(0.0145055)

−0.0166598^*

(0.0101337)

数据量

1706

1706

组数

11

11