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

$BaiduInde{x}_t$

2.63e−07

(6.70e−07)

2.57e−07

(6.60e−07)

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

1.04e−06

(6.07e−07)

1.09e−06^*

(5.97e−07)

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

−2.19e−06

(1.34e−06)

−2.22e−06

(1.36e−06)

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

9.63e−07

(1.05e−06)

9.44e−07

(1.04e−06)

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

−0.054

(0.038)

−0.054

(0.038)

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

0.037

(0.025)

0.037

(0.025)

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

0.012

(0.007)

0.012*

(0.007)

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

0.004

(0.010)

0.004

(0.010)

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

0.050

(0.037)

0.051

(0.037)

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

−0.033

(0.025)

−0.033

(0.025)

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

−0.012

(0.007)

−0.012*

(0.007)

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

−0.004

(0.010)

−0.004

(0.010)

截距项

−0.005

(0.017)

−0.007

(0.010)

数据量

1547

1547

组数

9

9