股权资产泡沫驱动因素的实证研究:基于20个国家的证据
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摘要
资产价格泡沫是关系金融、经济能否稳定发展的重要经济现象.现有国内外文献鲜有对资产价格泡沫驱动因素的实证探讨.以理性资产泡沫理论为依据,使用20个代表经济体2000年—2015年的经济金融数据,采用面板Logit模型实证研究了股权资产泡沫的驱动因素,弥补了该领域研究的不足.研究发现,交易量和价格波动率是股权资产泡沫的显著正向驱动因素,但对程度严重的股权泡沫而言,交易量不再是显著的决定因素;货币政策是驱动股权资产泡沫产生的显著因素之一;银行对私人部门的信贷规模及其滞后项也是股权资产泡沫的稳健决定变量.除此之外,还考察了制度变量对股权泡沫发生的作用,基本结论可概括为普通法、小投资者保护度低、政府透明度高、套利自由的国家更易发生股权资产泡沫.最后,还通过BMA-Logit模型和其他方法做了一系列的稳健性检验,确保了研究结论的稳健性.
Based on the rational bubbles theory,this study examines the determinants of asset bubbles by using the panel data Logit model and the data of 20 Economies dated from 2000 to 2015.The results suggest that trading volume and price volatility are significantly positive determinants of asset bubbles with the full sample.However,the explainable power of trading volume disappears during the period of severe equity bubbles.The results also reveal that monetary policy is a determinant of asset bubbles.Credit and its lag term are the two important variables that drive asset bubbles.Besides,this paper investigates the effect of the institutional variables on the occurrence of equity bubbles.The results suggest that equity bubbles are more likely to occur in the country with common law system,low protection on small investors,high transparency of government and free arbitrage.These results are confirmed by the robustness checks.
Based on the rational bubbles theory,this study examines the determinants of asset bubbles by using the panel data Logit model and the data of 20 Economies dated from 2000 to 2015.The results suggest that trading volume and price volatility are significantly positive determinants of asset bubbles with the full sample.However,the explainable power of trading volume disappears during the period of severe equity bubbles.The results also reveal that monetary policy is a determinant of asset bubbles.Credit and its lag term are the two important variables that drive asset bubbles.Besides,this paper investigates the effect of the institutional variables on the occurrence of equity bubbles.The results suggest that equity bubbles are more likely to occur in the country with common law system,low protection on small investors,high transparency of government and free arbitrage.These results are confirmed by the robustness checks.
引文
[1]Brunnermeier M K,Oehmke M.Bubbles,Financial Crises,and Systemic Risk[M].Handbook of the Economics of Finance George M C,Harris M,Stulz R M,ed.2013,2:1221-1288.
[2]Samuelson P A.An exact consumption loan model of interest with or without the contrivance of money[J].Journal of Political Economy,1958,66(1):32-35.
[3]Shiller R J.Do stock prices move too much to be justified by subsequent changes in dividends?[J].American Economic Review,1981,71:421-36.
[4]Tirole J.Asset bubbles and overlapping generations[J].Econometrica,1985,53:1499-1528.
[5]Scheinkman J A,Xiong W.Overconfidence and speculative bubbles[J].Journal of Political Economy,2003,111:1183-1219.
[6]Martin A,Ventura J.The international transmission of credit bubbles:Theory and policy[J].Journal of Monetary Economics,2015,125(7):3267-3272.
[7]LeRoy S F.Rational exuberance[J].Journal of Economic Literature,2004,42:783-804.
[8]Shiller R J.Irrational Exuberance[M].Princeton:Princeton University Press,2005.
[9]French K R,Poterba J M.Were Japanese stock prices too high?[J].Journal of Financial Economics,1991,29:337-363.
[10]Grossman G M,Yanagawa N.Asset bubbles and endogenous growth[J].Journal of Monetary Economics,1993,31:3-19.
[11]Olivier J.Growth-enhancing bubbles[J].International Economic Review,2000,41(1):133-151.
[12]Martin A,Ventura J.Economic growth with bubbles[J].American Economic Review,2012,102(6):3033-3058.
[13]Miao J,Wang P,Xu Z.A Bayesian dynamic stochastic general equilibrium model of stock market bubbles and business cycles[J].Quantitative Economics,2015,6(3):599-635.
[14]Phillips P C B,Shi S,Yu J.Testing for multiple bubbles:Historical episodes of exuberance and collapse in the S&P 500[J].International Economic Review,2015,56:1043-1078.
[15]刘京军,刘彦初,熊和平.基金竞争与泡沫资产配置的模仿行为研究[J].管理科学学报,2018,2:114-126.Liu Jingjun,Liu Yanchu,Xiong Heping.Competition among mutual funds and their imitation behavior on bubble assets allocations[J].Journal of Management Sciences in China,2018,2:114-126.(in Chinese)
[16]Topol R.Bubbles and volatility of stock Prices:Effect of mimetic contagion[J].Economic Journal,1991,101:786-800.
[17]Narayan P K,Mishra S,Sharma S,et al.Determinants of stock price bubbles[J].Economic Modelling,2013,35:661-667.
[18]GalíJ.Monetary policy and rational asset price bubbles[J].American Economic Review,2014,104:721-752.
[19]GalíJ,Gambetti L.The effects of monetary policy on stock market bubbles:Some evidence[J].American Economic Journal:Macroeconomics,2015,7:233-257.
[20]袁越,胡文杰.紧缩性货币政策能否抑制股市泡沫?[J].经济研究,2017,52(10):82-97.Yuan Yue,Hu Wenjie.Can contractionary monetary policy curb stock market bubbles?[J].Economic Research Journal,2017,52(10):82-97.(in Chinese)
[21]Svensson L E O.Inflation targeting and“leaning against the wind”[J].International Journal of Central Banking,2014,10:103-114.
[22]杨宝臣,张涵.技术分析、主体异质性与资产定价[J].管理科学学报,2017,20(6):101-110.Yang Baochen,Zhang Han.Technical analysis,agent heterogeneity and asset pricing[J].Journal of Management Sciences in China,2017,20(6):101-110.(in Chinese)
[23]Kiyotaki N,Moore J.Credit cycles[J].Journal of Political Economy,1997,105:211-248.
[24]Jordà,Schularick M,Taylor A M.Leveraged bubbles[J].Journal of Monetary Economics,2015,76:S1-S20.
[25]Jordà,Schularick M,Taylor A M.When credit bites back?[J].Journal of Money,Credit and Banking,2013,45(S2):3-28.
[26]Martin A,Ventura J.Managing credit bubbles[J].Journal of the European Economic Association,2016,14(3):753-789.
[27]Chaney T,Sraer D,Thesmar D.The collateral channel:How real estate shocks affect corporate investment[J].American Economic Review,2012,102(6):2381-2409.
[28]Ventura J.Bubbles and capital flows[J].Journal of Economic Theory,2012,147(2):738-758.
[29]Martin A,Ventura J.The international transmission of credit bubbles:Theory and policy[J].Journal of Monetary Economics,2015,125(7):3267-3272.
[30]Clain-Chamosset-Yvard L,Kamihigashi T.International transmission of bubble crashes in a two-country overlapping generations model[J].Journal of Mathematical Economics,2017,68:3607-3613.
[31]Miao J.Introduction to economic theory of bubbles[J].Journal of Mathematical Economics,2014,53:130-136.
[32]Gürkaynak R S.Econometric tests of asset price bubbles:Taking stock[J].Journal of Economic Surveys,2008,22:166-186.
[33]Caballero R J.Macroeconomics after the crisis:Time to deal with the pretense-of-knowledge syndrome[J].Journal of Economic Perspectives,2010,24:85-102.
[34]Leamer E,Leonard H.Reporting the fragility of regression estimates[J].Review of Economics and Statistics,1983,82:942-963.
[35]West K.A specification test for speculative bubbles[J].Quarterly Journal of Economics,1987,102:553-580
[36]Diba B,Grossman H.Explosive rational bubbles in stock prices?[J].American Economic Review,1988,78:520-530.
[37]Phillips P C B,Wu Y,Yu J.Explosive behavior in the 1990s NASDAQ:When did exuberance escalate asset values?[J].International Economic Review,2011,52(1):201-226.
[38]Homm U,Breitung J.Testing for speculative bubbles in stock markets:A comparison of alternative methods[J].Journal of Financial Econometrics,2012,10(1):198-231.
[39]Pavlidis E G,Paya I,Peel D A.Testing for speculative bubbles using spot and forward prices[J].International Economic Review,2017,58(4):1191-1226.
[40]Campbell J Y,Cochrane J H.By force of habit:A consumption-based explanation of aggregate stock market behavior[J].Journal of Political Economy,1999,107:205-251.
[41]Schularick M,Taylor A M.Credit booms gone bust:Monetary policy,leverage cycles,and financial crises,1870-2008[J].American Economic Review,2012,102:1029-1061.
[42]Goodhart C,Hofmann B.House prices,money,credit,and the macroeconomy[J].Oxford Review of Economic Policy,2008,24(1):180-205.
[43]王永钦,高鑫,袁志刚,等.金融发展、资产泡沫与实体经济:一个文献综述[J].金融研究,2016,5:191-206.Wang Yongqin,Gao Xin,Yuan Zhigang,et al.Financial development,asset bubble and the real economy:A survey[J].Journal of Financial Research,2016,5:191-206.(in Chinese)
[44]La Porta R,Lopez-de-Silanes F,Shleifer A,et al.Legal determinants of external finance[J].Journal of Finance,1997,52:1131-1150.
[45]La Porta R,Lopez-de-Silanes F,Shleifer A,et al.Law and finance[J].Journal of Political Economy,1998,106:1113-1155.
[46]Djankov S,La Porta R,Lopez-de-Silanes F,et al.The law and economics of self-dealing[J].Journal of Financial Economics,2008,88:430-465.
[47]Chinn M D,Ito H.What matters for financial development?Capital controls,institutions,and Interactions[J].Journal of Development Economics,2006,81:163-192.
[48]Scheinkman J A,Xiong W.Overconfidence,Short-Sale Constraints,and Bubbles[R].Princeton:Princeton University Economic Theory,Working Papers,2002.
[49]Gromb D,Vayanos D.Limits of arbitrage[J].Annual Review of Financial Economics,2010,2:251-275.
[50]朱宏泉,余江,陈林.异质信念、卖空限制与股票收益---基于中国证券市场的分析[J].管理科学学报,2016,19(7):115-126.Zhu Hongquan,Yu Jiang,Chen Lin.Heterogeneous beliefs,short-sale constraints and stock returns:Evidence from China[J].Journal of Management Sciences in China,2016,19(7):115-126.(in Chinese)
[51]李志生,杜爽,林秉旋.卖空交易与股票价格稳定性---来自中国融资融券市场的自然实验[J].金融研究,2015,6:173-188.Li Zhisheng,Du Shuang,Lin Bingxuan.Short selling and stock-price stability:A natural experiment from the margin trading market in China[J].Journal of Financial Research,2015,6:173-188.(in Chinese)
[52]张璟,刘晓辉.金融结构与固定汇率制度:来自新兴市场的假说和证据[J].世界经济,2015,38(10):3-29.Zhang Jing,Liu Xiaohui.Financial structure and fixed exchange rate regime:Hypothesis and evidence from emerging market economies[J].World Economy,2015,38(10):3-29.(in Chinese)
[53]Chen Q.Climate shocks,state capacity and peasant uprisings in North China during 25-1911CE[J].Economica,2014,82:295-318.
[54]Raftery A E.Bayes model selection in social research[J].Sociological Methodology,1995,25:111-163.
(2)资产泡沫潜在驱动因素的选取依据的是理性资产价格泡沫理论,该理论源于Samuelson[2]和Tirole[4]的研究,在此基础上学者做了诸多拓展研究.另外,还有一派泡沫理论的研究范式,即考察行为因素,如市场情绪、过度自信、从群效应[15]等在泡沫形成中的作用.需要说明的是,虽然我们承认行为因素在泡沫形成中会起到关键的作用,但由于至少以下两点原因,本文研究并未将其纳入分析框架,第一,本文是总量分析,个体层面的非理性并不一定导致市场层面的非理性,第二,由于行为因素在泡沫传导中的复杂性,不适合与理性因素在同一框架下分析.基于以上原因,本文的分析限定在理性资产泡沫理论的范畴内.
(3)在模型设定中,我们不能将时间固定效应考虑进来,因为本文使用的是小N(=20)和大T(=64)的样本,意味着偶发参数问题会在时间维度上存在.另外,由于面板Probit模型无法刻画固定效应,因此本文使用面板Logit模型.
(4)该方法已经受到很多中央银行等部门的关注,包括美国联邦储备银行、美国财政部、中国人民银行、德国中央银行、加拿大中央银行、韩国中央银行、香港金融管理局、法国中央银行、台湾中央银行、新加坡金融管理局、政府投资公司等(参见:http://www. mysmu. edu/faculty/yujun/).
(5)2014年—2015年间,S&P500指数达到2000点以上的历史高位,是进入新世纪以来的最高阶段,而这显然不是经济基本面所支撑的,因为2008金融危机后美国实体经济一直处于缓慢复苏的阶段.甚至Market Watch专栏作家Brett Arends曾撰文指出2014年是美国股市历史上的第三大泡沫(参见:http://finance. sina. com. cn/stock/usstock/comment/20140812/023619979148. shtml).
(6)尽管在本文设定中,时间固定效应可能也是显著的,但出于偶发参数问题的考虑,参考Schularick和Taylor[41]的设定未考虑时间固定效应.
(7)需要指出的是,消费者增长只是时变折现系数的一个粗糙代理变量,可能并不能完全反映折现系数变动对资产价格异象的解释,需要更加深入的研究.
(8)法律起源数据来源于La Porta等[44],小投资者保护力度数据来源于世界银行发布的各期《全球营商环境报告》,政府透明度数据来源于透明国际组织的报告,卖空约束数据来源于Gromb和Vayanos[49].
(9)由于法律制度起源为非时变变量,在面板模型估计时会被删除,因此该处使用了混合Logit模型.
[2]Samuelson P A.An exact consumption loan model of interest with or without the contrivance of money[J].Journal of Political Economy,1958,66(1):32-35.
[3]Shiller R J.Do stock prices move too much to be justified by subsequent changes in dividends?[J].American Economic Review,1981,71:421-36.
[4]Tirole J.Asset bubbles and overlapping generations[J].Econometrica,1985,53:1499-1528.
[5]Scheinkman J A,Xiong W.Overconfidence and speculative bubbles[J].Journal of Political Economy,2003,111:1183-1219.
[6]Martin A,Ventura J.The international transmission of credit bubbles:Theory and policy[J].Journal of Monetary Economics,2015,125(7):3267-3272.
[7]LeRoy S F.Rational exuberance[J].Journal of Economic Literature,2004,42:783-804.
[8]Shiller R J.Irrational Exuberance[M].Princeton:Princeton University Press,2005.
[9]French K R,Poterba J M.Were Japanese stock prices too high?[J].Journal of Financial Economics,1991,29:337-363.
[10]Grossman G M,Yanagawa N.Asset bubbles and endogenous growth[J].Journal of Monetary Economics,1993,31:3-19.
[11]Olivier J.Growth-enhancing bubbles[J].International Economic Review,2000,41(1):133-151.
[12]Martin A,Ventura J.Economic growth with bubbles[J].American Economic Review,2012,102(6):3033-3058.
[13]Miao J,Wang P,Xu Z.A Bayesian dynamic stochastic general equilibrium model of stock market bubbles and business cycles[J].Quantitative Economics,2015,6(3):599-635.
[14]Phillips P C B,Shi S,Yu J.Testing for multiple bubbles:Historical episodes of exuberance and collapse in the S&P 500[J].International Economic Review,2015,56:1043-1078.
[15]刘京军,刘彦初,熊和平.基金竞争与泡沫资产配置的模仿行为研究[J].管理科学学报,2018,2:114-126.Liu Jingjun,Liu Yanchu,Xiong Heping.Competition among mutual funds and their imitation behavior on bubble assets allocations[J].Journal of Management Sciences in China,2018,2:114-126.(in Chinese)
[16]Topol R.Bubbles and volatility of stock Prices:Effect of mimetic contagion[J].Economic Journal,1991,101:786-800.
[17]Narayan P K,Mishra S,Sharma S,et al.Determinants of stock price bubbles[J].Economic Modelling,2013,35:661-667.
[18]GalíJ.Monetary policy and rational asset price bubbles[J].American Economic Review,2014,104:721-752.
[19]GalíJ,Gambetti L.The effects of monetary policy on stock market bubbles:Some evidence[J].American Economic Journal:Macroeconomics,2015,7:233-257.
[20]袁越,胡文杰.紧缩性货币政策能否抑制股市泡沫?[J].经济研究,2017,52(10):82-97.Yuan Yue,Hu Wenjie.Can contractionary monetary policy curb stock market bubbles?[J].Economic Research Journal,2017,52(10):82-97.(in Chinese)
[21]Svensson L E O.Inflation targeting and“leaning against the wind”[J].International Journal of Central Banking,2014,10:103-114.
[22]杨宝臣,张涵.技术分析、主体异质性与资产定价[J].管理科学学报,2017,20(6):101-110.Yang Baochen,Zhang Han.Technical analysis,agent heterogeneity and asset pricing[J].Journal of Management Sciences in China,2017,20(6):101-110.(in Chinese)
[23]Kiyotaki N,Moore J.Credit cycles[J].Journal of Political Economy,1997,105:211-248.
[24]Jordà,Schularick M,Taylor A M.Leveraged bubbles[J].Journal of Monetary Economics,2015,76:S1-S20.
[25]Jordà,Schularick M,Taylor A M.When credit bites back?[J].Journal of Money,Credit and Banking,2013,45(S2):3-28.
[26]Martin A,Ventura J.Managing credit bubbles[J].Journal of the European Economic Association,2016,14(3):753-789.
[27]Chaney T,Sraer D,Thesmar D.The collateral channel:How real estate shocks affect corporate investment[J].American Economic Review,2012,102(6):2381-2409.
[28]Ventura J.Bubbles and capital flows[J].Journal of Economic Theory,2012,147(2):738-758.
[29]Martin A,Ventura J.The international transmission of credit bubbles:Theory and policy[J].Journal of Monetary Economics,2015,125(7):3267-3272.
[30]Clain-Chamosset-Yvard L,Kamihigashi T.International transmission of bubble crashes in a two-country overlapping generations model[J].Journal of Mathematical Economics,2017,68:3607-3613.
[31]Miao J.Introduction to economic theory of bubbles[J].Journal of Mathematical Economics,2014,53:130-136.
[32]Gürkaynak R S.Econometric tests of asset price bubbles:Taking stock[J].Journal of Economic Surveys,2008,22:166-186.
[33]Caballero R J.Macroeconomics after the crisis:Time to deal with the pretense-of-knowledge syndrome[J].Journal of Economic Perspectives,2010,24:85-102.
[34]Leamer E,Leonard H.Reporting the fragility of regression estimates[J].Review of Economics and Statistics,1983,82:942-963.
[35]West K.A specification test for speculative bubbles[J].Quarterly Journal of Economics,1987,102:553-580
[36]Diba B,Grossman H.Explosive rational bubbles in stock prices?[J].American Economic Review,1988,78:520-530.
[37]Phillips P C B,Wu Y,Yu J.Explosive behavior in the 1990s NASDAQ:When did exuberance escalate asset values?[J].International Economic Review,2011,52(1):201-226.
[38]Homm U,Breitung J.Testing for speculative bubbles in stock markets:A comparison of alternative methods[J].Journal of Financial Econometrics,2012,10(1):198-231.
[39]Pavlidis E G,Paya I,Peel D A.Testing for speculative bubbles using spot and forward prices[J].International Economic Review,2017,58(4):1191-1226.
[40]Campbell J Y,Cochrane J H.By force of habit:A consumption-based explanation of aggregate stock market behavior[J].Journal of Political Economy,1999,107:205-251.
[41]Schularick M,Taylor A M.Credit booms gone bust:Monetary policy,leverage cycles,and financial crises,1870-2008[J].American Economic Review,2012,102:1029-1061.
[42]Goodhart C,Hofmann B.House prices,money,credit,and the macroeconomy[J].Oxford Review of Economic Policy,2008,24(1):180-205.
[43]王永钦,高鑫,袁志刚,等.金融发展、资产泡沫与实体经济:一个文献综述[J].金融研究,2016,5:191-206.Wang Yongqin,Gao Xin,Yuan Zhigang,et al.Financial development,asset bubble and the real economy:A survey[J].Journal of Financial Research,2016,5:191-206.(in Chinese)
[44]La Porta R,Lopez-de-Silanes F,Shleifer A,et al.Legal determinants of external finance[J].Journal of Finance,1997,52:1131-1150.
[45]La Porta R,Lopez-de-Silanes F,Shleifer A,et al.Law and finance[J].Journal of Political Economy,1998,106:1113-1155.
[46]Djankov S,La Porta R,Lopez-de-Silanes F,et al.The law and economics of self-dealing[J].Journal of Financial Economics,2008,88:430-465.
[47]Chinn M D,Ito H.What matters for financial development?Capital controls,institutions,and Interactions[J].Journal of Development Economics,2006,81:163-192.
[48]Scheinkman J A,Xiong W.Overconfidence,Short-Sale Constraints,and Bubbles[R].Princeton:Princeton University Economic Theory,Working Papers,2002.
[49]Gromb D,Vayanos D.Limits of arbitrage[J].Annual Review of Financial Economics,2010,2:251-275.
[50]朱宏泉,余江,陈林.异质信念、卖空限制与股票收益---基于中国证券市场的分析[J].管理科学学报,2016,19(7):115-126.Zhu Hongquan,Yu Jiang,Chen Lin.Heterogeneous beliefs,short-sale constraints and stock returns:Evidence from China[J].Journal of Management Sciences in China,2016,19(7):115-126.(in Chinese)
[51]李志生,杜爽,林秉旋.卖空交易与股票价格稳定性---来自中国融资融券市场的自然实验[J].金融研究,2015,6:173-188.Li Zhisheng,Du Shuang,Lin Bingxuan.Short selling and stock-price stability:A natural experiment from the margin trading market in China[J].Journal of Financial Research,2015,6:173-188.(in Chinese)
[52]张璟,刘晓辉.金融结构与固定汇率制度:来自新兴市场的假说和证据[J].世界经济,2015,38(10):3-29.Zhang Jing,Liu Xiaohui.Financial structure and fixed exchange rate regime:Hypothesis and evidence from emerging market economies[J].World Economy,2015,38(10):3-29.(in Chinese)
[53]Chen Q.Climate shocks,state capacity and peasant uprisings in North China during 25-1911CE[J].Economica,2014,82:295-318.
[54]Raftery A E.Bayes model selection in social research[J].Sociological Methodology,1995,25:111-163.
(2)资产泡沫潜在驱动因素的选取依据的是理性资产价格泡沫理论,该理论源于Samuelson[2]和Tirole[4]的研究,在此基础上学者做了诸多拓展研究.另外,还有一派泡沫理论的研究范式,即考察行为因素,如市场情绪、过度自信、从群效应[15]等在泡沫形成中的作用.需要说明的是,虽然我们承认行为因素在泡沫形成中会起到关键的作用,但由于至少以下两点原因,本文研究并未将其纳入分析框架,第一,本文是总量分析,个体层面的非理性并不一定导致市场层面的非理性,第二,由于行为因素在泡沫传导中的复杂性,不适合与理性因素在同一框架下分析.基于以上原因,本文的分析限定在理性资产泡沫理论的范畴内.
(3)在模型设定中,我们不能将时间固定效应考虑进来,因为本文使用的是小N(=20)和大T(=64)的样本,意味着偶发参数问题会在时间维度上存在.另外,由于面板Probit模型无法刻画固定效应,因此本文使用面板Logit模型.
(4)该方法已经受到很多中央银行等部门的关注,包括美国联邦储备银行、美国财政部、中国人民银行、德国中央银行、加拿大中央银行、韩国中央银行、香港金融管理局、法国中央银行、台湾中央银行、新加坡金融管理局、政府投资公司等(参见:http://www. mysmu. edu/faculty/yujun/).
(5)2014年—2015年间,S&P500指数达到2000点以上的历史高位,是进入新世纪以来的最高阶段,而这显然不是经济基本面所支撑的,因为2008金融危机后美国实体经济一直处于缓慢复苏的阶段.甚至Market Watch专栏作家Brett Arends曾撰文指出2014年是美国股市历史上的第三大泡沫(参见:http://finance. sina. com. cn/stock/usstock/comment/20140812/023619979148. shtml).
(6)尽管在本文设定中,时间固定效应可能也是显著的,但出于偶发参数问题的考虑,参考Schularick和Taylor[41]的设定未考虑时间固定效应.
(7)需要指出的是,消费者增长只是时变折现系数的一个粗糙代理变量,可能并不能完全反映折现系数变动对资产价格异象的解释,需要更加深入的研究.
(8)法律起源数据来源于La Porta等[44],小投资者保护力度数据来源于世界银行发布的各期《全球营商环境报告》,政府透明度数据来源于透明国际组织的报告,卖空约束数据来源于Gromb和Vayanos[49].
(9)由于法律制度起源为非时变变量,在面板模型估计时会被删除,因此该处使用了混合Logit模型.