2.1.3 Panel Vector Auto-regression for Firm Size88
2.1.4 Summary91
2.2 Trading Volume 91
2.2.1 Vector Auto-regression for Trading Volume91
2.2.2 Panel Vector Auto-regression for Trading Volume97
2.2.3 Summary100
2.3 B/M Ratio 100
2.3.1 Vector Auto-regression for B/M Ratio100
2.3.2 Panel Vector Auto-regression for B/M Ratio106
2.3.3 Summary108
2.4 Test of Intra- and Inter-industry Information Diffusion109
2.5 Finding Summary110
3 Intra-industry Information Diffusion and Market Conditions111
3.1 Information Diffusion and Shorter Horizon of Market Condition111
3.2 Information Diffusion and Longer Horizon of Market Condition117
3.3 Robustness Check 123
3.3.1 Robustness Check for Trading Volume Portfolios123
3.3.2 Robustness Check for B/M Ratio Portfolios128
3.4 Finding Summary132
4 The Impacts of Policy Changes on the Intra-industry Information Diffusion 133
4.1 The Impacts of Policy Changes during Three Sub-periods133
4.2 Robustness Check 140
4.2.1Robustness Check for Trading Volume141
4.2.2 Robustness Check for B/M Ratio144
4.3 Finding Summary147
5 Summary147
Chapter 6 Discussion and Conclusion
1 Introduction149
2 Recapitulation of the Study149
3 Discussion of finding152
3.1 Internal Determinants of Intra-industry Information Diffusion152
3.2 Market Conditions and Intra-industry Information Diffusion154
3.3 Policy Changes and Intra-industry Information Diffusion156
4 Implications of the Study157
4.1 Theoretical Implication 157
4.2 Practical Implication158
5 Limitations of the Study160
6 Suggestions for Future Study160
7 Conclusion161
References163

股票市场的信息扩散 作者简介

董驰，2016年获马来西亚理科大学金融学博士，现为河北大学经济学院教师、金融专业硕士研究生导师、河北省区域经济发展研究院（HIRED）研究员、《南洋商报》（财经版）“一带一路”特约研究员及亚洲管理学会（Asian Academy of Management）评审。主要从事行为金融、证券投资、金融市场和区域经济的研究，主持和参与省部级课题多项，主编教材《行为金融学》一部，在国内外权威期刊上发表论文多篇。

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