内部资本市场效率测度指标的实证分析——基于联立方程模型

Empirical Analysis on Measurement Indicator of Internal Capital Market′s Efficiency:Based on Simultaneous Equation Model

建立了Tobin′s Q、ROA和APS三个指标的联立方程模型,并分别利用OLS法、2SLS法和3SLS法对联立方程进行回归,并比较了回归结果。在三个指标之间存在内生性的情况下,3SLS法的回归效果优于2SLS法,而2SLS法的回归效果又优于OLS法。研究结果显示:Tobin′s Q、ROA和APS之间存在显著的正相关关系。在三个指标的基础上,采用主成分分析法构造综合指标来衡量内部资本市场效率,并利用股价走势对该综合指标的优劣进行了检验。

This paper constructs the simultaneous equation including Tobin＇s Q,ROA 和 APS,and makes the regression analysis on the simultaneous equation by using the methods of OLS,2SLS and 3SLS,and compares the regression results.Under the condition that the endogenous exists,the regression effect of 3SLS is better than that of 2SLS,and that of 2SLS is better than that of OLS.The result shows that there exist the significant positive correlation among Tobin＇s Q,ROA 和 APS,and they interact each other.Finally,it designs a comprehensive index by using principle componential analysis to measure internal capital market efficiency.