2Arellano, M. and Bond, S. Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations[J]. Review of Economic Studies, 1991 (4) : 277-297.
3Arellano, M. and Borer, O. Another Look at the Instrumental Variable Estimation of Error - Components Models [J]. Journal of Econometrics, 1995 (7): 29-52.
4Baker, M. and Stein, J.C. Market Liquidity as a Sentiment Indicator[J]. Journal of Financial Markets, 2004 (3) : 271-299.
5Baker, M. and Wurgler, J. Investor Sentiment and the Cross-section of Stock Returns[J]. Journal of Finance, 2006 (4): 1645-1680.
6Blundell, R. and Bond, S. Initial Conditions and Moment Restrictions in Dynamic Panel Data Models[J]. Journal of Econometrics, 1998 (7): 115-143.
7Bris, A., Goetzmann, W.N., Zhu, N. Efficiency and the Bear: Short Sales and Markets around the World[J]. The Journal of Finance, 2007, 62 (3): 1029-1079.
8Brown, G. W. and Cliff, M.T. Investor Sentiment and Asset Valnation[J]. Journal of Business, 2005 (2) : 405- 407.
9Chang, E.C., Cheng, J.W., Yu, Y. Short-sales Constraints and Price Discovery: Evidence from the Hong Kong Market[J]. The Jottrna/of Finance, 2007, 62 (5): 2097-2121.
10Chang, E.C., Luo, Y., Ren, J. Short-selling, Margin-trading, and Price Efficiency: Evidence from the Chi- nese Market[J]. Journal of Banking and Finance, 2014, 48:411-424.