Granger causality test
| Dependent variable = | ETR1 | Financial_D | ETR1 | Financial_Ratio |
|---|---|---|---|---|
| OLS | Probit | OLS | OLS | |
| (1) | (2) | (3) | (4) | |
| Lagged ETR1 | 0.209*** | 0.009 | 0.209*** | −0.001 |
| (13.994) | (0.111) | (13.999) | (−0.450) | |
| Lagged Financial_D | −0.008** | 2.490*** | ||
| (−2.432) | (82.322) | |||
| Lagged Financial_Ratio | −0.026* | 0.748*** | ||
| (−1.895) | (57.981) | |||
| SOE | 0.004 | −0.215*** | 0.004 | −0.003** |
| (0.955) | (−5.737) | (1.031) | (−2.555) | |
| Size | 0.010*** | 0.043*** | 0.010*** | −0.001 |
| (6.356) | (3.007) | (6.251) | (−1.256) | |
| Age | −0.001 | 0.029 | −0.001 | 0.000 |
| (−0.528) | (1.429) | (−0.414) | (0.051) | |
| Tangibility | 0.021 | −0.650*** | 0.021 | −0.010 |
| (1.138) | (−3.638) | (1.164) | (−1.275) | |
| Lev | 0.013 | −0.036 | 0.013 | −0.002 |
| (1.322) | (−0.407) | (1.317) | (−0.527) | |
| RD | −0.528*** | −3.879*** | −0.529*** | −0.106*** |
| (−5.019) | (−3.508) | (−5.021) | (−2.674) | |
| ROA | 0.197*** | 0.129 | 0.198*** | 0.007 |
| (6.682) | (0.430) | (6.729) | (0.570) | |
| Growth | 0.013*** | 0.083*** | 0.013*** | 0.001 |
| (4.721) | (3.072) | (4.735) | (0.488) | |
| Duality | 0.002 | 0.042 | 0.002 | 0.001 |
| (0.618) | (1.194) | (0.621) | (1.011) | |
| Independence | 0.032 | −0.005 | 0.033 | 0.003 |
| (1.171) | (−0.019) | (1.183) | (0.246) | |
| Female | 0.023 | 0.083 | 0.023 | 0.006 |
| (1.524) | (0.585) | (1.544) | (1.217) | |
| Loss | 0.041*** | 0.049 | 0.041*** | 0.001 |
| (4.239) | (0.743) | (4.250) | (0.611) | |
| TotalAccruals | 0.003 | 0.203 | 0.002 | 0.005 |
| (0.136) | (1.049) | (0.118) | (0.639) | |
| TMT_Age | −0.012 | −0.409** | −0.012 | −0.017** |
| (−0.558) | (−2.007) | (−0.552) | (−2.154) | |
| TMT_Foreign | 0.019 | 0.299** | 0.019 | 0.018* |
| (1.187) | (2.168) | (1.187) | (1.933) | |
| TMT_Academic | 0.006 | 0.227* | 0.006 | 0.003 |
| (0.539) | (1.946) | (0.546) | (0.677) | |
| _cons | −0.185** | −0.311 | −0.184** | 0.103*** |
| (−2.143) | (−0.379) | (−2.119) | (3.331) | |
| Year fixed effects? | Yes | Yes | Yes | Yes |
| Industry fixed effects? | Yes | Yes | Yes | Yes |
| Province fixed effects? | Yes | Yes | Yes | Yes |
| SEs. Clustered at | Firm, Year | Firm, Year | Firm, Year | Firm, Year |
| No. of obs | 17,257 | 18,924 | 17,257 | 18,924 |
| Adj./Pseudo R-square | 0.091 | 0.531 | 0.091 | 0.605 |
| Dependent variable = | ETR1 | Financial_D | ETR1 | Financial_Ratio |
|---|---|---|---|---|
| Probit | ||||
| (1) | (2) | (3) | (4) | |
| 0.209*** | 0.009 | 0.209*** | −0.001 | |
| (13.994) | (0.111) | (13.999) | (−0.450) | |
| −0.008** | 2.490*** | |||
| (−2.432) | (82.322) | |||
| −0.026* | 0.748*** | |||
| (−1.895) | (57.981) | |||
| 0.004 | −0.215*** | 0.004 | −0.003** | |
| (0.955) | (−5.737) | (1.031) | (−2.555) | |
| 0.010*** | 0.043*** | 0.010*** | −0.001 | |
| (6.356) | (3.007) | (6.251) | (−1.256) | |
| −0.001 | 0.029 | −0.001 | 0.000 | |
| (−0.528) | (1.429) | (−0.414) | (0.051) | |
| 0.021 | −0.650*** | 0.021 | −0.010 | |
| (1.138) | (−3.638) | (1.164) | (−1.275) | |
| 0.013 | −0.036 | 0.013 | −0.002 | |
| (1.322) | (−0.407) | (1.317) | (−0.527) | |
| −0.528*** | −3.879*** | −0.529*** | −0.106*** | |
| (−5.019) | (−3.508) | (−5.021) | (−2.674) | |
| 0.197*** | 0.129 | 0.198*** | 0.007 | |
| (6.682) | (0.430) | (6.729) | (0.570) | |
| 0.013*** | 0.083*** | 0.013*** | 0.001 | |
| (4.721) | (3.072) | (4.735) | (0.488) | |
| 0.002 | 0.042 | 0.002 | 0.001 | |
| (0.618) | (1.194) | (0.621) | (1.011) | |
| 0.032 | −0.005 | 0.033 | 0.003 | |
| (1.171) | (−0.019) | (1.183) | (0.246) | |
| 0.023 | 0.083 | 0.023 | 0.006 | |
| (1.524) | (0.585) | (1.544) | (1.217) | |
| 0.041*** | 0.049 | 0.041*** | 0.001 | |
| (4.239) | (0.743) | (4.250) | (0.611) | |
| 0.003 | 0.203 | 0.002 | 0.005 | |
| (0.136) | (1.049) | (0.118) | (0.639) | |
| −0.012 | −0.409** | −0.012 | −0.017** | |
| (−0.558) | (−2.007) | (−0.552) | (−2.154) | |
| 0.019 | 0.299** | 0.019 | 0.018* | |
| (1.187) | (2.168) | (1.187) | (1.933) | |
| 0.006 | 0.227* | 0.006 | 0.003 | |
| (0.539) | (1.946) | (0.546) | (0.677) | |
| −0.185** | −0.311 | −0.184** | 0.103*** | |
| (−2.143) | (−0.379) | (−2.119) | (3.331) | |
| Yes | Yes | Yes | Yes | |
| Yes | Yes | Yes | Yes | |
| Yes | Yes | Yes | Yes | |
| Firm, Year | Firm, Year | Firm, Year | Firm, Year | |
| 17,257 | 18,924 | 17,257 | 18,924 | |
| 0.091 | 0.531 | 0.091 | 0.605 |
Note(s): This table reports the results for Granger Causality Test. All independent variables are lagged by one year except for Growth and Loss. ***, **, and * denote statistical significance at the 1%, 5%, and 10% levels, respectively