APPENDIX Table 1. EViews Output Summary

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Table 1. EViews Output Summary

Dependent Variable: P Method: Panel Least Squares Date: 06/24/07 Time: 19:40 Sample: 1999 2005

Cross-sections included: 74

Total panel (unbalanced) observations: 512

Variable Coefficient Std. Error t-Statistic Prob.

C 37.51111 17.16705 2.185065 0.0293 ABCF 0.008230 0.010357 0.794650 0.4272 GIOV 0.011159 0.005618 1.986264 0.0475 CE 0.075878 0.008511 8.915723 0.0000 TSEC 0.202686 0.071650 2.828831 0.0049 O -23.94485 13.83409 -1.730858 0.0841 TOI -11.29294 5.552929 -2.033690 0.0425

R-squared 0.401257 Mean dependent var 77.43636

Adjusted R-squared 0.394143 S.D. dependent var 199.9089 S.E. of regression 155.6028 Akaike info criterion 12.94607 Sum squared resid 12227170 Schwarz criterion 13.00401

Log likelihood -3307.193 F-statistic 56.40550

Durbin-Watson stat 0.355159 Prob(F-statistic) 0.000000

(a)

Dependent Variable: P Method: Panel Least Squares Date: 06/24/07 Time: 19:17 Sample (adjusted): 2000 2005 Cross-sections included: 74

Total panel (unbalanced) observations: 437 Convergence achieved after 7 iterations

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AR(1) 1.281984 0.029717 43.13919 0.0000

Adjusted R-squared 0.868421 S.D. dependent var 213.8442 S.E. of regression 77.56936 Akaike info criterion 11.55836 Sum squared resid 2581295. Schwarz criterion 11.63305

Durbin-Watson stat 1.886897 Prob(F-statistic) 0.000000 Inverted AR Roots 1.28

Estimated AR process is nonstationary

(b) with AR(1) added

Dependent Variable: P Method: Panel Least Squares Date: 06/24/07 Time: 19:21 Sample (adjusted): 2001 2005 Cross-sections included: 74

C -44.54806 28.87584 -1.542745 0.1238 ABCF 0.025428 0.004624 5.499323 0.0000 GIOV -0.002292 0.001871 -1.225062 0.2214 CE 0.030312 0.004544 6.670340 0.0000 TSEC 0.258131 0.036693 7.034856 0.0000 O -2.304932 7.505404 -0.307103 0.7589 TOI 8.833084 9.634423 0.916825 0.3599 AR(1) 1.180137 0.059287 19.90565 0.0000 AR(2) 0.131871 0.075289 1.751517 0.0807

Durbin-Watson stat 1.529693 Prob(F-statistic) 0.000000 Inverted AR Roots 1.28 -.10

(c) with AR(1), AR(2) added

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C -41.82439 20.72982 -2.017595 0.0446 ABCF 0.020588 0.003976 5.178018 0.0000 GIOV -0.002264 0.001736 -1.303523 0.1935 CE 0.032704 0.003519 9.294991 0.0000 TSEC 0.264741 0.039560 6.692141 0.0000 O -3.175361 6.642389 -0.478045 0.6330 TOI 9.568168 6.934401 1.379812 0.1687 AR(1) 1.463003 0.073171 19.99419 0.0000 AR(2) -0.536366 0.098076 -5.468904 0.0000 AR(3) 0.546322 0.079199 6.898073 0.0000

Durbin-Watson stat 2.341710 Prob(F-statistic) 0.000000 Inverted AR Roots 1.36 .05-.63i .05+.63i

(d) with AR(1), AR(2) and AR(3) added

Dependent Variable: P

Method: Panel EGLS (Period SUR) Date: 06/30/07 Time: 17:37 Sample: 1999 2005

Total panel (unbalanced) observations: 512 Linear estimation after one-step weighting matrix

Period SUR (PCSE) standard errors & covariance (d.f. corrected) Variable Coefficient Std. Error t-Statistic Prob.

C -5.326142 10.28357 -0.517927 0.6047 ABCF 0.014888 0.003360 4.430188 0.0000 GIOV 0.006127 0.001536 3.987460 0.0001 CE 0.049041 0.003018 16.24824 0.0000 TSEC 0.256558 0.040800 6.288249 0.0000 O -2.017798 5.727694 -0.352288 0.7248 TOI 0.708875 3.420738 0.207229 0.8359 Weighted Statistics

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S.E. of regression 0.887188 Sum squared resid 397.4871 Durbin-Watson stat 1.939913

Unweighted Statistics

Sum squared resid 13187673 Durbin-Watson stat 0.289326 (e)

with Period SUR

Table 2. Causality Tests

Pairwise Granger Causality Tests Date: 06/30/07 Time: 18:16 Sample: 1999 2005

Lags: 2

Null Hypothesis: Obs F-Statistic Probability

ABCF does not Granger Cause P 363 5.61925 0.00395**

P does not Granger Cause ABCF 2.31236 0.10050

GIOV does not Granger Cause P 363 13.5976 2.0E-06**

P does not Granger Cause GIOV 13.3494 2.6E-06**

CE does not Granger Cause P 363 6.20682 0.00224**

P does not Granger Cause CE 5.55847 0.00419**

TSEC does not Granger Cause P 363 10.3166 4.4E-05**

P does not Granger Cause TSEC 0.33762 0.71369

O does not Granger Cause P 364 0.02866 0.97175

P does not Granger Cause O 0.01896 0.98122

TOI does not Granger Cause P 364 0.57460 0.56344

P does not Granger Cause TOI 0.02515 0.97517

GIOV does not Granger Cause ABCF 363 2.96192 0.05299

ABCF does not Granger Cause GIOV 91.6441 7.3E-33**

CE does not Granger Cause ABCF 363 4.05552 0.01813*

ABCF does not Granger Cause CE 9.95838 6.2E-05**

TSEC does not Granger Cause ABCF 363 1.59070 0.20522

ABCF does not Granger Cause TSEC 0.13606 0.87284

O does not Granger Cause ABCF 363 0.68999 0.50225

ABCF does not Granger Cause O 5.66286 0.00379**

TOI does not Granger Cause ABCF 363 0.75589 0.47034

ABCF does not Granger Cause TOI 0.52839 0.59001

CE does not Granger Cause GIOV 363 6.34402 0.00196**

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TSEC does not Granger Cause GIOV 363 2.13665 0.11955

GIOV does not Granger Cause TSEC 1.22360 0.29540

O does not Granger Cause GIOV 363 6.74196 0.00134**

GIOV does not Granger Cause O 1.12942 0.32437

TOI does not Granger Cause GIOV 363 0.21601 0.80584

GIOV does not Granger Cause TOI 0.31395 0.73076

TSEC does not Granger Cause CE 363 2.46642 0.08633

CE does not Granger Cause TSEC 0.64234 0.52667

O does not Granger Cause CE 363 0.10991 0.89594

CE does not Granger Cause O 1.13246 0.32339

TOI does not Granger Cause CE 363 0.20561 0.81424

CE does not Granger Cause TOI 0.03565 0.96498

O does not Granger Cause TSEC 363 2.13079 0.12025

TSEC does not Granger Cause O 0.04087 0.95996

TOI does not Granger Cause TSEC 363 0.04346 0.95748

TSEC does not Granger Cause TOI 0.00045 0.99955

TOI does not Granger Cause O 370 0.00000 1.00000

O does not Granger Cause TOI 4.1E-14 1.00000

* indicates significance at the 5 percent level ** indicates significance at the 1 percent level

Bold variable: significant variable according to column 1 of table 5 and 6, with significant outcome of Pairwise Granger Causality Tests

Table 3. Correlation Summary

P ABCF GIOV CE TSEC O TOI

P 1.000000 0.495853 0.474605 0.613352 0.237069 -0.003390 0.000674 ABCF 0.495853 1.000000 0.693925 0.758649 0.198235 0.069629 0.211960 GIOV 0.474605 0.693925 1.000000 0.673285 0.183984 0.103287 0.095795 CE 0.613352 0.758649 0.673285 1.000000 0.225671 0.077303 0.103457 TSEC 0.237069 0.198235 0.183984 0.225671 1.000000 0.042409 0.014783 O -0.003390 0.069629 0.103287 0.077303 0.042409 1.000000 -0.000701 TOI 0.000674 0.211960 0.095795 0.103457 0.014783 -0.000701 1.000000

(a) Correlation matrix

C ABCF GIOV CE TSEC O TOI

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TSEC -0.046865 -2.29E-05 -1.14E-05 -6.16E-05 0.005134 -0.022633 0.006518 O -93.14429 0.001267 -0.005208 -0.001342 -0.022633 191.3820 0.687997 TOI -74.64791 -0.011991 0.001436 0.003253 0.006518 0.687997 30.83502

(b) Coefficient Covariance Matrix

C ABCF GIOV CE TSEC O TOI

C 105.7519 -0.002346 0.001259 -0.002231 -0.011808 -16.50909 -29.43877 ABCF -0.002346 1.13E-05 -2.43E-06 -3.87E-06 -1.13E-05 0.002779 -0.001051 GIOV 0.001259 -2.43E-06 2.36E-06 2.80E-07 -1.96E-06 -0.001293 0.000230 CE -0.002231 -3.87E-06 2.80E-07 9.11E-06 -1.70E-05 -0.001570 -5.72E-05 TSEC -0.011808 -1.13E-05 -1.96E-06 -1.70E-05 0.001665 -0.007144 0.001112 O -16.50909 0.002779 -0.001293 -0.001570 -0.007144 32.80648 -0.240401 TOI -29.43877 -0.001051 0.000230 -5.72E-05 0.001112 -0.240401 11.70145

(c) Coefficient Covariance Matrix with Period SUR

Table 4. Calculation for Table 7 in the paper:

Ownership-DOE

For domestic owned firms in type I industry, where O=1 and TOI =1

P =37.51+ (-2.18) x 1 + (12.39) x 1 + ACV + e = 47.72 + ACV

For domestic owned firms in type II industry, where O=1 and TOI =2

P =37.51+ (-2.18) x 1 + (12.39) x 2 + ACV + e = 60.11 + ACV

For domestic owned firms in type III industry, where O=1 and TOI =3

P =37.51+ (-2.18) x 1 + (12.39) x 3 + ACV + e = 72.5 + ACV

For domestic owned firms in type IV industry, where O=1 and TOI =4

P =37.51+ (-2.18) x 1 + (12.39) x 4 + ACV + e = 84.89 + ACV

Ownership-FOF

For foreign owned firms in type I industry, where O=0 and TOI =1

P =37.51+ (-2.18) x 0 + (12.39) x 1+ ACV + e = 49.9 + ACV

For foreign owned firms in type II industry, where O=0 and TOI =2

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For foreign owned firms in type III industry, where O=0 and TOI =3

P =37.51+ (-2.18) x 0 + (12.39) x 3+ ACV + e = 74.68 + ACV

For foreign owned firms in type IV industry, where O=0 and TOI =4

P =37.51+ (-2.18) x 0 + (12.39) x 4+ ACV + e = 87.07 + ACV

Figure 1. Residual Test Results Summary

1

0 40 80 120 160 200 240 280 -500 0 500 1000 1500 2000

Series: Standardized Residuals Sample 1999 2005 Observations 512 Mean -2.53e-14 Median -8.684489 Maximum 2298.833 Minimum -563.2900 Std. Dev. 154.6865 Skewness 8.462446 Kurtosis 112.1044 Jarque-Bera 260058.1 Probability 0.000000

(a)

1

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0 40 80 120 160 200 240 280 -400 -200 0 200 400 600

Series: Standardized Residuals Sample 2000 2005 Observations 437 Mean 7.32e-09 Median -5.116424 Maximum 746.8509 Minimum -481.9203 Std. Dev. 76.94415 Skewness 2.757077 Kurtosis 41.75522 Jarque-Bera 27901.96 Probability 0.000000

(b) with AR(1) included

0 40 80 120 160 200 240 -400 -200 0 200 400 600

Series: Standardized Residuals Sample 2001 2005 Observations 363 Mean -1.17e-10 Median -4.073003 Maximum 662.0365 Minimum -417.1684 Std. Dev. 73.49553 Skewness 1.413723 Kurtosis 30.78793 Jarque-Bera 11799.97 Probability 0.000000

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0 20 40 60 80 100 120 140 160 -375 -250 -125 0 125 250 375 500

Series: Standardized Residuals Sample 2002 2005 Observations 289 Mean 6.13e-10 Median -5.533483 Maximum 513.6903 Minimum -367.1180 Std. Dev. 69.71563 Skewness 1.619816 Kurtosis 20.56441 Jarque-Bera 3841.334 Probability 0.000000

(d) with AR(1), AR (2), AR(3) included

0 40 80 120 160 200 240 -4 -2 0 2 4 6 8

Series: Standardized Residuals Sample 1999 2005 Observations 512 Mean 0.053422 Median 0.017684 Maximum 8.303761 Minimum -4.285909 Std. Dev. 0.880342 Skewness 2.575779 Kurtosis 27.31770 Jarque-Bera 13181.63 Probability 0.000000

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Figure 2. Residual Test Results Summary

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(a)

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(b) with AR(1)

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