The dependence between international crude oil price and Vietnam stock market nonlinear cointegration test approach

MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS OF HO CHI MINH CITY HÀ THỊ NHƯ PHƯƠNG THE DEPENDENCE BETWEEN INTERNATIONAL CRUDE OIL PRICE AND VIETNAM STOCK MARKET NONLINEAR COINTEGRATION TEST APPROACH ECONOMIC MASTER THESIS Ho Chi Minh City -2015 MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS OF HO CHI MINH CITY HÀ THỊ NHƯ PHƯƠNG THE DEPENDENCE BETWEEN INTERNATIONAL CRUDE OIL PRICE AND VIETNAM STOCK MARKET NONLINEAR COINTEGRATION TEST APPROACH Major: FINANCE - BANKING Code: 60340201 ECONOMIC MASTER THESIS INTRUCTOR: Assoc Prof NGUYỄN THỊ NGỌC TRANG Ho Chi Minh City -2015 COMMITMENT I commit that the economic master thesis titling “the dependence between international crude oil price and Vietnam stock market: Nonlinear cointegration test approach” was made by myself with the direction of Associate Professor Nguyen Thi Ngoc Trang The study’s results are truthful and data was collected from the credible sources such as: Ho Chi Minh City stock exchange, Energy Information Administration, the State Bank of Vietnam and General Statistics Office of Vietnam Ho Chi Minh City, October 28th, 2015 Author HA THI NHU PHUONG TABLE OF CONTENT SUB TITLE PAGE COMMITMENT TABLE OF CONTENT LIST OF ABBREVIATIONS LIST OF TABLES LIST OF FIGURES Abstract 1 Introduction 2 Literature Review 2.1 Literature Review 2.1.1 The relationship between crude oil price and stock market 2.1.1.1 Negative effect from crude oil price to stock market 2.1.1.2 Positive effect from crude oil price to stock market 2.1.1.3 Insignificant nexus between oil price and stock market 11 2.1.1.4 The imperial evidences about the relationship between oil prices and Vietnam stock market 12 2.1.2 The relationship between stock market and exchange rate 13 2.2 Overview about Vietnam stock market, oil sector and exchange rate regime 17 2.2.1 Vietnam stock market 17 2.2.2 Oil section 19 2.2.3 Exchange regime 22 Data and research methodology 25 3.1 Data 25 3.2 Methodology 30 3.2.1 Gregory and Hansen Test - GH test 30 3.2.2 Toda-Yamamoto (TY) version of Granger non-causality test 32 3.2.3 Error Correction Model 34 Researching result 36 4.1 Descriptive statistics 36 4.2 Unit root test 41 4.3 Gregory and Hansen Test-GH test 45 4.4 TY procedure of Granger non–causality test 46 4.5 Error correction model 49 Conclusion 51 References Appendices LIST OF ABBREVIATIONS Abbreviation Discription bbl/d Barrels per day ECM Error correction model GCC Gulf Cooperation Council GDP Gross domestic product HNX Hanoi Stock Exchange HOSE Ho Chi Minh Stock Exchange IOCs International Oil Companies LNG Liquefied natural gas MSCI Middle Small Market Capitalization but Investable OPEC Organization of the Petroleum Exporting Countries The five permanent members of the United Nations Security P5+1 Council and Germany PVEP PetroVietnam Exploration and Production PVN PetroVietnam Group SBV State Bank of Vietnam SVAR Structural Vector Autoregressive Model Tcf Trillion cubic feet The US The United States TVTP Time-varying transition-probability VAR Vector Autoregressive Model VECM Vector Error Correction Models LIST OF TABLES Table 3.1 Variable descriptions and sources: 30 Table 4.1 Descriptive statistic of three variables, exchange rate, crude oil price and VN index for the entire sample 38 Table 4.2 Descriptive statistic of three variables, exchange rate, crude oil price and VN index for four phases 40 Table 4.3 Unit root test result for entire sample 43 Table 4.4 Unit root test result for four phases: 44 Table 4.5 Threshold cointegration results 45 Table 4.6 Critical values of GH test with significant level at 5% and regressors 45 Table 4.7 TY version of Granger non–causality tests 48 Table 4.8 Error correction model 49 LIST OF FIGURES Figure 1.1 Global crude oil and petroleum liquids consumption, supply and inventory in 2014 and 2015 (Source: Energy Information Administration) .2 Figure 1.2 Crude oil export revenues and productions from 2009 to 08 months of 2015 (source: General Statistics Office of Vietnam) .4 Figure 2.1 Vietnam Stock market capitalization to GDP (%) from 2004-2014 (Source Federal Reserve Economic Data) 18 Figure 2.2 Proportion of sectoral market capitalization in 2015 (source: HOSE website) 19 Figure 2.3 Average interbank exchange rates from 2006 to 2015 23 Figure 3.1 Graphical presentation of the series for first phase 26 Figure 3.2 Graphical presentation of the series for the second phase 27 Figure 3.3 Graphical representation of the third phase 28 Figure 3.4 Graphical representation of the fourth phase 29 Figure 3.5 Graphical representation of the entire sample 29 Abstract This paper investigates the relationship between crude oil prices and Vietnam stock prices by using the daily data in the period from 01/03/2006 to 08/31/2015 The data is divided into four phases, corresponding to two important events, the financial crisis in 2007 and the significant decline of crude prices from the third quarter of 2014 The research methods employed are the threshold cointegration test of Gregory and Hansen (1996), TY procedure for Granger non-causality proposed Toda- Yamamoto (1995) and Error correction model (Granger, 1987) The results show that there exists a long run relationship between crude oil prices and Vietnam stock market in the entire sample; however, there is no cointegration between these variables in all four phases There is evidence that crude oil prices unidirectionally affect stock prices in the entire sample and in the second and third phase; and the crude oil price variable is an exogenous one In the last phase attached with the decline of crude oil prices, no evidence in statistic shows that the oil prices Granger cause to stock prices It likely proves that volatilities of world crude oil prices can affect negatively or positively to profit outlooks of the listed companies on Vietnam stock market, and there is a balance between benefits and damages in this period ECM model indicates that oil prices and stock prices have a positive relationship in short term, and the speed of adjustment of stock price to return the equilibrium state after a shock is slow around 0.25% These findings also have an important policy implication that helps the government intercept the market to reduce the negative effect from the energy shocks in general and oil price shocks in particular Those are to pay more attention to domestic production and trade revenues to get more stable budget, research the alternative energy and enhance international cooperation in the energy sector Key words: Oil price, stock market, threshold cointergration Introduction The oil crude prices has fallen less than $50 per barrel, about 50% of August 2015 The main reason is the oil supply more than demand (see the figure 1) Growing oil inventories and supply typically put downward pressure on near-term prices The United States discovered and applied the new oil drill technology, called “shale oil revolution” This pushes the oil production is near 10 million barrels per day So that it can be offset the substantial oil supply disruption in the Organization of the Petroleum Exporting Countries (OPEC) However, the resumption of significant Libyan oil production, combined with the weakening outlook for global oil demand, the large economies in the word such as China, Russia, Europe area show not good performances about industrial production and expectation for economic growth Figure 1.1 Global crude oil and petroleum liquids consumption, supply and inventory in 2014 and 2015 (Source: Energy Information Administration) On July 14, the P5+1 (the five permanent members of the United Nations Security Council and Germany) and Iran announced an agreement that could result in relief from United States and European Union nuclear-related sanctions (which include some oil-related sanctions) If the agreement is implemented and sanctions relief occurs, it will put additional Iranian oil supplies on a global market that has already seen oil inventories raise significantly over the past year All things have put downward pressure on oil prices Vietnam is net exporter of crude oil, but is a net importer of oil products, the volatilities in crude oil prices or costs of raw materials should affect to revenue resource of state budget and economic growth Volatilities of world crude oil price can affect negatively or positively to profit outlooks of the listed companies on Vietnam stock market The companies have inputs from the oil waste products (such as PLV-Petrolimex Petrochemical Corporation, BMP - Binh Minh Plastic Joint Stock Company, ) and other companies have input coming directly from the petroleum sector (PVT- PetroVietnam Transportation Corporation, PVS PetroVietnam Technical Services Corporation, PVC - Drilling Mud Joint Stock Corporation, GAS - PetroVietnam Gas Corporation) are likely to be impacted negative by the decrease of oil price The figure 1.2 shows that revenues and productions from 2009 -2015 The crude oil prices have decreased since third quarter in 2014, strongly affecting to crude oil revenues in 2015 although the export productions is bigger than the same period We are the one of emerging country and its economy depends very large in export activities The decline of crude oil price will impact to budget revenues and deficit Energy, in particular crude oil has played an important role in our economy The purpose of this study is to investigate the relationship between crude oil price and Vietnam stock market In this paper, I will answer this question from several perspectives: (i) Does it exist a long-run relationship between crude oil prices, stock prices and exchanges rates in entire sample? (ii) Do the big world events such as the financial crisis in 2007 and the technology shock called “shale oil revolution” affect to the co-movement of the three? Method: Least Squares Date: 09/10/15 Time: 08:49 Sample (adjusted): 1/05/2010 6/30/2014 Included observations: 1076 after adjustments Variable Coefficient Std Error t-Statistic Prob LOIL(-1) C -0.006392 0.012983 0.003093 0.006218 -2.066818 2.087790 0.0390 0.0371 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.003962 0.003034 0.006590 0.046643 3878.100 4.271738 0.038991 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.000137 0.006600 -7.204646 -7.195388 -7.201140 1.983430 Null Hypothesis: D(LOIL) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=21) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -32.56518 -3.436216 -2.864018 -2.568141 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LOIL,2) Method: Least Squares Date: 09/10/15 Time: 08:49 Sample (adjusted): 1/06/2010 6/30/2014 Included observations: 1075 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LOIL(-1)) C -0.994551 0.000135 0.030540 0.000202 -32.56518 0.671576 0.0000 0.5020 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.497068 0.496600 0.006606 0.046826 3871.891 1060.491 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -6.87E-06 0.009311 -7.199798 -7.190533 -7.196289 1.998922 Null Hypothesis: LVNI has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=21) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -1.961627 -3.436221 -2.864021 -2.568142 0.3041 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LVNI) Method: Least Squares Date: 09/10/15 Time: 08:49 Sample (adjusted): 1/07/2010 6/30/2014 Included observations: 1074 after adjustments Variable Coefficient Std Error t-Statistic Prob LVNI(-1) D(LVNI(-1)) D(LVNI(-2)) C -0.006455 0.118114 0.081757 0.017238 0.003291 0.030469 0.030429 0.008777 -1.961627 3.876525 2.686850 1.964053 0.0501 0.0001 0.0073 0.0498 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.024966 0.022232 0.005492 0.032279 4067.563 9.132539 0.000006 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 3.17E-05 0.005555 -7.567156 -7.548612 -7.560132 1.999326 Null Hypothesis: D(LVNI) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=21) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values t-Statistic Prob.* -20.06360 -3.436221 -2.864021 -2.568142 0.0000 Augmented Dickey-Fuller Test Equation Dependent Variable: D(LVNI,2) Method: Least Squares Date: 09/10/15 Time: 08:50 Sample (adjusted): 1/07/2010 6/30/2014 Included observations: 1074 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LVNI(-1)) D(LVNI(-1),2) C -0.807642 -0.077485 2.44E-05 0.040254 0.030391 0.000168 -20.06360 -2.549595 0.145556 0.0000 0.0109 0.8843 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.441121 0.440077 0.005500 0.032395 4065.635 422.6678 0.000000 2.4.2 GH test THE GREGORY-HANSEN COINTEGRATION TEST MODEL 4: Regime Shift ADF Procedure t-stat Lag Break -5.597777 1.000000 2/08/2011 Phillips Procedure Za-stat Za-break Zt-stat Zt-break -52.31178 2/08/2011 -5.165793 2/08/2011 2.4.3 TY procedure VAR Lag Order Selection Criteria Endogenous variables: LVNI LEX LOIL Exogenous variables: C Date: 09/10/15 Time: 08:54 Sample: 1/04/2010 6/30/2014 Included observations: 1069 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -2.01E-06 0.007350 -7.565429 -7.551520 -7.560161 1.998626 Lag LogL LR FPE AIC SC HQ 6626.248 13455.55 13476.34 13481.94 13486.07 13488.07 13492.16 13511.37 13516.52 NA 13607.49 41.30917 11.09367 8.159618 3.941567 8.039486 37.62041* 10.06336 8.34e-10 2.40e-15 2.34e-15* 2.36e-15 2.38e-15 2.41e-15 2.43e-15 2.39e-15 2.40e-15 -12.39148 -25.15164 -25.17370* -25.16733 -25.15822 -25.14513 -25.13595 -25.15504 -25.14784 -12.37752 -25.09580* -25.07597 -25.02773 -24.97674 -24.92176 -24.87070 -24.84791 -24.79884 -12.38620 -25.13048 -25.13668* -25.11445 -25.08947 -25.06051 -25.03546 -25.03869 -25.01562 * indicates lag order selected by the criterion LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion VAR Residual Serial Correlation LM Tests Null Hypothesis: no serial correlation at lag order h Date: 09/10/15 Time: 08:57 Sample: 1/04/2010 6/30/2014 Included observations: 1075 Lags LM-Stat Prob 10 11 12 8.851468 10.27693 9.755643 2.425100 9.014334 37.52556 8.972572 48.24513 37.49211 8.323971 6.410950 11.56497 0.4511 0.3285 0.3706 0.9828 0.4360 0.0000 0.4398 0.0000 0.0000 0.5019 0.6982 0.2390 Probs from chi-square with df Date: 09/10/15 Time: 08:58 Sample (adjusted): 1/07/2010 6/30/2014 Included observations: 1074 after adjustments Trend assumption: Linear deterministic trend Series: LVNI LEX LOIL Lags interval (in first differences): to Unrestricted Cointegration Rank Test (Trace) Hypothesized No of CE(s) Eigenvalue Trace Statistic 0.05 Critical Value Prob.** None * At most At most 0.023240 0.005978 0.002360 34.23122 8.977178 2.537153 29.79707 15.49471 3.841466 0.0145 0.3675 0.1112 Trace test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized No of CE(s) Eigenvalue Max-Eigen Statistic 0.05 Critical Value Prob.** None * At most At most 0.023240 0.005978 0.002360 25.25405 6.440025 2.537153 21.13162 14.26460 3.841466 0.0124 0.5574 0.1112 Max-eigenvalue test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I): LVNI 8.817486 7.475714 16.87325 LEX -103.9460 -8.607350 40.80630 LOIL 35.73675 -10.40108 -4.102203 Unrestricted Adjustment Coefficients (alpha): D(LVNI) D(LEX) D(LOIL) -1.77E-05 0.000111 -0.000855 Cointegrating Equation(s): -0.000243 7.00E-05 0.000201 -0.000216 -3.29E-05 -0.000109 Log likelihood 13539.20 Normalized cointegrating coefficients (standard error in parentheses) LVNI LEX LOIL 1.000000 -11.78862 4.052941 (2.50154) (0.82266) Adjustment coefficients (standard error in parentheses) D(LVNI) -0.000156 (0.00147) D(LEX) 0.000983 (0.00036) D(LOIL) -0.007536 (0.00176) Cointegrating Equation(s): Log likelihood 13542.42 Normalized cointegrating coefficients (standard error in parentheses) LVNI LEX LOIL 1.000000 0.000000 -1.980602 (0.90786) 0.000000 1.000000 -0.511811 (0.08364) Adjustment coefficients (standard error in parentheses) D(LVNI) -0.001971 0.003926 (0.00192) (0.01735) D(LEX) 0.001506 -0.012189 (0.00047) (0.00428) D(LOIL) -0.006034 0.087112 (0.00231) (0.02082) VAR Granger Causality/Block Exogeneity Wald Tests Date: 09/10/15 Time: 08:59 Sample: 1/04/2010 6/30/2014 Included observations: 1074 Dependent variable: LVNI Excluded Chi-sq df Prob LEX LOIL 2.390207 17.96225 2 0.3027 0.0001 All 21.18317 0.0003 Dependent variable: LEX Excluded Chi-sq df Prob LVNI LOIL 1.414612 1.886627 2 0.4930 0.3893 All 3.433263 0.4881 Dependent variable: LOIL Excluded Chi-sq df Prob LVNI LEX 3.318136 3.428137 2 0.1903 0.4889 All 9.647911 0.0468 2.5 Phase IV (07/02/2014-08/31/2015) 2.5.1 Unit root test Null Hypothesis: LEX has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=15) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* 0.274390 0.9766 -3.453234 -2.871510 -2.572154 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LEX) Method: Least Squares Date: 09/10/15 Time: 09:10 Sample (adjusted): 7/02/2014 8/31/2015 Included observations: 284 after adjustments Variable Coefficient Std Error t-Statistic Prob LEX(-1) C 0.001863 -0.008025 0.006791 0.029413 0.274390 -0.272837 0.7840 0.7852 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.000267 -0.003278 0.000443 5.55E-05 1790.768 0.075290 0.783986 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 4.57E-05 0.000443 -12.59696 -12.57126 -12.58666 2.025663 Null Hypothesis: D(LEX) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=15) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -16.94363 -3.453317 -2.871546 -2.572174 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LEX,2) Method: Least Squares Date: 09/10/15 Time: 09:11 Sample (adjusted): 7/03/2014 8/31/2015 Included observations: 283 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LEX(-1)) C -1.010714 4.63E-05 0.059652 2.65E-05 -16.94363 1.744509 0.0000 0.0822 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.505357 0.503597 0.000444 5.55E-05 1783.947 287.0866 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.000000 0.000631 -12.59327 -12.56750 -12.58294 2.000232 Null Hypothesis: LOIL has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=15) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -1.431415 -3.453317 -2.871546 -2.572174 0.5669 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LOIL) Method: Least Squares Date: 09/10/15 Time: 09:12 Sample (adjusted): 7/03/2014 8/31/2015 Included observations: 283 after adjustments Variable Coefficient Std Error t-Statistic Prob LOIL(-1) D(LOIL(-1)) C -0.007040 0.216817 0.011955 0.004918 0.059677 0.009030 -1.431415 3.633169 1.324007 0.1534 0.0003 0.1866 R-squared 0.050992 Mean dependent var -0.001237 Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.044213 0.009906 0.027475 905.8902 7.522467 0.000657 S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.010132 -6.380850 -6.342205 -6.365354 1.985184 Null Hypothesis: D(LOIL) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=15) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -13.13081 -3.453317 -2.871546 -2.572174 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LOIL,2) Method: Least Squares Date: 10/31/15 Time: 12:15 Sample (adjusted): 7/03/2014 8/31/2015 Included observations: 283 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LOIL(-1)) C -0.784909 -0.000942 0.059776 0.000596 -13.13081 -1.581225 0.0000 0.1150 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.380263 0.378058 0.009924 0.027676 904.8585 172.4181 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.000136 0.012584 -6.380626 -6.354863 -6.370296 1.980705 Null Hypothesis: LVNI has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=15) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.241781 0.1921 Test critical values: -3.453317 -2.871546 1% level 5% level 10% level -2.572174 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LVNI) Method: Least Squares Date: 09/10/15 Time: 09:12 Sample (adjusted): 7/03/2014 8/31/2015 Included observations: 283 after adjustments Variable Coefficient Std Error t-Statistic Prob LVNI(-1) D(LVNI(-1)) C -0.032259 0.127165 0.089244 0.014390 0.059409 0.039826 -2.241781 2.140493 2.240832 0.0258 0.0332 0.0258 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.029659 0.022728 0.004861 0.006616 1107.357 4.279243 0.014770 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -3.76E-05 0.004917 -7.804642 -7.765998 -7.789147 2.012549 Null Hypothesis: D(LVNI) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=15) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -14.97411 -3.453317 -2.871546 -2.572174 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LVNI,2) Method: Least Squares Date: 09/10/15 Time: 09:13 Sample (adjusted): 7/03/2014 8/31/2015 Included observations: 283 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LVNI(-1)) C -0.889178 -3.54E-05 0.059381 0.000291 -14.97411 -0.121794 0.0000 0.9031 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.443811 0.441832 0.004896 0.006735 1104.840 224.2239 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -1.83E-05 0.006553 -7.793920 -7.768157 -7.783590 2.006458 Null Hypothesis: D(LOIL) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=15) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -13.13081 -3.453317 -2.871546 -2.572174 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LOIL,2) Method: Least Squares Date: 09/10/15 Time: 09:12 Sample (adjusted): 7/03/2014 8/31/2015 Included observations: 283 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LOIL(-1)) C -0.784909 -0.000942 0.059776 0.000596 -13.13081 -1.581225 0.0000 0.1150 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 2.5.2 GH test THE GREGORY-HANSEN COINTEGRATION TEST MODEL 4: Regime Shift ADF Procedure 0.380263 0.378058 0.009924 0.027676 904.8585 172.4181 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.000136 0.012584 -6.380626 -6.354863 -6.370296 1.980705 t-stat Lag Break -4.229776 1.000000 6/24/2015 Phillips Procedure Za-stat Za-break Zt-stat Zt-break 2.5.3 -31.04772 6/24/2015 -4.120625 6/24/2015 TY procedure VAR Lag Order Selection Criteria Endogenous variables: LVNI LEX LOIL Exogenous variables: C Date: 11/02/15 Time: 15:29 Sample: 7/01/2014 8/31/2015 Included observations: 277 Lag LogL LR FPE AIC SC HQ 2177.955 3709.005 3725.778 3729.735 3737.873 3741.361 3744.438 3755.330 3760.750 NA 3017.884 32.69767 7.628383 15.51168 6.573231 5.731790 20.05430* 9.861610 3.04e-11 5.13e-16 4.85e-16* 5.03e-16 5.06e-16 5.27e-16 5.50e-16 5.42e-16 5.57e-16 -15.70364 -26.69318 -26.74930* -26.71289 -26.70666 -26.66687 -26.62410 -26.63776 -26.61191 -15.66439 -26.53618* -26.47456 -26.32040 -26.19642 -26.03888 -25.87836 -25.77428 -25.63068 -15.68789 -26.63019 -26.63906* -26.55541 -26.50194 -26.41489 -26.32488 -26.29130 -26.21821 * indicates lag order selected by the criterion LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion VAR Residual Serial Correlation LM Tests Null Hypothesis: no serial correlation at lag order h Date: 11/02/15 Time: 15:30 Sample: 7/01/2014 8/31/2015 Included observations: 283 Lags LM-Stat Prob 7.687029 7.906980 15.68298 0.5660 0.5435 0.0738 10 11 12 8.127939 3.794633 19.81070 11.94941 2.415032 9.586720 4.445576 4.989497 12.99070 0.5213 0.9244 0.0191 0.2162 0.9831 0.3850 0.8797 0.8352 0.1630 Probs from chi-square with df VAR Granger Causality/Block Exogeneity Wald Tests Date: 11/02/15 Time: 15:31 Sample: 7/01/2014 8/31/2015 Included observations: 282 Dependent variable: LVNI Excluded Chi-sq df Prob LEX LOIL 0.675870 2.068489 2 0.7132 0.3555 All 2.979409 0.5613 Dependent variable: LEX Excluded Chi-sq df Prob LVNI LOIL 1.053402 10.96703 2 0.5905 0.0042 All 12.30868 0.0152 Dependent variable: LOIL Excluded Chi-sq df Prob LVNI LEX 4.675447 2.455596 2 0.0965 0.2929 All 7.359320 0.1181 Error Correct Model 3.1 OLS Model for variables at level Dependent Variable: LVNI Method: Least Squares Date: 10/25/15 Time: 22:53 Sample: 1/03/2006 8/31/2015 Included observations: 2328 Variable Coefficient Std Error t-Statistic Prob C LEX LOIL 5.416553 -0.655068 0.048773 0.222490 0.055715 0.022553 24.34517 -11.75749 2.162592 0.0000 0.0000 0.0307 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.060301 0.059492 0.125050 36.35709 1538.224 74.59763 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 2.712226 0.128944 -1.318921 -1.311508 -1.316220 0.003482 3.2 Unit root test for residual of model 3.1 Null Hypothesis: U has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=26) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation -2.105995 -3.432966 -2.862582 -2.567370 Prob.* 0.0353 Dependent Variable: D(U) Method: Least Squares Date: 10/25/15 Time: 22:51 Sample (adjusted): 1/05/2006 8/31/2015 Included observations: 2326 after adjustments Variable Coefficient Std Error t-Statistic Prob U(-1) D(U(-1)) C -0.002800 0.216028 0.000122 0.001195 0.020243 0.000149 -2.342112 10.67148 0.817874 0.0193 0.0000 0.4135 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.048586 0.047767 0.007199 0.120400 8177.014 59.31479 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.000156 0.007378 -7.028387 -7.020968 -7.025684 1.994640 3.3 Error Correct Model Dependent Variable: D(LVNI) Method: Least Squares Date: 10/25/15 Time: 23:36 Sample (adjusted): 1/04/2006 8/31/2015 Included observations: 2327 after adjustments Variable Coefficient Std Error t-Statistic Prob C D(LEX) D(LOIL) U(-1) 0.000118 -0.009145 0.071925 -0.002491 0.000151 0.096039 0.016260 0.001211 0.780812 -0.095217 4.423507 -2.056486 0.4350 0.9242 0.0000 0.0398 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.010089 0.008811 0.007301 0.123812 8148.512 7.891836 0.000031 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.000115 0.007333 -7.000010 -6.990122 -6.996407 1.556138 ... 2.1.1 The relationship between crude oil price and stock market 2.1.1.1 Negative effect from crude oil price to stock market 2.1.1.2 Positive effect from crude oil price to stock market. .. nexus between oil price and stock market 11 2.1.1.4 The imperial evidences about the relationship between oil prices and Vietnam stock market 12 2.1.2 The relationship between stock. .. between crude oil price and stock market 2.1.1.1 Negative effect from crude oil price to stock market Chen 2010 investigates whether the high oil price can lead the stock market into the bear territory