Luận văn thạc sĩ UEH mối quan hệ giữa các nhân tố kinh tế vĩ mô và thị trường chứng khoán việt nam

Tp - N 2011 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Tp - Ngân hàng : 60.31.12 PGS.TS LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com ghi có , nhà tr TP , ngày tháng 11 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Quý t ôi xin i cho tôi, o h TCDN K17 , LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Trang : 1.1 n -Index 1.2 TTCK 10 10 12 1.2.6 ên TTCK 13 1.2.7 TTCK 13 nhân mô TTCK 15 15 17 19 23 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com : 24 2.1 24 25 26 27 28 28 29 -Index 29 -Index 31 -Index 33 2.2.2.4 -Index 34 2.2.2.5 -Index 36 -Index 37 -Index 38 2.2.2.7 41 : 43 43 44 44 phát 44 44 45 45 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 46 46 47 47 3.2.2 Mơ hình 47 47 48 48 48 50 n 56 67 69 69 73 75 : 77 77 79 83 84 86 90 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com APT : Arbitrage Pricing Theory ADF : Augmented Dickey-Fuller CAPM : Capital Asset Pricing Model GIRFs : Generations Impulse Response Functions - NHNN NHTM OLS : Ordinary least squares PP : Phillips-Perron Phillips-Perron TCTD TTCK :T VAR : Vector Autoregressive model VN-Index VECM :Vector Error Correction Model LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com D 24 43 49 51 57 58 67 -Index 73 25 26 27 -Index 30 -Index 32 -Index 33 -Index 35 -Index 36 -Index 38 10 -Index 39 - 71 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 1 lia; LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 115 40,3% (79 doanh sàn, Vietcomban khác - ra, l - LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 116 - -Index - VN- - quý - -Index Vì LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 117 : OLS) (Granger Newbold, 1974) (Augmented Dickey-Fuller) PP (Phillipssai phân d t q Yt = Yt-1 + i Yt-i + ut (1) i q Yt = + Yt-1 + i Yt-i + ut (2) i q Yt = + T + Yt-1 + i Yt-i + ut (3) i H0: H1 : - LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 118 Sosvilla-Rivero (1 (Movement Average - t Trong phâ t t t t t t Xt Xt có t t, (b) Xt nguyên t LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 119 t Xt n Yt = + m iYt i + i n Xt = + j Y j t j + uxt (5) j Tro yt uxt t t có Yt (4) m i Xt i + i X t j + uyt j t t Xt Xt Yt LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 120 uyt uxt cho ta bi - VECM) C - LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 121 p t, Xt, Wt t Zt = A1Zt-1 + A2Zt-2 Zt = t Xt Zt-1 + kZt-k Zt-2 h = [Yt, Xt, Wt + ut k-1 (6) Zt-k-1 + Zt-1 + ut (7) = t-1 t-1 1Xt-1 - - t-1 - Yt Yt Xt Xt Wt 11 Wt Yt 12 21 11 21 31 12 22 32 22 31 32 Xt Wt (8) et Yt Yt 1Zt-1 1Zt-1 = = ([ 11 11 11( 11Yt-1 11 + + 12 12] 21Yt-1Xt-1 [ + 11 21 + 31Wt-1) 12 22] + [ 11 31 12( 12Yt-1 + + 12 32]) 22Yt-1Xt-1 Xt Wt + 32Wt-1) (9) (10) 12 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 122 r 11, 21 = 21, 31) 31 Xt Wt 21 = 31 Xt Wt Zt = Zt-1 + Zt-2 k-1 Zt-k-1 + ( Zt-1 t) + + 2t + ut (11) tiên Mơ hình 1: VAR ( = = = = 0) LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 123 Mơ hình 2: VAR ( = = 2= 0) Mơ hình 3: 1= 2=0) Mơ hình 4: VAR ( = 0) Mơ hình 5: VAR có (r + 1) vector - eigenvalues) - max (r r 1) T ln(1 r ) > > n i (12) max) LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 124 i n Trace ( r ) ln(1 T (13) ) r i r Yt = a0 + a1Yt-1 + 0Xt + 1Xt-1 + ut iid(0, t (14) ) t thái cân t Yt * X t* (15) X t* = Xt = Xt-1 Yt * = a0 + a1 Yt * + Yt * (1 a1) = a0 + ( sau (16) t-p X t* + X t* + ut + 1) X t* + ut LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 125 Yt* Yt * a0 a1 0 1 a1 X t* X t* ut (17) ut a1 =( + 1)/(1 Yt = Xt (1 Yt = Xt a1)[Yt-1 [Yt-1 1Xt-1] 1Xt-1] + ut + ut t-1 (18) (19) 1Xt-1 Yt Xt chúng (Yt-1 1Xt-1 = (1 (Yt-1 a1 1Xt-1 t), t-1 Yt 1Xt-1 t-1 = (1 Yt = (1 a1 t a1) LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 126 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 127 : 7.5 5.4 7.0 5.2 6.5 5.0 6.0 4.8 5.5 4.6 5.0 4.4 3.2 2.8 2.4 2.0 4.5 1.6 4.2 01 02 03 04 05 06 07 08 09 10 1.2 01 02 03 04 05 06 07 08 09 10 Chi so thi truong chung khoan 01 02 03 04 05 06 07 08 09 10 Chi so gia tieu dung Lai suat tien gui 10.0 10.5 11.5 9.9 10.0 11.0 9.8 9.5 10.5 9.7 9.0 10.0 9.6 8.5 9.5 9.5 8.0 01 02 03 04 05 06 07 08 09 10 9.0 01 02 03 04 05 06 07 08 09 10 Ti gia hoi doai 01 02 03 04 05 06 07 08 09 10 Du tru ngoai hoi 3.2 14.8 3.0 14.4 San luong cong nghiep 5.0 4.5 14.0 2.8 13.6 4.0 13.2 3.5 2.6 2.4 12.8 2.2 3.0 12.4 2.0 12.0 01 02 03 04 05 06 07 08 09 10 Lai suat cho v ay 2.5 01 02 03 04 05 06 07 08 09 10 Cung tien mo rong M2 01 02 03 04 05 06 07 08 09 10 Gia dau the gioi LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 128 TRONG -Bera Component VNI CPI DR EF EX IP LR M2 OP Joint Jarque-Bera 24.65077 13.99351 2.521321 62.77827 6.901672 21.67422 2.197000 24.28577 33.95526 192.9578 df 2 2 2 2 18 Prob 0.0000 0.0009 0.2835 0.0000 0.0317 0.0000 0.3334 0.0000 0.0000 0.0000 -Box Lags Q-Stat Prob Adj Q-Stat Prob Df 10 11 12 22.43966 63.56441 109.7592 146.7297 181.9953 267.0973 332.7592 387.8748 467.4661 551.5643 638.8937 718.7068 NA* NA* NA* NA* NA* NA* 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 22.62359 64.42809 111.7778 149.9910 186.7508 276.2171 345.8413 404.7911 490.6658 582.2064 678.1127 766.5544 NA* NA* NA* NA* NA* NA* 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 NA* NA* NA* NA* NA* NA* 81 162 243 324 405 486 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 129 : B Trace 12 11 10 max 9 9 7 6 9 5 4 -42.98348 -38.98741 -36.71070 -35.83762 -35.42960 -35.32342 -35.01149 -34.98633 -34.96105 -34.94169 -33.89268 -32.04823 -31.82150 -31.86398 -31.89163 -31.86763 -31.78465 -31.84309 -31.82752 -31.84038 -31.82062 -31.88734 6: Mơ hình Mơ hình Mơ hình r n-r 392.2652 208.4374 359.3144 197.3709 436.1558 228.2979 286.3728 169.5991 254.8659 159.5297 325.5658 187.4701 200.4658 134.6780 182.2366 125.6154 234.3994 150.5585 142.8562 103.8473 128.0418 95.75366 170.0141 117.7082 96.10932 76.97277 81.63575 69.81889 120.1907 88.80380 61.89860 54.07904 48.77895 47.85613 78.51001 63.87610 37.25481 35.19275 25.65302* 29.79707 47.54064 42.91525 20.70127 20.26184 12.56661 15.49471 24.58302 25.87211 7.833525 9.164546 0.048407 3.841466 11.49694 12.51798 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com ... luanvanchat@agmail.com 14 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 15 - nhân mô TTCK nhân APT) (Ross, pricing model nhân TTCK LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 16 Bodie... Model GARCH- khoán Thái Lan LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 23 /và hi xét Ngoài ra, khác , , LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 24 VÀ NHÂN TTCK ... 10 10 12 1.2.6 ên TTCK 13 1.2.7 TTCK 13 nhân mô TTCK 15 15 17 19 23 LUAN VAN CHAT LUONG download : add