(Luận văn) the impacts of capital flows on vietnam stock market

INSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDS ie gh tn to UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAM p VIETNAM- NETHERLANDS PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS n w ad lo ju y th yi pl n ua al THE IMPACTS OF CAPITAL FLOWS ON n va VIETNAM STOCK MARKET ll fu oi m at nh BY z z TRAN TUYET HANH h vb tj k m om l.c gm MASTER OF ARTS IN DEVELOPMENT ECONOMICS an Lu n va re HO CHI MINH CITY, NOVEMBER 2012 tn to UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAM INSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDS i gh ep VIETNAM- NETHERLANDS PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS w n a lo d ju y th yi pl n ua al THE IMPACTS OF CAPITAL FLOWS ON n va VIETNAM STOCK MARKET fu ll m oi A thesis submitted in partial fulfilment of the requirements for the degree of at nh MASTER OF ARTS IN DEVELOPMENT ECONOMICS z z om l.c gm TRAN TUYET HANH k jm ht vb By n va DR NGUYEN HOANG VU an Lu Academic Supervisor: re HO CHI MINH CITY, NOVEMBER 2012 DECLARATION t to hi ng ep I hereby certify that the substance of the thesis has not already been submitted for any degree and is not being currently submitted for any other degree w n I also certify that, to the best of my knowledge, and help received in preparing the lo ad thesis and all sources used have been acknowledged in the thesis i uy yj th Signature pl n ua al TRAN TUYET HANH n va Date: t n oi m ll fu z z ht vb k jm om l.c gm Lu an n va re ACKNOWLEDGMENTS tn to I would like to express my gratitude to all those who gave me the possibility to complete i gh i ep this thesis I am deeply grateful to my supervisor Dr Nguyen Hoang Vu from Department of w n Mathematic and Statistics, Dr Nguyen Trong Hoai-Vice President, Dr Pham Khanh Nam a lo from Department of Development Economics , University of Economics Ho Chi Minh d City whose support, stimulating suggestions and encouragement helped me in all the time y th ju of research for writing this thesis yi I am also very grateful to all lecturers of the Vietnam-Netherlands Programme for giving pl me knowledge and guidance to fulfill the M.A Programme al n ua I would like to thank all the members of the Vietnam-Netherlands Program, especially, n completion of the thesis va VNP Library for helping me to have necessary documents and research papers during my fu ll Finally, I am indebted to my parents whose love, sympathy and encouragement enabled me I am also thankful to my classmates for their warm oi at nh encouragement m to complete this thesis z z k jm ht vb om l.c gm an Lu n va re tn to ACRONYMS AND ABBREVIATIONS i gh Foreign Portfolio Investment Foreign Direct Investment w ep FDI n FPI a lo FII Foreign Indirect Investment d pl Hochiminhcity Stock Exchange ua al Hanoi Stock Exchange n HNX Vietnam Stock Market yi HOSE World Trade Organization ju VSM y th WTO va Price-earning VN-Index Vietnam Index IPO Initial Public Offering OTC Over The Counter Market LDCs Less Developed Countries liP Index of Industrial Production VAR Vector Auto regression ADF Augmented Dickey Fuller pp Phillips Peron ECM Error Correction Model SBV State Bank of Vietnam sse State Securities Commission of Vietnam CPI Consumer Price Index n PIE fu ll oi m at nh z z k jm ht vb om l.c gm an Lu n va re (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market ABSTRACT tn to This thesis investigates the impacts of FPI flows on Vietnam stock market (VSM) i gh ep In other words, we aim to examine whether a long-run or short-run impact of FPI flows on VSM exists or not And, if any, how long does it take for changes to be w fully effective? We use the mol!thly time series data of VN-Index and FPI flows n a lo from July 2000 to June 2012 to analysis In order to calculate the growth rate of d y th VN-Index, we take logarithm ofVN-Index series and denote it as Delta-VN Then, ju we adopt various techniques on time series regression such as unit root test using yi both Augmented Dickey Fuller (ADF) test and Phillips Peron (PP) test for pl ua al stationary, co-integration test using Engle &Granger approach and Johansen approach for examining the existence of a long-run relationship between two n n va variables, Granger Causality test for checking the existence and direction of fu causality relationship between them, error correction models for investigating the ll oi m existence of short-term relationship Moreover, we also apply Serial Correlation LM nh test, Heteroskedasticity ARCH test, Histogram Normality test to check the at appropriateness of the estimated model The research findings show that there is an z z unilateral effect from FPI flows on Vietnam stock returns The thesis also illustrates vb jm ht an existence of a long-run impact between them when an increase in FPI flows can lead to 86% of increase in Vietnam equity returns On the other hand, there is also a k gm short-run impact from FPI on VSM which would be decreasing gradually since the om l.c third month an Lu n va re (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market TABLE OF CONTENTS tn to CHAPTER INTRODUCTION ! i gh 1.1 Problem statement ep 1.2 Research objectives w 1.3 Research questions n a lo 1.4 Research scope d y th 1.5 Structure of the thesis ju yi CHAPTER LITERATURE REVIEW pl ua al 2.1 The role ofFPI on economic development n 2.2 The role of Vietnam Stock Market va n 2.3 Theoretical framework fu ll 2.3.1Foreign Portfolio Investment and stock market m oi 2.3.2 Conceptual framework 11 nh 2.4 Empirical studies 13 at z 2.5 Suggested research model 15 z 2.6 Chapter remark 16 jm ht vb CHAPTER3 RESEARCH METHODOLOGY&DATA COLLECTION 17 k Econometric techniques 17 gm om l.c 1.1 Stationary and unit root tests 17 1.2 Co integration 18 Lu an 1.3 Granger Causality tests 18 n va 3.1.4Error correction mechanism 19 3.2 Data collection 20 3 Data analysis 22 3.3.1 Dependent variable: Delta-VN 22 (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market re • (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market 3.3.2 Independent variable: FPI 23 gh tn to 3.3.3 Interaction between FPI flows and VN-Index 23 13.3 Chapter remark 33 ie p CHAPTER EMPIRICAL ANALYSIS 35 w n 4.1 Structural Break Point test 35 ad lo 4.2 Unit root test 35 th yj 4.3 Co-integration test 36 uy 4.4 Granger Causality test 38 ip la 4.5 Error Correction Model 39 an lu 4.6 Chapter remark 38 n va CHAPTER CONCLUSION AND POLICY RECOMMENDATIONS 43 fu 5.1 Main findings oi m ll 5.2 Policy recommendation 44 nh 5.3 Research limitation and suggestion for further study .45 at z z REFERENCES 46 vb DESCRIPTIVE STATISTIC 49 k jm ht APPENDIX A gm l.c om an Lu n va r (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market LIST OF GRAPHS t to ng Graph 3.3-1: Delta-VN=log(VN-IndexJVN-Index(-1)) 22 I ep hi Graph 3.3-2: Foreign portfolio investment flows (FPI) to Vietnam from July 2000 to June 2012 23 w Graph 3.3-3: FPI&VN-Index from July 2000 to June 2012 24 n lo ad LIST OF TABLES y th Table 4.1-1: Summary of structural breakpoint test 35 ju yi 'fable 4.2-1: Summary of unit root test results 36 pl n ua al Table 4.3-1: Summary of unit root test results for residuals using ADF&PP test: Engle &Granger test 36 va n Table 4.3-2: Summary of Johansen cointegration tes~··················································· 37 fu oi m ll Table 4.3-3: Summary of Trace Statistic value 38 Table 4.4-1: Summary of Granger Causality test 38 at nh Table 4.5-1: Summary of testing Vector Error Correction Model 39 z z Table 4.5-2: Summary of the tests for approriateness of the estimated model 41 tj h vb k m l gm m co n a Lu n va r (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market LIST OF FIGURES t to ng Figure A-1: Structural Breakpoint Test for Delta-VN variable 49 I ep hi figure A-2: Structural Breakpoint Test for fPI variable 49 figure A-3: Unit root test for Delta-VN variable 50 w n figure A-4: Unit root test for FPI variable 52 lo ad figure A-5: Cointegration test (Engle &Granger method) for residuals from the y th linear regression for two variables 54 yi ju figure A-6: Results of the Johansen Cointegration test for model2 55 pl n ua al figure A-7: Results of the Johansen Cointegration test for model3 57 n va Figure A-8: Results of the Johansen Cointegration test for model4 58 m ll fu Figure A-9: Results of the Granger Causality test 59 figure A-1 0: Results of the Vector Error Correction Model 60 oi at nh Figure A-ll: Results of the Wald test 61 z Figure A-12: Results of the Serial Correlation test 61 z h vb Figure A-13: Results of the Heteroscedastiscity test 63 tj k m Figure A-14: Results of the Histogram Normality test 64 l gm m co a Lu n • n va r (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market 8.928820 Ave Wald F-statistic 0.0000 tn to Note: probabilities calculated using Hansen's (1997) method p ie gh UNIT ROOT TEST Figure A-3: Unit root test for Delta- VN variable w Null Hypothesis: DELTA_VN has a unit root Exogenous: None Lag Length: (Automatic based on AIC, MAXLAG=13) n d a lo u yj th Prob.* -7.747132 -2.581349 -1.943090 -1.615220 0.0000 la p yi Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic n a lu *MacKinnon (1996) one-sided p-values va n Augmented Dickey-Fuller Test Equation Dependent Variable: D(DEL TA_VN) Method: Least Squares Date: 10/20/12 Time: 10:53 Sample (adjusted): 2000M09 2012M06 Included observations: 142 after adjustments ll fu oi m Variable Coefficient Std Error nh Pro b DELTA_VN(-1) -0.593158 0.076565 -7.747132 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.298528 0.298528 0.107294 1.623183 115.9828 1.889808 t-Statistic at z z -0.000998 0.128106 -1.619476 -1.598661 -1.611018 k jm ht vb Mean dependent var S.D.dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter gm l.c *MacKinnon (1996) one-sided p-values (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market 50 re 0.0000 n -7.442385 -2.582334 -1.943229 -1.615134 va Prob.* an t-Statistic Lu Augmented Dickey-Fuller test statistic 1% level Test critical values: 5% level 10% level om Null Hypothesis: D(DELTA_VN) has a unit root Exogenous: None Lag Length: (Automatic based on AIC, MAXLAG=13) (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market to Augmented Dickey-Fuller Test Equation Dependent Variable: D(DELTA_VN,2) Method: Least Squares Date: 10/20/12 Time: 10:59 Sample (adjusted): 2001 M05 2012M06 Included observations: 134 after adjustments ; p ie gh tn Coefficient Std Error t-Statistic Pro b D(DELTA_VN(-1)) D(DEL TA_VN(-1),2) D(DELTA_VN(-2),2) D(DELTA_VN(-3),2) D(DELTA_VN(-4),2) D(DELTA_VN(-5),2) D(DELTA_VN(-6),2) D(DELTA_VN(-7),2) -3.848659 2.414885 1.930241 1.352062 1.051082 0.759331 0.429470 0.258027 0.517127 0.478969 0.427741 0.369693 0.297798 0.217848 0.150066 0.086796 -7.442385 5.041843 4.512634 3.657254 3.529520 3.485605 2.861869 2.972804 0.0000 0.0000 0.0000 0.0004 0.0006 0.0007 0.0049 0.0035 w Variable n d a lo p yi u yj th 0.718563 0.702928 0.110303 1.533000 109.3933 2.013382 n a lu la Mean dependent var S.D.dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter -0.000211 0.202374 -1.513333 -1.340328 -1.443030 n va R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat ll fu oi m Null Hypothesis: DELTA_VN has a unit root Exogenous: None Bandwidth: (Newey-West using Bartlett kernel) nh Adj t-Stat Prob.* at 0.0000 z j ht vb -7.547058 -2.581349 -1.943090 -1.615220 Phillips-Perron test statistic 1% level Test critical values: 5% level 10% level z k m *MacKinnon (1996) one-sided p-values 0.011431 0.009916 gm Residual variance (no correction) HAC corrected variance (Bartlett kernel) om l.c an Lu Phillips-Perron Test Equation Dependent Variable: D(DEL TA_VN) Method: Least Squares Date: 10/23/12 Time: 22:08 Sample (adjusted): 2000M09 2012M06 Included observations: 142 after adjustments n va re Variable Coefficient Std Error t-Statistic Prob DELTA_VN(-1) -0.593158 0.076565 -7.747132 0.0000 R-squared 0.298528 Mean dependent var -0.000998 (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market 51 (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market I p ie gh tn to • 0.128106 -1.619476 -1.598661 -1.611018 S.D dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.298528 0.107294 1.623183 115.9828 1.889808 Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat w n d a lo Figure A-4: Unit root test for FPI variable u yj th a lu la p yi Null Hypothesis: FPI has a unit root Exogenous: None Lag Length: 11 (Automatic based on AIC, MAXLAG=13) n Augmented Dickey-Fuller test statistic 1% level Test critical values: 5% level 10% level Prob.* -2.424328 -2.582599 -1.943266 -1.615111 0.0154 n va t-Statistic fu *MacKinnon (1996) one-sided p-values ll oi m at nh Augmented Dickey-Fuller Test Equation Dependent Variable: D(FPI) Method: Least Squares Date: 10/20/12 Time: 10:56 Sample (adjusted): 2001 M07 2012M06 Included observations: 132 after adjustments z z 52 re (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market n -5.359318 897.8438 16.09851 16.36058 16.20500 va Mean dependent var S.D.dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter an 0.401647 0.346798 725.6456 63187389 -1050.502 1.976654 Lu R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.0168 0.0115 0.0014 0.0340 0.7595 0.4113 0.4438 0.5945 0.1027 0.1628 0.0560 0.0001 om -2.424328 -2.567042 -3.271659 -2.144462 -0.306894 -0.824474 0.768321 -0.533812 1.644580 1.404311 1.929707 4.055913 l.c 0.090261 0.115002 0.118246 0.123793 0.126186 0.126672 0.126775 0.124123 0.122472 0.115021 0.104224 0.095011 -0.218822 -0.295215 -0.386860 -0.265469 -0.038726 -0.104438 0.097404 -0.066258 0.201415 0.161526 0.201123 0.385354 gm FPI(-1) D(FPI(-1)) D(FPI(-2)) D(FPI(-3)) D(FPI(-4)) D(FPI(-5)) D(FPI(-6)) D(FPI(-7)) D(FPI(-8)) D(FPI(-9)) D(FPI(-10)) D(FPI(-11)) Prob k t-Statistic m Std Error j ht Coefficient vb Variable (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market Null Hypothesis: D(FPI) has a unit root Exogenous: None Lag Length: 10 (Automatic based on AIC, MAXLAG=13) tn to • ie gh Prob.* -3.160326 -2.582599 -1.943266 -1.615111 0.0018 p t-Statistic Augmented Dicke~-Fuller test statistic 1% level Test critical values: 5% level 10% level w n lo ad *MacKinnon (1996) one-sided p-values th yj i uy Augmented Dickey-Fuller Test Equation Dependent Variable: D(FPI,2) Method: Least Squares Date: 10/20/12 Time: 10:58 Sample (adjusted): 2001 M07 2012M06 Included observations: 132 after adjustments pl n ua al 0.0020 0.2325 0.6621 0.8407 0.5879 0.2806 0.1914 0.0359 0.0189 0.0034 0.0004 ht vb -6.313788 1423.121 16.13117 16.37141 16.22879 k jm om l.c gm Mean dependent var S.D.dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter z 0.750172 0.729525 740.1261 66282183 -1053.657 1.948253 -3.160326 1.199991 0.438054 -0.201417 -0.543385 -1.083849 -1.313836 -2.122205 -2.380478 -2.991706 -3.651836 z at nh R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.737354 0.707379 0.664724 0.611144 0.546552 0.482092 0.408211 0.331670 0.247459 0.166924 0.095732 Pro b oi -2.330280 0.848848 0.291185 -0.123095 -0.296988 -0.522515 -0.536323 -0.703872 -0.589072 -0.499387 -0.349596 t-Statistic m ll D(FPI(-1)) D(FPI(-1 },2) D(FPI(-2},2) D(FPI(-3},2) D(FPI(-4),2} D(FPI(-5),2) D(FPI(-6),2) D(FPI(-7),2) D(FPI(-8),2} D(FPI(-9),2} D(FPI(-10},2) Std Error fu Coefficient n va • Variable an Lu Null Hypothesis: FPI has a unit root Exogenous: None Bandwidth: (Newey-West using Bartlett kernel) -6.257924 -2.581233 -1.943074 -1.615231 0.0000 n Prob.* va Adj t-Stat *MacKinnon (1996) one-sided p-values (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market 53 r Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market t to 593694.0 717377.4 Residual variance (no correction) HAC corrected variance (Bartlett kernel) ng ep hi Phillips-Perron Test Equation Dependent Variable: D(FPI) Method: Least Squares Date: 10/23/12 Time: 22:08 Sample (adjusted): 2000M08 2012M06 Included observations: 143 after adjustments w n lo ad th Variable yj Std Error t-Statistic Prob -0.394015 0.066950 -5.885197 0.0000 0.196058 0.196058 773.2237 84898244 -1153.438 2.088824 ip n a lu la Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter -4.918392 862.3686 16.14598 16.16670 16.15440 n va R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat uy FPI(-1) Coefficient oi m ll fu COINTEGRATION TEST nh at Figure A-5: Co- integration test (Engle & Granger method) for residuals from the linear regression oftwo variables z z t-Statistic jm ht vb Null Hypothesis: RES03 has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=13) Prob.* k 0.0000 m co l gm -7.676256 -2.581349 -1.943090 -1.615220 Augmented Dickey-Fuller test statistic 1% level Test critical values: 5% level 10% level *MacKinnon (1996) one-sided p-values an Lu Augmented Dickey-Fuller Test Equation Dependent Variable: D(RES03) Method: Least Squares Date: 10/20/12 Time: 22:29 Sample (adjusted): 2000M09 2012M06 Included observations: 142 after adjustments n va • r Variable Coefficient Std Error t-Statistic Prob RES03(-1) -0.585361 0.076256 -7.676256 0.0000 (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market 54 (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market t to ng ep hi ~ -0.000885 0.124856 -1.665421 -1.644605 -1.656962 Mean dependent var S.D.dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.294700 0.294700 0.104857 1.550294 119.2449 1.899303 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat w n Null Hypothesis: RES03 has a unit root Exogenous: None Bandwidth: (Newey-West using Bartlett kernel) lo ad th yj ip uy Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level ~me-sided Prob.* -7.522647 -2.581349 -1.943090 -1.615220 0.0000 a lu la *MacKinnon (1996) Adj t-Stat p-values n va 0.010918 0.009825 n Residual variance (no correction) HAC corrected variance (Bartlett kernel) oi m ll fu at nh Phillips-Perron Test Equation Dependent Variable: D(RES03) Method: Least Squares Date: 10/20/12 Time: 22:30 Sample (adjusted): 2000M09 2012M06 Included observations: 142 after adjustments z z Std Error t-Statistic RES03(-1) -0.585361 0.076256 -7.676256 Prob jm ht Coefficient vb Variable 0.0000 k m -0.000885 0.124856 -1.665421 -1.644605 -1.656962 co Mean dependent var S.D.dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter l 0.294700 0.294700 0.104857 1.550294 119.2449 1.899303 gm R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat an Lu n THREE MODELS IN TESTING FOR COINTEGRATION va ' r Figure A-6: Results of the Johansen test for model 2: Date: 10/22/12 Time: 00:29 Sample (adjusted): 2001 M09 2012M06 (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market 55 (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market gh tn to i Included observations: 130 after adjustments Trend assumption: No deterministic trend (restricted constant) Series: DELTA_VN FPI Lags interval (in first differences): to 12 Unrestricted Cointegration Rank Test (Trace) ie p Hypothesized No of CE(s) w n None* At most * ad lo Eigenvalue Trace Statistic 0.05 Critical Value Prob.** 0.106132 0.075793 24.83223 10.24654 20.26184 9.164546 0.0109 0.0311 th Trace test indicates cointegrating eqn(s) at the 0.051evel * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug- Michelis (1999) p-values yj uy Unrestricted Cointegration Rank Test (Maximum Eigenvalue) ip Eigenvalue None At most * 0.106132 0.075793 Max-Eigen Statistic an lu la Hypothesized No of CE(s) Prob.** 15.89210 9.164546 0.0793 0.0311 n va 14.58569 10.24654 0.05 Critical Value fu Max-eigenvalue test indicates no cointegration at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values oi m ll Unrestricted Cointegrating Coefficients (normalized by b'*S11 *b=l): c at -0.182156 0.793901 z FPI 9.76E-05 -0.001951 nh DELTA_VN 33.08945 -0.958920 z vb 0.013240 167.8179 k -0.023700 78.99747 jm D(DELTA_VN) D(FPI) ht Unrestricted Adjustment Coefficients (alpha): gm -884.9409 n r 56 va (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market an Adjustment coefficients (standard error in parentheses) -0.784203 D(DELTA_VN) (0.27101) D(FPI) 2613.983 (2103.03) Lu ' om Normalized cointegrating coefficients (standard error in parentheses) FPI C DELTA_VN 1.000000 2.95E-06 -0.005505 (1 7E-05) (0.01 096) l.c Log likelihood Cointegrating Equation(s): (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market I t to Figure A-7: Results of theJohansen test/or model : ng ep hi Date: 10/22/12 Time: 00:32 Sample (adjusted): 2001M09 2012M06 Included observations: 130 after adjustments Trend assumption: Linear deterministic trend Series: DELTA_VN FPI Lags interval (in first differences): to 12 w n lo Unrestricted Cointegration Rank Test (Trace) ad Eigenvalue Trace Statistic 0.05 Critical Value Prob.** None * At most * 0.106126 0.075792 24.83107 10.24637 15.49471 3.841466 0.0015 0.0014 u yj th Hypothesized No of CE(s) p yi la an lu 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 va Unrestricted Cointegration Rank Test (Maximum Eigenvalue) n Eigenvalue Max-Eigen Statistic None * At most * 0.106126 0.075792 14.58470 10.24637 0.05 Critical Value ll fu Hypothesized No of CE(s) Prob.** m 0.0445 0.0014 oi 14.26460 3.841466 nh at 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 z z tj h vb Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I): FPI -9.74E-05 -0.001951 k m l.c gm DELTA_VN -33.09056 -0.962714 Unrestricted Adjustment Coefficients (alpha): Adjustment coefficients (standard error in parentheses) O(OELTA_VN) -0.784152 (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market 57 re Normalized cointegrating coefficients (standard error in parentheses) OELTA_VN FPI 1.000000 2.94E-06 (1.7E-05) n va -884.9408 Log likelihood an Cointegrating Equation(s): 0.013242 167.8102 Lu 0.023697 -79.01384 om O(OELTA_VN) O(FPI) (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market - - - - - (0.27232) 2614.612 (2113.19) D(FPI) t to ng ep hi Figure A-8: Results of the Johansen test for model4: w Date: 10/22/12 Time: 00:33 Sample (adjusted): 2001 M09 2012M06 Included observations: 130 after adjustments Trend assumption: Linear deterministic trend (restricted) Series: DELTA_VN FPI Lags interval (in first differences): to 12 n lo ad th yj uy Unrestricted Cointegration Rank Test (Trace) ip Eigenvalue None* At most 0.107070 0.090312 Trace Statistic 0.05 Critical Value Prob.** 27.02713 12.30501 25.87211 12.51798 0.0358 0.0542 n a lu la Hypothesized No of CE(s) va n 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 m ll fu None At most 0.107070 0.090312 14.72212 12.30501 0.05 Critical Value Pro b.** 19.38704 12.51798 0.2091 0.0542 @TREND(OOM08 ) -0.004358 0.013231 om l.c an Lu ' FPI 0.000547 -0.002296 DELTA_VN 33.11983 3.534488 Unrestricted Adjustment Coefficients (alpha): Cointegrating Equation(s): 0.010668 192.6649 r -0.026064 45.52732 n va D(DELTA_VN) D(FPI) gm Unrestricted Cointegrating Coefficients (normalized by b'*S11 *b=l): k jm ht Max-eigenvalue test indicates no cointegration at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values vb Max-Eigen Statistic z Eigenvalue tz Hypothesized No of CE(s) n oi Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Log likelihood -884.8721 Normalized cointegrating coefficients (standard error in parentheses) (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market 58 (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market p ie gh tn to DELTA_VN 1.000000 @TREND(OOM08 ) -0.000132 (0.00029) FPI 1.65E-05 (2.0E-05) Adjustment coefficients (standard error in parentheses) -0.863239 D(DELTA_VN) (0.27027) 1507.857 D(FPI) (2125.43) w n a lo d GRANGER CAUSALITY TEST u yj th Figure A-9: Results of the Granger Causality test: la p yi n a lu VEC Granger Causality/Block Exogeneity Wald Tests Date: 10/23112 Time: 00:17 Sample: 2000M07 2012M06 Included observations: 130 n va fu Dependent variable: D(DELTA_VN) ll m Excluded Chi-sq df D(FPI) 24.68635 12 0.0164 All 24.68635 12 0.0164 Pro b oi at nh z z Pro b D(DELTA_VN) 17.62321 12 0.1276 All 17.62321 12 0.1276 gm df k Chi-sq jm Excluded ht vb Dependent variable: D(FPI) om l.c an Lu n va re (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market 59 (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market gh tn to VECTOR ERROR CORRECTION MODEL ie p Figure A-10: Results of the vector error correction model: w n ad lo Dependent Variable: D(DELTA_VN) Method: Least Squares Date: 10/22/12 Time: 23:39 Sample (adjusted): 2001M09 2012M06 Included observations: 130 after adjustments D(DELTA_VN) = C(1)*( DELTA_VN(-1) + 1.65037471191E-05*FPI(-1)0.000131596905459*@TREND(OOM07) + 0.00333129697177) + C(2) *D(DELTA_VN(-1)) + C(3)*D(DELTA_VN(-2)) + C(4)*D(DELTA_VN(-3)) + C(5)*D(DELTA_VN(-4)) + C(6)*D(DELTA_VN(-5)) + C(7) *D(DELTA_VN(-6)) + C(8)*D(DELTA_VN(-7)) + C(9)*D(DELTA_VN(-8)) + C(10)*D(DEL TA_VN(-9)) + C(11)*D(DELTA_VN(-10)) + C(12) *D(DELTA_VN(-11)) + C(13)*D(DELTA_VN(-12)) + C(14)*D(FPI(-1)) + C(15)*D(FPI(-2)) + C(16)*D(FPI(-3)) + C(17)*D(FPI(-4)) + C(18)*D(FPI( -5)) + C(19)*D(FPI(-6)) + C(20)*D(FPI(-7)) + C(21)*D(FPI(-8)) + C(22) *D(FPI(-9)) + C(23)*D(FPI(-10)) + C(24)*D(FPI(-11)) + C(25)*D(FPI( -12)) + C(26) th yj ip uy an lu la n va fu Std Error t-Statistic Prob -0.863239 0.254540 0.081349 0.019844 0.128626 0.113537 -0.009726 0.125789 -0.057557 0.158990 0.031780 0.153747 0.009064 4.11E-05 3.51 E-05 3.68E-05 5.30E-05 1.64E-05 2.57E-05 -1.62E-05 2.41E-05 6.36E-06 3.13E-06 1.12E-05 -6.53E-06 0.003385 0.270271 0.247573 0.226985 0.205887 0.189081 0.170326 0.157081 0.140898 0.132744 0.125018 0.109241 0.095905 0.091777 1.41E-05 1.65E-05 1.89E-05 2.04E-05 2.19E-05 2.14E-05 2.06E-05 1.96E-05 1.90E-05 1.74E-05 1.57E-05 1.41 E-05 0.008282 -3.193979 1.028140 0.358388 0.096381 0.680269 0.666585 -0.061914 0.892768 -0.433590 1.271737 0.290918 1.603113 0.098761 2.915227 2.134102 1.943058 2.603052 0.749549 1.201968 -0.785047 1.224545 0.334628 0.179737 0.717436 -0.463163 0.408680 0.0019 0.3063 0.7208 0.9234 0.4978 0.5065 0.9507 0.3740 0.6655 0.2063 0.7717 0.1119 0.9215 0.0044 0.0352 0.0547 0.0106 0.4552 0.2321 0.4342 0.2235 0.7386 0.8577 0.4747 0.6442 0.6836 z z l.c om an Lu n va r 60 (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market gm 0.003112 k jm ht vb Mean dependent var at 0.559800 nh R-squared oi m ll C(1) C(2) C(3) C(4) C(5) C(6) C(7) C(8) C(9) C(10) C(11) C(12) C(13) C(14) C(15) C(16) C(17) C(18) C(19) C(20) C(21) C(22) C(23) C(24) C(25) C(26) Coefficient (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market gh tn to Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) ~ 0.453983 0.093043 0.900323 138.7528 5.290260 0.000000 S.D.dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.125916 -1.734659 -1.161152 -1.501624 2.000673 ie p w WALT TEST TO TEST THE SHORT RUN CAUSALITY n ad lo Figure A-ll: Results of the Wald test: th yj ip uy lu la Wald Test: Equation: Untitled Test Statistic Value an 2.057196 24.68635 Probability (12, 104) 12 0.0262 0.0164 Value Std Err n va F-statistic Chi-square df fu oi m ll Null Hypothesis Summary: Normalized Restriction (= 0) nh at z z ht vb 1.41E-05 1.65E-05 1.89E-05 2.04E-05 2.19E-05 2.14E-05 2.06E-05 1.96E-05 1.90E-05 1.74E-05 1.57E-05 1.41E-05 k l.c gm 4.11E-05 3.51 E-05 3.68E-05 5.30E-05 1.64E-05 2.57E-05 -1.62E-05 2.41E-05 6.36E-06 3.13E-06 1.12E-05 -6.53E-06 jm C(14) C(15) C(16) C(17) C(18) C(19) C(20) C(21) C(22) C(23) C(24) C(25) om Restrictions are linear in coefficients Lu an SERIAL CORRELATION n va Figure A-12: Results of the Serial Correlation test: r Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.007857 Prob F(2, 102) 0.9922 (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market 61 (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market Ob$*R-squared 0.020024 Prob Chi-Square(2) 0.9900 t to ng ep hi Test Equation: Dependent Variable: RESID Method: Least Squares Date: 10/23/12 Time: 00:04 Sample: 2001M09 2012M06 Included observations: 130 Presample missing value lagged residuals set to zero w 0.043630 -0.013698 -0.015934 -0.012388 -0.007996 -0.008528 -0.008541 -0.004441 -0.006256 -0.001468 -0.005129 -0.001846 -0.005385 -6.02E-07 -1.51 E-06 -1.69E-06 -1.77E-06 -2.32E-06 -1.46E-06 -1.34E-06 -1.63E-07 -9.67E-07 -6.77E-07 -4.51E-07 -5.26E-07 -4.98E-05 -0.033539 -0.013175 0.445792 0.332775 0.288509 0.231071 0.201418 0.191654 0.174321 0.146607 0.150557 0.130131 0.141590 0.098732 0.113920 1.50E-05 2.13E-05 2.34E-05 2.51 E-05 2.95E-05 2.50E-05 2.38E-05 2.12E-05 2.37E-05 1.85E-05 1.63E-05 1.55E-05 0.008402 0.370651 0.263226 0.097870 -0.041162 -0.055229 -0.053613 -0.039699 -0.044496 -0.048998 -0.030290 -0.041552 -0.011281 -0.036228 -0.018693 -0.047267 -0.040050 -0.070896 -0.072357 -0.070400 -0.078804 -0.058349 -0.056329 -0.007657 -0.040837 -0.036682 -0.027626 -0.033925 -0.005921 -0.090486 -0.050053 y th yi ju pl n ua al oi m ll fu at nh z 0.9222 0.9672 0.9561 0.9573 0.9684 0.9646 0.9610 0.9759 0.9669 0.9910 0.9712 0.9851 0.9624 0.9681 0.9436 0.9425 0.9440 0.9373 0.9536 0.9552 0.9939 0.9675 0.9708 0.9780 0.9730 0.9953 0.9281 0.9602 tj h vb m m co n a Lu -2.35E-18 0.083542 -1.704043 -1.086421 -1.453083 1.992890 l Mean dependent var S.D.dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat z 0.000154 -0.264511 0.093943 0.900185 138.7628 0.000582 1.000000 n R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) va C(1) C(2) C(3) C(4) C(5) C(6) C(7) C(8) C(9) C(10) C(11) C(12) C(13) C(14) C(15) C(16) C(17) C(18) C(19) C(20) C(21) C(22) C(23) C(24) C(25) C(26) RESID(-1) RESID(-2) Pro b gm t-Statistic k Std Error lo Coefficient ad n Variable n va r (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market 62 (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market - gh tn to HETEROSCEDASTISCITY -ARCH TEST Figure A-13: Results of the Heteroskedasticity test: p ie Heteroskedasticity Test: ARCH w 0.515493 1.047093 n F-statistic Obs*R-squared 0.5985 0.5924 d a lo Prob F(2,125) Prob Chi-Square(2) Std Error t-Statistic Pro b 0.006191 0.047304 0.074650 0.001308 0.089097 0.089474 4.733449 0.530930 0.834322 0.0000 0.5964 0.4057 Coefficient c n ll fu Mean dependent var S.D.dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.007032 0.011223 -6.110843 -6.043999 -6.083684 2.005159 oi m at nh z 0.008180 -0.007689 0.011266 0.015866 394.0940 0.515493 0.598470 va R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) n Variable RESID"2(-1) RESID"2(-2) z a lu la p yi u yj th Test Equation: Dependent Variable: RESID"2 Method: Least Squares Date: 10/23/12 Time: 13:11 Sample (adjusted): 2001 M11 2012M06 Included observations: 128 after adjustments k jm ht vb gm om l.c an Lu va n re (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market 63 (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market (Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market(Luận.văn).the.impacts.of.capital.flows.on.vietnam.stock.market