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L i L IC N T ôi Sau cùng, Tơi chân th , Tháng 9/2013 Trang ii TĨM T T CAPM Sharpe (1964) Trong mơ hình nh giá, ng Levy (1978) Merton (1987) cho chi phí cho Ang (2006), Drew (2006), Malkiel (1997 & 2006), Drew (2007), Bali (2008), Brockman (2009) and Fu (2009) TTCK VN - CP - - Macbeth (1973) - , CP Malkiel Xu (2006) Fu (2009) Brockman (2009) - Trang iii -2012 nhà Trang iv M CL C i N ii iii ix x xi .2 .2 .5 S .9 Trang v 10 12 FF-3) 13 xu TTCK .14 14 15 16 2.4 Q .16 17 21 22 25 26 26 27 NG PHÁP 29 .29 29 29 Trang vi 30 .32 32 33 34 34 36 36 3.6.2 37 37 40 40 40 42 45 45 47 .47 47 48 Trang vii - 50 54 56 56 57 58 58 59 63 Trang viii DANH M C B NG BI U B ng 2.1 Ma tr n hi p ph ng sai B ng 2.2 B ng t ng h p k t qu nghiên c u th c nghi m tiêu bi u 25 B ng 3.1 S l ng mã CP nghiên c u 29 B ng 3.2 Phân chia danh m c theo nhóm SIZE IV .37 B ng 3.3 Phân chia danh m c theo nhóm BM IV 37 B ng 4.1 B ng th ng kê mô t chu i bi ng 40 B ng 4.2a Ma tr n t ng 40 B ng 4.2b B ng ki ng quan chu i bi nh nghi B ng 4.3 K t qu h i quy xu h n v c a chu i bi ng 41 ng 44 B ng 4.5 K t qu trung bình h s h i quy theo d li u chéo .46 B ng 4.6 Ma tr n t ng quan bi n mơ hình b n nhân t 47 B ng 4.4 B ng giá tr t su t l i nhu n h s Alpha danh m c 48 B ng 4.7 B ng k t qu h i quy danh m c s p x p theo SIZE IV ( EW) 50 B ng 4.8 B ng k t qu h i quy danh m c s p x p theo BM IV .51 B ng 4.9 B ng k t qu h i quy danh m c s p x p theo SIZE IV( VW) 53 B ng 4.10 B ng k t qu h i quy danh m c s p x p theo BM IV (VW) 54 Trang ix DANH M C HÌNH Hình 2.1 Quan h r i ro h th ng, phi h th ng s l Hình 4.1 Xu h ng CP 12 ng trung bình khơng tr ng s c a t ng bi ng CP .42 Hình 4.2 Xu h ng trung bình có tr ng s c a t ng bi n ng CP .42 Hình 4.3 Xu h ng trung bình khơng tr ng s c a r i ro phi h th ng CP 43 Hình 4.4 Xu h ng trung bình khơng tr ng s c a r i ro phi h th ng CP 43 Trang x T LU N SGDCK HCM, t TTCK VN K TTCK VN Thông qua xu - Bekaert (2009), Angelidis (2010), Nartea (2009) nghiê Fama_Macbeth (1973) - Macbeth (1 CP , su CP Malkiel (1997), Xu (2003), Malkiel (2006), Pukthuanthong-Le (2009), Fu (2010) Trang 56 hai, mơ hình FF- ) n phi Levy (1978) Merton (1987), Malkiel (2006) Fama (1993) x x TTCK VN : - TTCK VN a CP CP Trang 57 CP gk CP CP 5n L CP, Momentum Tuy nhiên, CP Trang 58 Ang, A., Hodrick, R J., Xing, Y., & Zhang, X (2006), 'The cross-section of volatility and expected returns', Journal of Finance, vol 61(1), pp 259-99 Ang, A., Hodrick, R J., Xing, Y., & Zhang, X (2009), 'High Idiosyncratic volatility and low returns: International and further U.S evidence', Journal of Financial Economics, vol 91, pp 1-23 Angelidis, T., & Tessaromatis, N (2005), 'Equity Returns and Idiosyncratic Volatility: UK Evidence', Unpublished SSRN Working Paper, no University of Piraeus Bainbridge, C., & Galagedera, D.U.A (2009), 'Expected Return-Idiosyncratic Risk Relation: An Investigation with Alternative Factor Models', paper presented to the Australian Finance and Banking Conference Bali, T.G., & Cakici, N (2006), 'Aggregate Idiosyncratic Risk and Market Returns', Journal of Investment Management, vol 4(4) Bali, T.G., & Cakici, N (2008), 'Idiosyncratic Volatility and the Cross-Section of Expected Returns', Journal of Financial and Quantitative Analysis, vol 43(1), p 29 Bekaert, G., Hodrick, R J., & Zhang, X (2010), 'Aggregate Idiosyncratic Volatility', Unpublished Working Paper Columbia University Bekaert, G., Hodrick, R J., & Zhang, X (2009), 'Is there a trend in idiosyncratic volatility?', Paper presented at the AFA 2009 San Francisco Meetings, San Francisco Ben-David, I., Glishkov, D., & Moussawi, R (2010), 'Do arbitrageurs really avoid high idiosyncratic risk stocks? ', Ohio State University, Unpublished Working Paper Bodie, A., Kane, A ,& Macus, A.J, (2009), Investments, 9th edn, McGraw – Hill Brandt, M.W., Brav, A., Graham, J., & Kumar, A (2009), 'The idiosyncratic volatility puzzle: Time trend or speculative episodes?', Review of Financial Studies, vol 23(2), pp 863-99 Brockman, P., & Yan, X S (2008), 'The time-series behaviour and pricing of idiosyncratic volatility: Evidence from 1926 to 1962', Unpublished Working Paper University of Missouri - Columbia Brockman, P., Schutte, M G., & Yu, W (2009), 'Is idiosyncratic volatility prices? The international evidence', vol Unpublished Working Paper, no Michigan Tech University Trang 59 Brown, D.P., & Ferreira, M A (2007), 'Idiosyncratic Volatility of Small Public Firms and Entrepreneurial Risk', Unpublished Working Paper University of Wisconsin - Madison Campbell, J.Y., Lettau, M., Malkiel, B G., & Xu, Y (2001), 'Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk.', Journal of Finance, vol 56(1-43) Cao, C., Simin, T., & Zhao, J (2008), 'Can growth options explain the trend in idiosyncratic risk?', Review of Financial Studies, vol 21(6), pp 2599-633 Cao, X., & Xu, Y (2010), 'Long-run idiosyncratic volatility and cross-sectional stock returns', Working paper University of Texas at Dallas Chang, E.C., & Dong, S (2006), 'Idiosyncratic volatility, fundamentals, and institutional herding: Evidence from the Japanese stock market.', Pacific-Basin Finance Journal, vol 14, pp 135-54 Clayton, L., Dempsey, M., & Veeraraghavan, Madhu 2006, Are beta, firm size, liquidity and idiosyncratic volatility related to stock returns? Australian Evidence, Working Paper Monash University, Melbourne Dempsey, M., Drew, M.E., & Veeraraghavan, M (2001), 'Idiosyncratic risk and Australian equity returns', Working paper Griffin University, Queensland Drew, M., Marsden, A., and M Veeraraghavan (2007), 'Does Idiosyncratic Volatility Matter? New Zealand Evidence', Review of Pacific Basin Financial Markets and Policies, vol 10(3), pp 289-308 Drew, M.E., & Veeraraghavan (2002), 'Idiosyncratic Volatility and Security Returns: Evidence from the Asian Region', International Quarterly Journal of Finance, vol 2(1-4), pp 1-14 Drew, M.E., Mallin, M., Naughton, T., & Veeraraghavan, M (2006), 'Equity premium: Does it exist? Evidence from Germany and United Kingdom.', Studies in Economics and Finance, vol V23(2), pp 80 - 93 Drew, M.E., Naughton, T., & Veeraraghavan, M (2004), 'Is idiosyncratic volatility priced? Evidence from the Shanghai stock exchange', International Review of Financial Analysis, vol 13, pp 349-66 Fama, E.F., & French, K R (1992), 'The cross-section of expected stock returns', The Journal of Finance, vol 47(2), pp 427-65 Fama, E.F., & French, K R (1993), 'Common risk factors in the returns on stocks and bonds', Journal of Financial Economics, vol 33, pp 3-56 Fama, E.F., & French, K R (1995), 'Size and book-to-market factors in earning and returns', The Journal of Finance, vol 50(1), pp 131-55 Trang 60 Fu, F (2009), 'Risk and the cross-section of expected stock returns', Journal of Financial Economics, vol 91, pp 24-37 Fu, F., & Schutte, M.G (2010), 'Investors diversification and the pricing of idiosyncratic risk', Working paper Singapore Management University, Singapore Gao, X., Yu, J., Yuan, Y 2010, Investor sentiment and idiosyncratic risk puzzle, Working Paper.University of Hong Kong, Hong Kong Goyal, A., & Santa-Clara, P (2003), 'Idiosyncratic risk matters!', Journal of Finance, vol 58, pp 975-1007 Guo, H., & Savickas, R (2006), 'Idiosyncratic volatility, stock market volatility, and expected stock returns', Journal of Business and Economic Statistics, vol 24(1), pp 43-56 Hamao, Y., Mei, J., & Xu, Y (2003a), 'Idiosyncratic Risk and Creative Destruction in Japan', NBER Hamao, Y., Mei, J., Xu, Y (2003b), 'Idiosyncratic Risk and Creative Destruction in Japan', NBER, Unpublished Working Paper Han, Y & Lesmond, D (2011), 'Liquidity biases and the pricing of cross-sectional idiosyncratic volatility', Review of Financial Studies, vol 24, no 5, pp 1590-629 Huang, W., Liu, Q., Rheee, S.G., & Zhang, L (2010), 'Return reversals, idiosyncratic risk,and expected returns', Review of Financial Studies, vol 23(1), pp 147-68 Jiang, G.J., Xu, D., & Yao, T (2009), 'The Information Content of Idiosyncratic Volatility', Journal of Financial and Quantitative Analysis, vol 44(1), p Levy, H (1978), 'Equilibrium in an imperfect market: A constraint on the number of securities in the portfolio', American Economic Review, vol 68, pp 642-58 Malkiel, B.G., & Xu, Y (1997), 'Risk and Return Revisited', The Journal of Portfolio Management, Spring, vol 9-14 Malkiel, B.G., & Xu, Y (2006), 'Idiosyncratic risk and security returns', Princeton University & The University of Texas at Dallas Merton, R.C (1987), 'A simple model of capital market equilibrium with incomplete information.', Journal of Finance, vol 42, pp 483-510 Nartea, G.V., & Ward, B.D (2009), 'Does idiosyncratic risk matter? Evidence from the Philippine stock market', Asian Journal of Business and Accounting, vol 2(1&2), pp 47-67 Trang 61 Nartea, G.V., Ward, B.D., & Yao, L.J (2011), 'Idiosyncratic volatility and crosssectional stock returns in Southeast Asian stock markets', Accounting and Finance, vol V51(4), pp 1031-54 Nartea, G.V., Wu, J., & Yao, L.J (2010), 'Idiosyncratic volatility in the Chinese stock market', Lincoln University Pukthuanthong-Le, K., & Visaltanachoti, N (2009), 'Idiosyncratic volatility and stock returns: a cross country analysis', Applied Financial Economics, vol 19, pp 1269-81 Sharpe, W (1964), 'Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk', Journal of Finance, vol 19, pp 425-42 Xu, Y., & Malkiel, B G (2003), 'Investigating the behaviour of Idiosyncratic Volatility', Journal of Business, vol 76(4), pp 613-44 Trang 62 PH L C trung bình IVOLew IVOLvw TOTVOLew TOTVOLew HIVMLIVev DATE HIVMLIVew HIVMLIVvw IVOLev IVOLvw TOTVOLew TOTVOLvw 2007/01/31 2007/02/28 2007/03/30 2007/04/25 2007/05/31 2007/06/29 2007/07/31 2007/08/31 2007/09/28 2007/10/31 2007/11/30 2007/12/28 2008/01/30 2008/02/29 2008/03/31 2008/04/29 2008/05/30 2008/06/30 2008/07/31 2008/08/29 2008/09/30 2008/10/31 2008/11/28 2008/12/31 2009/01/23 2009/02/27 2009/03/31 2009/04/29 2009/05/29 -0.11388 -0.01362 0.05362 0.005058 0.082864 0.079363 0.153127 0.123043 0.100789 0.105011 0.014843 -0.01332 -0.00668 0.040269 0.097749 -0.07792 0.035354 -0.01862 -0.06539 -0.03897 1.12E-05 0.024804 0.048705 0.022658 -0.01216 -0.05704 0.126711 0.032599 0.064953 0.0244 0.0837 0.0641 -0.0041 0.0367 0.0035 0.2018 0.1405 0.0436 -0.0395 0.0004 -0.0221 -0.0066 0.0221 0.1069 -0.0876 0.0210 -0.0193 -0.0021 -0.1031 -0.0201 0.0141 0.0406 0.0660 -0.0314 -0.0994 0.1941 0.0551 0.1371 0.0288 0.0241 0.0273 0.0233 0.0308 0.0266 0.0239 0.0194 0.0189 0.0293 0.0230 0.0166 0.0216 0.0163 0.0165 0.0104 0.0085 0.0162 0.0181 0.0245 0.0270 0.0238 0.0234 0.0223 0.0190 0.0207 0.0213 0.0222 0.0284 0.0266 0.0233 0.0238 0.0209 0.0456 0.0266 0.0165 0.0155 0.0140 0.0202 0.0174 0.0156 0.0200 0.0139 0.0152 0.0099 0.0095 0.0175 0.0194 0.0224 0.0241 0.0226 0.0262 0.0208 0.0151 0.0182 0.0185 0.0200 0.0305 0.0342 0.0330 0.0398 0.0356 0.0372 0.0311 0.0320 0.0246 0.0237 0.0347 0.0305 0.0225 0.0372 0.0332 0.0378 0.0156 0.0122 0.0231 0.0285 0.0362 0.0442 0.0391 0.0355 0.0306 0.0240 0.0290 0.0292 0.0369 0.0383 0.0381 0.0392 0.0351 0.0321 0.0538 0.0331 0.0233 0.0218 0.0202 0.0271 0.0232 0.0226 0.0345 0.0309 0.0362 0.0147 0.0130 0.0267 0.0299 0.0336 0.0423 0.0389 0.0431 0.0319 0.0199 0.0294 0.0300 0.0376 0.0416 Trang 63 DATE 2009/06/30 2009/07/31 2009/08/31 2009/09/30 2009/10/30 2009/11/30 2009/12/31 2010/01/29 2010/02/26 2010/03/31 2010/04/29 2010/05/31 2010/06/30 2010/07/30 2010/08/31 2010/09/30 2010/10/29 2010/11/30 2010/12/31 2011/01/28 2011/02/28 2011/03/31 2011/04/29 2011/05/31 2011/06/30 2011/07/29 2011/08/31 2011/09/30 2011/10/31 2011/11/30 2011/12/30 2012/01/31 2012/02/29 2012/03/30 2012/04/27 2012/05/31 2012/06/29 2012/07/31 2012/08/31 2012/09/28 2012/10/31 2012/11/30 2012/12/28 HIVMLIVew 0.105888 0.031544 0.129934 0.177448 0.202124 -0.01611 0.064669 0.021552 0.022423 0.173299 0.149657 0.063334 0.119391 0.060964 -0.00443 0.045124 0.025138 -0.01221 0.053727 0.010875 0.033216 0.014808 -0.0011 0.005232 0.040714 -0.02012 0.002531 0.07492 -0.01674 -0.00714 0.016881 -0.02921 -0.0382 0.03091 0.023824 0.009252 -0.01158 0.011508 -0.00179 -0.0278 0.000813 -0.00068 0.015366 HIVMLIVvw 0.1351 0.0547 0.1638 0.1738 0.2349 0.0540 0.0427 -0.0050 0.0583 0.1338 0.0866 0.0875 0.0670 0.0331 -0.0155 0.0656 0.0857 0.0142 0.0768 0.0504 0.0225 0.0453 0.1027 0.0043 0.1068 -0.0370 0.0141 0.1139 -0.0103 0.0079 0.1052 0.0315 -0.0522 0.0523 0.1081 0.0482 -0.0261 0.0163 0.0193 -0.0187 0.0094 -0.0052 0.0147 IVOLev 0.0305 0.0234 0.0225 0.0244 0.0245 0.0249 0.0243 0.0223 0.0178 0.0201 0.0229 0.0272 0.0221 0.0199 0.0175 0.0194 0.0170 0.0180 0.0199 0.0192 0.0198 0.0201 0.0200 0.0239 0.0244 0.0207 0.0215 0.0213 0.0200 0.0226 0.0230 0.0222 0.0221 0.0233 0.0223 0.0233 0.0199 0.0198 0.0203 0.0201 0.0206 0.0199 0.0197 IVOLvw 0.0221 0.0244 0.0192 0.0217 0.0185 0.0243 0.0239 0.0177 0.0139 0.0154 0.0187 0.0281 0.0194 0.0136 0.0146 0.0145 0.0126 0.0153 0.0172 0.0237 0.0189 0.0191 0.0173 0.0196 0.0222 0.0170 0.0175 0.0194 0.0153 0.0231 0.0201 0.0190 0.0164 0.0213 0.0153 0.0170 0.0170 0.0126 0.0179 0.0177 0.0139 0.0146 0.0167 TOTVOLew 0.0489 0.0346 0.0267 0.0295 0.0336 0.0399 0.0387 0.0336 0.0247 0.0253 0.0264 0.0391 0.0263 0.0244 0.0301 0.0264 0.0232 0.0255 0.0290 0.0227 0.0269 0.0257 0.0251 0.0310 0.0300 0.0235 0.0270 0.0273 0.0239 0.0260 0.0275 0.0267 0.0279 0.0297 0.0275 0.0328 0.0261 0.0260 0.0266 0.0251 0.0240 0.0231 0.0226 TOTVOLvw 0.0404 0.0372 0.0231 0.0272 0.0273 0.0404 0.0396 0.0310 0.0228 0.0215 0.0239 0.0409 0.0237 0.0170 0.0260 0.0208 0.0184 0.0220 0.0253 0.0292 0.0275 0.0267 0.0222 0.0324 0.0305 0.0211 0.0256 0.0279 0.0213 0.0298 0.0260 0.0264 0.0234 0.0286 0.0194 0.0254 0.0244 0.0189 0.0259 0.0228 0.0182 0.0189 0.0195 Trang 64 Breusch-Godfrey Serial Correlation LM Test (Heteroskedasticity Test: WHITE Mơ hình: Rp,t - rf,t A Equal Weighted i(Rm,t- rf,t) +si,tSMB +hit i,t P-value OLS HIV MIV GARCH(1,1) OLS OLS LIV HIV MIV ARCH (1) OLS OLS OLS LIV ARCH (1) Breusch-Godfrey Serial Correlation LM Test: 0.0553 Heteroskedasticity Test: WHITE 0.5071 GARCH = C+ C(1)*RESID(-1)^2 + C(2)*GARCH(-1) C 0.000 RESID(-1)^2 0.010 GARCH(-1) 0.000 Breusch-Godfrey Serial Correlation LM Test: 0.6814 Heteroskedasticity Test: WHITE 0.8245 Breusch-Godfrey Serial Correlation LM Test: 0.6491 Heteroskedasticity Test: WHITE 0.0524 GARCH = C+ C(1)*RESID(-1)^2 C 0.007 RESID(-1)^2 0.020 B Value Weighted Breusch-Godfrey Serial Correlation LM Test: 0.2918 Heteroskedasticity Test: WHITE 0.9809 Breusch-Godfrey Serial Correlation LM Test: 0.1937 Heteroskedasticity Test: WHITE 0.8946 Breusch-Godfrey Serial Correlation LM Test: 0.2253 Heteroskedasticity Test: WHITE 0.0000 GARCH = C+ C(1)*GARCH(-1) C 0.000 GARCH(-1) 0.000 Trang 65 - EW (T ng phù (Breusch- Mơ Hình: RP,t MKT SMB HML HIVMLIV P-value Big SIZE Big-HIV OLS Garch (1,1) Big-MIV OLS Big-LIV OLS Small SIZE Small-HIV OLS Arch (1) Small-MIV OLS Small-HIV OLS Garch (2) B HIGH BM HIGH-HIV OLS HIGHMIV OLS arch (1) Breusch-Godfrey Serial Correlation LM Test: 0.5972 Heteroskedasticity Test: WHITE 0.0163 GARCH = C+ C(1)*RESID(-1)^2+ C(2)*GARCH(-1) C 0.006 RESID(-1)^2 0.003 GARCH(-1) 0.000 Breusch-Godfrey Serial Correlation LM Test: 0.7835 Heteroskedasticity Test: WHITE 0.3993 Breusch-Godfrey Serial Correlation LM Test: 0.5094 Heteroskedasticity Test: WHITE 0.6376 Breusch-Godfrey Serial Correlation LM Test: 0.5695 Heteroskedasticity Test: WHITE 0.056 GARCH = C + C(1)*RESID(-1)^2 C 0.006 RESID(-1)^2 0.001 Breusch-Godfrey Serial Correlation LM Test: 0.8354 Heteroskedasticity Test: WHITE 0.6755 Breusch-Godfrey Serial Correlation LM Test: 0.462 Heteroskedasticity Test: WHITE 0.0246 GARCH = C + C(1)*GARCH(-1) + C(2)*GARCH(-2) C 0.014 GARCH(-1) 0.000 GARCH(-2) 0.000 Breusch-Godfrey Serial Correlation LM Test: 0.7135 Heteroskedasticity Test: WHITE 0.8948 Breusch-Godfrey Serial Correlation LM Test: 0.7628 Heteroskedasticity Test: WHITE 0.0115 GARCH = C + C(1)*RESID(-1)^2 + C(2)*GARCH(-1) Trang 66 C RESID(-1)^2 HIGH-LIV OLS Arch (1) MID BM MID-HIV OLS Arch (1) MID-MIV OLS Arch (1) MID-MIV OLS Garch(1,1) LOW BM LOW-HIV OLS Arch (2) LOW-MIV OLS LOW-LIV OLS Arch (1) 0.013 0.002 GARCH(-1) Breusch-Godfrey Serial Correlation LM Test: Heteroskedasticity Test: WHITE GARCH = C + C(1)*RESID(-1)^2 C RESID(-1)^2 0.000 0.0451 0.0653 0.000 0.044 Breusch-Godfrey Serial Correlation LM Test: 0.0493 Heteroskedasticity Test: WHITE 0.3219 GARCH = C + C(1)*RESID(-1)^2 C 0.000 RESID(-1)^2 0.000 Breusch-Godfrey Serial Correlation LM Test: 0.2104 Heteroskedasticity Test: WHITE 0.0892 GARCH = C + C(1)*RESID(-1)^2 C 0.000 RESID(-1)^2 0.014 Breusch-Godfrey Serial Correlation LM Test: 0.0828 Heteroskedasticity Test: WHITE 0.0000 GARCH = C + C(1)*RESID(-1)^2 + C(2)*GARCH(-1) C 0.000 RESID(-1)^2 0.004 GARCH(-1) 0.000 Breusch-Godfrey Serial Correlation LM Test: 0.975 Heteroskedasticity Test: WHITE 0.0002 arch (2) GARCH = C + C(1)*RESID(-1)^2 + C(2)*RESID(-2)^2 C 0.000 RESID(-1)^2 0.029 RESID(-2)^2 0.023 Breusch-Godfrey Serial Correlation LM Test: 0.5844 Heteroskedasticity Test: WHITE 0.4258 Breusch-Godfrey Serial Correlation LM Test: 0.0964 Heteroskedasticity Test: WHITE 0.0061 GARCH = C + C(1)*RESID(-1)^2 C 0.008 RESID(-1)^2 0.004 Trang 67 - VW (T ng (Breusch- ARCH Mơ hình: P-value BIG SIZE OLS Big-HIV Breusch-Godfrey Serial Correlation LM Test: 0.0761 Heteroskedasticity Test: WHITE 0.0000 Arch (1) GARCH = C(2) + C(3)*RESID(-1)^2 C 0.000 RESID(-1)^2 0.000 OLS Breusch-Godfrey Serial Correlation LM Test: 0.0599 Heteroskedasticity Test: WHITE 0.9896 Big-MIV GARCH = C+C(1)*RESID(-1)^2+C(2)*GARCH(-1)+ Garch (1,2) C(3)*GARCH(-2) C 0.000 RESID(-1)^2 0.033 GARCH(-1) 0.090 GARCH(-2) 0.000 OLS Breusch-Godfrey Serial Correlation LM Test: 0.1034 Big-LIV Heteroskedasticity Test: WHITE 0.0000 Garch (1,1) GARCH = C + C(1)*RESID(-1)^2 + C(2)*GARCH(-1) C 0.046 RESID(-1)^2 0.000 GARCH(-1) 0.000 SMALL SIZE Breusch-Godfrey Serial Correlation LM Test: 0.7196 Small-HIV OLS Heteroskedasticity Test: WHITE 0.0000 GARCH = C + C(1)*RESID(-1)^2 + C(2)*GARCH(-1) + Garch (1,2) C(3)*GARCH(-2) C 0.021 RESID(-1)^2 0.009 GARCH(-1) 0.000 Trang 68 SmallMIV GARCH(-2) 0.000 OLS Breusch-Godfrey Serial Correlation LM Test: 0.7708 Heteroskedasticity Test: WHITE 0.0178 Garch (1,1) GARCH = C + C(1)*RESID(-1)^2 + C(2)*GARCH(-1) C 0.005 RESID(-1)^2 0.084 GARCH(-1) 0.000 Breusch-Godfrey Serial Correlation LM Test: 0.7218 Small-LIV OLS Heteroskedasticity Test: WHITE 0.0000 Garch (0,2) GARCH = C+ C(1)*GARCH(-1) + C(2)*GARCH(-2) C 0.000 GARCH(-1) 0.000 GARCH(-2) 0.000 HIGH BM HIGHOLS HIV Arch (1) HIGHMIV HIGHLIV OLS Breusch-Godfrey Serial Correlation LM Test: Heteroskedasticity Test: WHITE GARCH = C + C(1)*RESID(-1)^2 C 0.0716 0.1156 RESID(-1)^2 Breusch-Godfrey Serial Correlation LM Test: 0.032 0.6193 0.000 Heteroskedasticity Test: WHITE 0.2536 OLS Breusch-Godfrey Serial Correlation LM Test: 0.0545 Heteroskedasticity Test: WHITE 0.0000 Garch (1,1) GARCH = C + C(1)*RESID(-1)^2 + C(2)*GARCH(-1) C 0.003 RESID(-1)^2 0.000 GARCH(-1) 0.078 Breusch-Godfrey Serial Correlation LM Test: 0.3512 Heteroskedasticity Test: WHITE 0.0005 GARCH = C + C(1)*RESID(-1)^2 + C(2)*GARCH(-1) + Garch (1,2) C(3)*GARCH(-2) C 0.011 RESID(-1)^2 0.050 GARCH(-1) 0.087 GARCH(-2) 0.061 OLS MID-HIV MID BM MID-HIV OLS Breusch-Godfrey Serial Correlation LM Test: 0.3512 Heteroskedasticity Test: WHITE 0.0005 GARCH = C+ C(1)*RESID(-1)^2 + C(2)*GARCH(-1) + Garch (1,2) C(3)*GARCH(-2) C 0.011 RESID(-1)^2 0.050 Trang 69 MID-MIV MID-LIV GARCH(-1) GARCH(-2) OLS Breusch-Godfrey Serial Correlation LM Test: Heteroskedasticity Test: WHITE Garch (0,2) GARCH = C + C(1)*GARCH(-1) + C(2)*GARCH(-2) C GARCH(-1) GARCH(-2) OLS Breusch-Godfrey Serial Correlation LM Test: Heteroskedasticity Test: WHITE Garch (0,2) GARCH = C + C(1)*GARCH(-1) + C(2)*GARCH(-2) C GARCH(-1) GARCH(-2) LOW BM LOW-HIV OLS Arch (1) LOWMIV LOW-LIV OLS Breusch-Godfrey Serial Correlation LM Test: Heteroskedasticity Test: WHITE GARCH = C+ C(1)*RESID(-1)^2 C RESID(-1)^2 Breusch-Godfrey Serial Correlation LM Test: 0.087 0.061 0.0286 0.0122 0.000 0.000 0.000 0.1961 0.0061 0.000 0.000 0.000 0.2624 0.0000 0.01250 0.00150 0.5965 Heteroskedasticity Test: WHITE 0.8124 OLS Breusch-Godfrey Serial Correlation LM Test: 0.0417 Heteroskedasticity Test: WHITE 0.0000 Garch (1,1) GARCH = C+ C(1)*RESID(-1)^2 + C(2)*GARCH(-1) C 0.000 RESID(-1)^2 0.000 GARCH(-1) 0.000 Trang 70 ... qua nhóm tiêu: Nghiên c u xu ng c a bi ng r i ro phi h th ng theo th i gian Nghiên c u ki m tra quan h gi a bi ng r i ro phi h th ng l i nhu n ch ng khoán Ki ng c a bi ng r i ro phi h th ng nh... HCM Có xu ng bi ng c a r i ro phi h th ng SGDCK HCM khơng? Có m i quan h gi a r i ro phi h th ng l i nhu n c a CP? S bi ng c a r i ro phi h th ng ng th n l i nhu n c phi u? Trích n (Merton 1987)“... t nghiên c u H2, Tác gi ki m tra quan h gi a bi r i ro phi h th ng t su t l i nhu n ch ng khoán b ng ng phân tích h i quy theo d li u chéo, ti p c n nghiên c u c a Fama-MacBeth (1973) T im n nghiên