ĐÁNH GIÁ TÁC ĐỘNG CỦA CÁC NHÂN TỐ KINH TẾ VĨ MÔ ĐẾN VN-INDEX TRÊN THỊ TRƯỜNG CHỨNG KHOÁN VIỆT NAM.PDF

B GIÁO D O I H C KINH T TP H CHÍ MINH LÊ THANH TÙNG LU C S KINH T B GIÁO D O I H C KINH T TP H CHÍ MINH LÊ THANH TÙNG NG C A CÁC NHÂN T N VN INDEX TRÊN TH KINH T NG CH NG KHOÁN VI T NAM CHUYÊN NGÀNH: TÀI CHÍNH - NGÂN HÀNG MÃ S : 60340201 LU C S KINH T NG D N KHOA H C: PGS TS BÙI KIM Y N qua tham góp ý LÊ THANH TÙNG M CL C Trang TRANG PH BÌA L M CL C DANH M C CÁC CH VI T T T DANH M C B NG BI U, BI PH N M U Lý ch M tài nghiên c u ng ph m vi nghiên c u u mm ic tài Tóm t t n i dung lu NG QUAN V N CH S 1.1 T ng quan v th GIÁ C NG C A CÁC NHÂN T PHI U TRÊN TTCK ng ch ng khoán 1.1.1 Khái ni m, phân lo i v th 1.1.2 Các hàng hóa th 1.1.3 Ch KINH T a th ng ch ng khoán ng ch ng khoán ng ch ng khoán 1.2 T ng quan v ch s giá c phi ng c a nhân t kinh t n ch s giá c phi u 1.2.1 T ng quan v ch s giá c phi u 1.2.2 M t s 1.2.3 Tác s giá c phi u ng c a m t s nhân t kinh t ng lên ch s giá c phi u 12 1.2.3 lý thuy t nghiên c 1.2.3.2 ng c a m t s nhân t kinh t TÓM T 12 ch s giá c phi u 16 23 TH C TR NG V TTCK VI T NAM VÀ NG C A CÁC NHÂN T 2.1 Th c tr ng c a th KINH T TÁC VN INDEX ng ch ng khoán Vi t Nam 24 n 2001-2005 24 n bùng n ng 2006-2007 26 n suy gi m ph c h i 2008-2013 30 2.1.4 M t s h n ch c a ch s giá c phi u VN 2.2 ng c a nhân t kinh t Index 37 - Index 38 2.2.1 Mơ hình nghiên c u 38 2.2 l a ch n mơ hình nghiên c u 38 2.2.1.2 M u nghiên c u d li u nghiên c u 39 2.2 u 40 2.2.1.4 Mơ hình nghiên c xu t 40 2.2.1.5 Mơ hình tốn nghiên c 2.2.1.6 Mô t xu t 41 ng bi n 41 2.2.2 Phân tích d li u k t qu nghiên c u 43 2.2.2.1 Phân tích th ng kê mơ t 43 2.2.2.2 Ki m tra tính d ng 44 2.2 tr 2.2 ng liên k t 47 nh mô hình quan h dài h n gi a bi n nghiên c u 49 2.2.3 K t qu nghiên c u 51 TÓM T 55 M TS i v i ho iv GI I PHÁP NH M PHÁT TRI N TTCK VI T NAM c 56 u hành sách, qu n lý th ng 58 K T LU N CHUNG 61 TÀI LI U THAM KH O PH L C DANH M C CÁC CH ADF (Augemented Dicky-Fuller): Ki VI T T T nh ADF (m r ng c a ki nh DF) CPI (Consume price index): Ch s giá tiêu dùng DF (Dicky-Fuller): Ki nh Dicky-Fuller ECM (Error correction model): Mơ hình hi u ch nh sai s Eview (Econometric Views): Ph n m m th ng kê Eview EX (Exchange rate of USD): T HOSE (HoChiMinh Stock Exchange): S giao d ch ch ng khoán thành ph H Chí Minh HNX (Hanoi Stock Exchange): S giao d ch ch ng khoán Hà N i HNX Index: Ch s giá ch ng khoán sàn Hà n i IP (Industrial output): S ng công nghi p M2: cung ti n M2 t OP (Oil price): Giá d u TTCK: Th ng ch ng khoán VECM (Vector error correction model): Mơ hình vecto hi u ch nh sai s VN: Vi t Nam VN-INDEX (Vi t Nam Stock Index): Ch s giá ch ng khoán Vi t Nam UBCKNN: y ban ch c DANH M C B NG BI U, BI B ng bi u B ng 2.1 : Quy mô giao d n 2000-2005 B ng 2.2: Th ng kê giao d ch VN-Index n B ng 2.3 B ng tóm t t bi n mơ hình B ng 2.4 K t qu phân tích th ng kê mô t cho chu i s li u B ng 2.5 K t qu ki nh nghi (Unit Root Test ) cho chu i s li u nghiên c u B ng 2.7 K t qu ki ng liên k t Bi Bi 2.1 Di n bi n VN- Bi 2.2 Di n bi n VN- 2007 Bi 2.3 Di n bi n VN- 2013 2.1 Mơ hình nghiên c n 2000 xu t 2005 PH N M Lý ch U tài nghiên c u Trong n n kinh t hi tr ng b i i th ng ch m t vai trò r t quan ng v n l n h u hi u cho n n kinh t cung c p m t mô ng c Ngồi th ng th i ch c, cá nhân c c l n ngồi ng ch ng khốn doanh nghi p hàn th bi u c a n n kinh t Vai trò quan tr ng c a th kinh t th ng ch ng khoán th t s ng ch ng khoán có m i quan h t Th ng ch ng khoán ho th ng Nhi u nghiên c u th gi iv in n i y u t kinh ng hi u qu n n kinh t ng r ng y u t kinh t ng nhi u lên ch s giá ch ng khoán, tùy thu c vào t ng th v i nh ng ng m khác c a n n kinh t , th m chí có nh ng k t qu nghiên c u trái chi u v ng c a nhân t kinh t ch s giá ch ng khoán N n kinh t Vi t Nam m t n n kinh t m i n i, thu c nhóm qu phát tri n, v i th ng ch ng khốn cịn non tr , tr ho có nh nhi a nh ng nghiên c u nh m hoàn thi n thêm cho th nh cho n n kinh t , nhiên v n cịn c n khốn, c v phía sách qu doanh ch p c bi ng ch ng u hành, c v ng qua l i c ng ch ng khốn Vì v y n i dung nghiên c u này, hy v ng có th tìm hi u chi ti ng c a y u t kinh t Nam lên ch s giá VN n t thành l p th M n u Nghiên c u nh m tìm hi c a th n kinh t Vi t ng c a nhân t kinh t ng ch ng khoán Vi t Nam (c th lên ch s giá VN ng c a nhân t này, t iv ng c a nhân t kinh t s giá Index), nh m quy p th t kinh t bi ng c a nhân n kinh t Vi c hoàn thi ho ng r t nhi n th ng ch ng khốn Vì v y nghiên c u mong mu n góp m t ph ng cơng c hồn thi n a, ph c v cho nhu c t cách chuyên nghi p c a ng ph m vi nghiên c u ng nghiên c u: Các nhân t kinh t ng c a lên ch s giá VN Index Theo nh ng nghiên c r t nhi u nh ng nhân t kinh t nhiên, gi i h n c a n n kinh t Vi t Nam ng lên ch s giá ch ng khoán, tài này, nghiên c u ch xin t p trung vào ba nhân t kinh t c nhi u nghiên c u khác th gi i ch r ng có tác n th ng ch ng khốn ho nghiên c u cho th ng kinh t th c, cung ti n giá d ng ch ng khoán Vi t Nam, v i mong mu v ba nhân t Ph m vi nghiên c u: t kinh t tài t p trung vào nghiên c ng c a nhân ch s VN-Index, quy mơ niêm y t, ng giao d ch, kh v i h u h t doanh nghi p l n n n kinh t Vi t Nam tham gia niêm y t S giao d ch ch ng khoán TP.HCM, i di n t t cho bi v i ch s HNXng kinh t th d u ng c a th ng, bi có kh ng c a n n kinh t ng th i nghiên c u s t p trung vào ba nhân t ho t i di n b ng giá tr s ng công nghi p, cung ti n M2 giá n 2000 -2012 ng c a bi n lên ch s VN-Index u Thông qua nghiên c mô lên ch s giá c a th liên quan th ng ch ng khoán ng ch ng khoán Vi t Nam, t ng lên ch s giá th tài ng c a nhân t kinh t qu c gia nghiên c u có a ch n nhân t kinh t ng ch ng khốn, xây d ng mơ hình nghiên c u ng th i áp d nc ng, th ng kê, s d ng d li u v bi ng c a nhân t kinh t công nghi p, cung ti n M2, giá d u, ch s giá th n 2000 phân tích m bao g m s ng ng ch ng khoán giai ng c a nhân t kinh t lên ch s giá VNIndex Nghiên c u s d i quan h dài h n gi a nhân t v i bi ng c a VN - Index nh m xây d ng mơ hình phù h p, ph c v cho ho ng ch ng khoán mm ic tài tài ti n hành nghiên c u v i m t s nhân t kinh t nghiên c u nhi u v ng c a lên th c ng ch ng khoán Vi t Nam s n ng công nghi p, cung ti n M2, giá d u th gi ng th i nghiên c u s tr ng vào m c tiêu cung c p nh ng thông tin, công c ph c v u Vi c Tóm t t n i dung lu T ng quan v giá c phi u th n ch s ng ch ng khoán Th c tr ng v th ng c a nhân t kinh t : M t s gi ch ng khoán Vi t Nam ng c a nhân t kinh t ng ch ng khoán Vi t Nam s giá VN i v i ho tác Index n lý th ng 2010 Jul 2010 Aug 2010 Sep 2010 Oct 2010 Nov 2010 Dec 2011 Jan 2011 Feb 2011 Mar 2011 Apr 2011 May 2011 Jun 2011 Jul 2011 Aug 2011 Sep 2011 Oct 2011 Nov 2011 Dec 2012 Jan 2012 Feb 2012 Mar 2012 Apr 2012 May 2012 Jun 2012 Jul 2012 Aug 2012 Sep 2012 Oct 2012 Nov 2012 Dec 2013 Jan 2013 Feb 2013 Mar 2013 Apr 11,134939 11,149269 11,167021 11,185740 11,175255 11,228824 11,208368 11,162431 11,133391 11,179283 11,212293 11,229567 11,226607 11,205649 11,280350 11,237383 11,253141 11,301144 11,184076 11,362102 11,196366 11,251604 11,278081 11,306528 11,285818 11,248709 11,372929 11,292818 11,339701 11,387539 11,355016 11,115489 11,392362 11,408236 14,592242 14,629701 14,659240 14,665477 14,673625 14,723088 14,725417 14,736967 14,729968 14,725386 14,725915 14,749538 14,763518 14,816701 14,798995 14,784416 14,790972 14,835902 14,836903 14,835846 14,854849 14,868986 14,887633 14,909809 14,921763 14,941602 14,962812 14,969354 14,996953 15,055397 15,082826 15,095307 15,115794 15,119180 4,311068 4,329153 4,332180 4,403299 4,437107 4,500587 4,528937 4,582209 4,688132 4,756345 4,683797 4,662023 4,681019 4,609660 4,613436 4,604370 4,657383 4,646888 4,671800 4,724729 4,768903 4,734003 4,645928 4,507888 4,572130 4,656623 4,666453 4,715906 4,691898 4,695833 4,727034 4,754021 4,686474 4,627421 6,217230 6,128339 6,119122 6,116589 6,089478 6,161956 6,203833 6,208759 6,144310 6,136157 6,104779 6,084844 6,034763 5,987176 6,104600 6,026189 5,975398 5,909447 5,877230 6,012513 6,089380 6,133483 6,121994 6,056735 6,028285 6,027179 5,976183 5,972080 5,945971 5,976352 6,119165 6,179212 6,173966 6,194888 PH L C K T QU PHÂN TÍCH TH NG KÊ MÔ T Mean Median Maximum Minimum Std Dev Skewness Kurtosis LNVNI 5.892016 5.975790 7.013004 4.907112 0.508574 0.158881 2.538811 LNIP 10.65208 10.75320 11.40824 9.721468 0.484034 -0.226873 1.758697 LNM2 13.69233 13.73977 15.11918 12.24712 0.898282 -0.063251 1.612263 LNOP 4.024336 4.123254 4.886960 2.918851 0.545268 -0.323324 1.835610 Jarque-Bera Probability 1.934287 0.380167 10.77143 0.004582 11.97454 0.002511 10.93942 0.004212 Sum Sum Sq Dev 872.0184 38.02123 1576.508 34.44053 2026.465 118.6157 595.6017 43.70567 Observations 148 148 148 148 PH L C K T QU KI NH TÍNH D NG Null Hypothesis: LNVNI has a unit root Exogenous: Constant Lag Length: (Automatic based on AIC, MAXLAG=13) t-Statistic -2.149669 -3.478189 -2.882433 -2.577990 Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* 0.2259 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNVNI) Method: Least Squares Date: 09/11/13 Time: 00:25 Sample (adjusted): 2001M11 2013M04 Included observations: 138 after adjustments Variable Coefficient Std Error t-Statistic Prob LNVNI(-1) D(LNVNI(-1)) D(LNVNI(-2)) D(LNVNI(-3)) D(LNVNI(-4)) D(LNVNI(-5)) D(LNVNI(-6)) D(LNVNI(-7)) D(LNVNI(-8)) D(LNVNI(-9)) C -0.030915 0.476773 -0.031174 -0.057039 0.006292 0.228604 -0.178715 0.040962 -0.018598 0.211272 0.185175 0.014381 0.084914 0.094966 0.093596 0.091303 0.087315 0.089669 0.090429 0.090394 0.079845 0.084986 -2.149669 5.614784 -0.328259 -0.609421 0.068909 2.618151 -1.993046 0.452977 -0.205744 2.646033 2.178901 0.0335 0.0000 0.7433 0.5433 0.9452 0.0099 0.0484 0.6513 0.8373 0.0092 0.0312 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.309826 0.255482 0.080922 0.831638 156.8877 5.701165 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.005382 0.093784 -2.114314 -1.880982 -2.019494 1.862946 Null Hypothesis: LNIP has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on AIC, MAXLAG=13) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level Prob.* -1.733308 -4.023975 -3.441777 0.7314 10% level -3.145474 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNIP) Method: Least Squares Date: 09/11/13 Time: 00:26 Sample (adjusted): 2001M07 2013M04 Included observations: 142 after adjustments Variable Coefficient Std Error t-Statistic Prob LNIP(-1) D(LNIP(-1)) D(LNIP(-2)) D(LNIP(-3)) D(LNIP(-4)) D(LNIP(-5)) C @TREND(2001M01) -0.206513 -0.664622 -0.576522 -0.400158 -0.264508 -0.227965 2.075759 0.002125 0.119144 0.131866 0.138202 0.134595 0.118213 0.089104 1.166672 0.001344 -1.733308 -5.040126 -4.171599 -2.973052 -2.237544 -2.558414 1.779215 1.581407 0.0853 0.0000 0.0001 0.0035 0.0269 0.0116 0.0775 0.1161 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.455804 0.427376 0.074524 0.744203 171.3508 16.03357 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.010858 0.098482 -2.300716 -2.134190 -2.233046 1.972326 Null Hypothesis: LNM2 has a unit root Exogenous: Constant, Linear Trend Lag Length: 12 (Automatic based on AIC, MAXLAG=13) t-Statistic -2.047506 -4.027463 -3.443450 -3.146455 Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* 0.5698 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNM2) Method: Least Squares Date: 09/11/13 Time: 00:26 Sample (adjusted): 2002M02 2013M04 Included observations: 135 after adjustments Variable Coefficient Std Error t-Statistic Prob LNM2(-1) -0.047425 0.023162 -2.047506 0.0428 D(LNM2(-1)) D(LNM2(-2)) D(LNM2(-3)) D(LNM2(-4)) D(LNM2(-5)) D(LNM2(-6)) D(LNM2(-7)) D(LNM2(-8)) D(LNM2(-9)) D(LNM2(-10)) D(LNM2(-11)) D(LNM2(-12)) C @TREND(2001M01) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.160640 0.066652 0.138616 0.111129 -0.036580 0.080307 -0.048975 -0.064911 -0.011439 -0.136171 0.097986 0.386238 0.579790 0.000998 0.243242 0.154953 0.015873 0.030235 375.7148 2.755080 0.001440 0.085310 0.086524 0.084968 0.085825 0.087489 0.086994 0.087267 0.086772 0.086673 0.085896 0.086744 0.086535 0.276960 0.000495 1.883013 0.770335 1.631388 1.294839 -0.418113 0.923122 -0.561205 -0.748062 -0.131974 -1.585300 1.129598 4.463364 2.093407 2.017031 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.0621 0.4426 0.1054 0.1979 0.6766 0.3578 0.5757 0.4559 0.8952 0.1155 0.2609 0.0000 0.0384 0.0459 0.019718 0.017267 -5.343922 -5.021114 -5.212742 1.878797 Null Hypothesis: LNOP has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on AIC, MAXLAG=13) t-Statistic -2.479435 -4.024452 -3.442006 -3.145608 Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* 0.3379 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNOP) Method: Least Squares Date: 09/11/13 Time: 00:27 Sample (adjusted): 2001M08 2013M04 Included observations: 141 after adjustments Variable Coefficient Std Error t-Statistic Prob LNOP(-1) D(LNOP(-1)) D(LNOP(-2)) D(LNOP(-3)) D(LNOP(-4)) D(LNOP(-5)) D(LNOP(-6)) C @TREND(2001M01) -0.086520 0.330050 0.124323 -0.024626 -0.007724 0.127305 -0.200462 0.284430 0.000946 0.034895 0.082516 0.087437 0.087541 0.087151 0.086341 0.084558 0.109419 0.000442 -2.479435 3.999844 1.421858 -0.281308 -0.088622 1.474444 -2.370693 2.599448 2.139492 0.0144 0.0001 0.1574 0.7789 0.9295 0.1427 0.0192 0.0104 0.0342 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.217382 0.169951 0.076540 0.773297 166.9422 4.583087 0.000060 Ki sai phân b c nh tính d ng Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.010047 0.084011 -2.240315 -2.052097 -2.163830 1.952259 Null Hypothesis: D(LNVNI) has a unit root Exogenous: Constant Lag Length: 13 (Automatic based on AIC, MAXLAG=13) t-Statistic -3.354560 -3.480038 -2.883239 -2.578420 Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* 0.0144 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNVNI,2) Method: Least Squares Date: 09/11/13 Time: 00:27 Sample (adjusted): 2002M04 2013M04 Included observations: 133 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LNVNI(-1)) D(LNVNI(-1),2) D(LNVNI(-2),2) D(LNVNI(-3),2) D(LNVNI(-4),2) D(LNVNI(-5),2) D(LNVNI(-6),2) D(LNVNI(-7),2) D(LNVNI(-8),2) D(LNVNI(-9),2) D(LNVNI(-10),2) D(LNVNI(-11),2) D(LNVNI(-12),2) D(LNVNI(-13),2) C -0.596899 0.163945 0.019290 0.032639 -0.041762 0.141426 -0.093369 -0.007031 -0.090039 0.192057 0.065331 0.188994 0.006468 0.165985 0.005174 0.177937 0.178148 0.170995 0.167702 0.160731 0.157323 0.147422 0.139510 0.125759 0.119122 0.106364 0.094619 0.085056 0.078597 0.006709 -3.354560 0.920271 0.112812 0.194622 -0.259829 0.898953 -0.633347 -0.050396 -0.715966 1.612275 0.614217 1.997420 0.076043 2.111840 0.771273 0.0011 0.3593 0.9104 0.8460 0.7954 0.3705 0.5277 0.9599 0.4754 0.1096 0.5403 0.0481 0.9395 0.0368 0.4421 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic 0.400413 0.329276 0.076916 0.698103 160.3888 5.628723 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.000591 0.093918 -2.186297 -1.860318 -2.053832 1.975060 Prob(F-statistic) 0.000000 Null Hypothesis: D(LNIP) has a unit root Exogenous: Constant, Linear Trend Lag Length: 10 (Automatic based on AIC, MAXLAG=13) t-Statistic -6.186891 -4.026942 -3.443201 -3.146309 Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNIP,2) Method: Least Squares Date: 09/11/13 Time: 00:27 Sample (adjusted): 2002M01 2013M04 Included observations: 136 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LNIP(-1)) D(LNIP(-1),2) D(LNIP(-2),2) D(LNIP(-3),2) D(LNIP(-4),2) D(LNIP(-5),2) D(LNIP(-6),2) D(LNIP(-7),2) D(LNIP(-8),2) D(LNIP(-9),2) D(LNIP(-10),2) C @TREND(2001M01) -5.762197 3.892936 3.131986 2.522684 2.089982 1.704981 1.499799 1.220835 0.863460 0.586075 0.261577 0.085893 -0.000305 0.931356 0.897392 0.842630 0.770065 0.689835 0.603010 0.503794 0.401986 0.295535 0.188732 0.090978 0.019877 0.000169 -6.186891 4.338055 3.716917 3.275936 3.029685 2.827450 2.977012 3.037009 2.921680 3.105324 2.875173 4.321223 -1.801323 0.0000 0.0000 0.0003 0.0014 0.0030 0.0055 0.0035 0.0029 0.0041 0.0024 0.0048 0.0000 0.0741 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.831823 0.815415 0.074489 0.682485 167.0619 50.69756 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.000571 0.173379 -2.265616 -1.987201 -2.152475 2.056619 Null Hypothesis: D(LNM2) has a unit root Exogenous: Constant, Linear Trend Lag Length: 12 (Automatic based on AIC, MAXLAG=13) t-Statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level -2.801879 -4.027959 -3.443704 -3.146604 0.1993 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNM2,2) Method: Least Squares Date: 09/11/13 Time: 00:28 Sample (adjusted): 2002M03 2013M04 Included observations: 134 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LNM2(-1)) D(LNM2(-1),2) D(LNM2(-2),2) D(LNM2(-3),2) D(LNM2(-4),2) D(LNM2(-5),2) D(LNM2(-6),2) D(LNM2(-7),2) D(LNM2(-8),2) D(LNM2(-9),2) D(LNM2(-10),2) D(LNM2(-11),2) D(LNM2(-12),2) C @TREND(2001M01) -0.705574 -0.103887 -0.062790 0.029237 0.103469 0.008649 0.044810 -0.030117 -0.118453 -0.145792 -0.301352 -0.213201 0.147282 0.015779 -2.19E-05 0.251822 0.248865 0.235134 0.218221 0.204415 0.190155 0.178682 0.168694 0.157257 0.147763 0.134521 0.117397 0.091018 0.006156 3.58E-05 -2.801879 -0.417444 -0.267039 0.133977 0.506171 0.045483 0.250781 -0.178528 -0.753243 -0.986659 -2.240186 -1.816066 1.618157 2.562965 -0.612185 0.0059 0.6771 0.7899 0.8936 0.6137 0.9638 0.8024 0.8586 0.4528 0.3258 0.0269 0.0719 0.1083 0.0116 0.5416 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.541869 0.487971 0.015888 0.030040 372.8684 10.05363 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 5.54E-05 0.022204 -5.341319 -5.016934 -5.209500 2.014538 Null Hypothesis: D(LNOP) has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on AIC, MAXLAG=13) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values Prob.* -6.066165 -4.024452 -3.442006 -3.145608 0.0000 Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNOP,2) Method: Least Squares Date: 09/11/13 Time: 00:28 Sample (adjusted): 2001M08 2013M04 Included observations: 141 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LNOP(-1)) D(LNOP(-1),2) D(LNOP(-2),2) D(LNOP(-3),2) D(LNOP(-4),2) D(LNOP(-5),2) C @TREND(2001M01) -0.912692 0.214289 0.294338 0.222954 0.174098 0.259555 0.015330 -7.75E-05 0.150456 0.139722 0.125853 0.113519 0.101371 0.082685 0.014166 0.000161 -6.066165 1.533678 2.338737 1.964024 1.717432 3.139074 1.082142 -0.480060 0.0000 0.1275 0.0208 0.0516 0.0882 0.0021 0.2811 0.6320 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) K t qu ki 0.395239 0.363409 0.078007 0.809312 163.7330 12.41737 0.000000 ng Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.000176 0.097769 -2.208979 -2.041673 -2.140992 1.975808 sai phân Null Hypothesis: D(LNM2,2) has a unit root Exogenous: Constant, Linear Trend Lag Length: 10 (Automatic based on AIC, MAXLAG=13) t-Statistic -8.377832 -4.027463 -3.443450 -3.146455 Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNM2,3) Method: Least Squares Date: 09/11/13 Time: 00:28 Sample (adjusted): 2002M02 2013M04 Included observations: 135 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LNM2(-1),2) D(LNM2(-1),3) D(LNM2(-2),3) D(LNM2(-3),3) -6.553653 4.752766 4.046599 3.504764 0.782261 0.745498 0.695621 0.632419 -8.377832 6.375290 5.817250 5.541834 0.0000 0.0000 0.0000 0.0000 D(LNM2(-4),3) D(LNM2(-5),3) D(LNM2(-6),3) D(LNM2(-7),3) D(LNM2(-8),3) D(LNM2(-9),3) D(LNM2(-10),3) C @TREND(2001M01) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 3.089350 2.640528 2.280358 1.877822 1.422340 0.976064 0.419837 0.000266 -3.09E-06 0.825642 0.808492 0.016398 0.032806 370.2067 48.14246 0.000000 0.564854 0.494895 0.417184 0.339134 0.253850 0.164561 0.083547 0.003224 3.62E-05 5.469286 5.335537 5.466078 5.537103 5.603060 5.931321 5.025147 0.082423 -0.085189 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.9344 0.9323 -0.000141 0.037472 -5.291952 -5.012184 -5.178262 1.887578 PH L C K T QU TR THEO TIÊU CHU N AIC VAR Lag Order Selection Criteria Endogenous variables: LNVNI LNIP LNM2 LNOP Exogenous variables: C Date: 09/11/13 Time: 00:29 Sample: 2001M01 2013M04 Included observations: 143 Lag LogL LR FPE AIC SC HQ -56.84744 856.4272 891.0429 907.1765 919.1526 926.0147 NA 1762.684 64.87418 29.33372* 21.10475 11.70880 2.75e-05 9.76e-11 7.53e-11 7.53e-11* 7.98e-11 9.11e-11 0.851013 -11.69828 -11.95864 -11.96051* -11.90423 -11.77643 0.933890 -11.28390* -11.21275 -10.88311 -10.49533 -10.03602 0.884690 -11.52990 -11.65555* -11.52271 -11.33172 -11.06921 * 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 PH L C K T QU KI NG LIÊN K T JOHANSEN Sample (adjusted): 2001M06 2013M04 Included observations: 143 after adjustments Trend assumption: Linear deterministic trend Series: LNVNI LNIP LNM2 LNOP 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 At most 0.228511 0.076633 0.061819 0.004118 58.21531 21.11647 9.715254 0.590132 47.85613 29.79707 15.49471 3.841466 0.0040 0.3504 0.3033 0.4424 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 At most 0.228511 0.076633 0.061819 0.004118 37.09884 11.40122 9.125122 0.590132 27.58434 21.13162 14.26460 3.841466 0.0022 0.6073 0.2759 0.4424 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): LNVNI -0.917171 2.697276 1.307036 -0.446389 LNIP -31.57641 -2.763056 6.926279 3.716972 LNM2 12.90559 2.332303 -5.440364 -2.986983 LNOP 7.326613 -3.693537 2.347756 0.076221 Unrestricted Adjustment Coefficients (alpha): D(LNVNI) D(LNIP) D(LNM2) D(LNOP) -0.007897 0.023337 -0.001491 -0.019942 Cointegrating Equation(s): -0.016549 0.006218 0.000535 0.009982 -0.010071 -0.006638 0.001713 -0.011835 Log likelihood 915.4565 0.002393 0.002672 0.000844 0.000360 Normalized cointegrating coefficients (standard error in parentheses) LNVNI LNIP LNM2 LNOP 1.000000 34.42807 -14.07109 -7.988278 (5.61849) (2.51962) (1.31989) Adjustment coefficients (standard error in parentheses) D(LNVNI) 0.007243 (0.00677) D(LNIP) -0.021404 (0.00568) D(LNM2) 0.001367 (0.00125) D(LNOP) 0.018291 (0.00577) Cointegrating Equation(s): Log likelihood 921.1571 Normalized cointegrating coefficients (standard error in parentheses) LNVNI LNIP LNM2 LNOP 1.000000 0.000000 0.433124 -1.560610 (0.34626) (0.57586) 0.000000 1.000000 -0.421290 -0.186698 (0.01859) (0.03091) Adjustment coefficients (standard error in parentheses) D(LNVNI) -0.037395 0.295079 (0.02061) (0.22929) D(LNIP) -0.004632 -0.754092 (0.01756) (0.19541) D(LNM2) 0.002811 0.045595 (0.00388) (0.04315) D(LNOP) 0.045214 0.602130 (0.01773) (0.19724) Cointegrating Equation(s): Log likelihood 925.7197 Normalized cointegrating coefficients (standard error in parentheses) LNVNI LNIP LNM2 LNOP 1.000000 0.000000 0.000000 -0.763968 (0.20485) 0.000000 1.000000 0.000000 -0.961575 (0.09747) 0.000000 0.000000 1.000000 -1.839293 (0.23207) Adjustment coefficients (standard error in parentheses) D(LNVNI) -0.050558 0.225326 -0.085722 (0.02250) (0.23288) (0.10191) D(LNIP) -0.013308 -0.800065 0.351796 (0.01923) (0.19910) (0.08713) D(LNM2) 0.005051 0.057461 -0.027311 (0.00424) (0.04388) (0.01920) D(LNOP) 0.029746 0.520160 -0.169704 (0.01922) (0.19896) (0.08707) PH L C 10 K T QU MƠ HÌNH VECM B NG EVIEW 6.0 Vector Error Correction Estimates Sample (adjusted): 2001M05 2013M04 Included observations: 144 after adjustments Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq1 LNVNI(-1) 1.000000 LNIP(-1) 26.31404 (4.31704) [ 6.09539] LNM2(-1) -10.78964 (1.95372) [-5.52262] LNOP(-1) -6.235267 (1.03937) [-5.99909] C -113.4247 Error Correction: D(LNVNI) D(LNIP) D(LNM2) D(LNOP) CointEq1 0.005654 (0.00785) [ 0.72007] -0.025259 (0.00646) [-3.91249] 0.001535 (0.00141) [ 1.08782] 0.021334 (0.00673) [ 3.17200] D(LNVNI(-1)) 0.493862 (0.08739) [ 5.65119] 0.018775 (0.07186) [ 0.26129] 0.034081 (0.01571) [ 2.16972] -0.056165 (0.07486) [-0.75030] D(LNVNI(-2)) -0.164460 (0.09658) [-1.70279] 0.015590 (0.07941) [ 0.19631] -0.002731 (0.01736) [-0.15730] 0.113377 (0.08273) [ 1.37045] D(LNVNI(-3)) -0.112997 (0.08694) [-1.29974] 0.096633 (0.07148) [ 1.35180] 0.008706 (0.01563) [ 0.55714] -0.164401 (0.07447) [-2.20765] D(LNIP(-1)) -0.189381 (0.19009) [-0.99628] -0.261072 (0.15630) [-1.67035] -0.020883 (0.03417) [-0.61121] -0.374692 (0.16282) [-2.30122] D(LNIP(-2)) -0.199052 (0.15937) [-1.24896] -0.192996 (0.13104) [-1.47276] -0.013975 (0.02865) [-0.48786] -0.314772 (0.13651) [-2.30578] D(LNIP(-3)) -0.108376 (0.11395) [-0.95112] -0.068088 (0.09369) [-0.72673] -0.001263 (0.02048) [-0.06169] -0.013831 (0.09760) [-0.14171] D(LNM2(-1)) 1.095656 (0.49327) [ 2.22121] 0.328140 (0.40559) [ 0.80905] 0.054946 (0.08866) [ 0.61974] 0.153039 (0.42252) [ 0.36221] D(LNM2(-2)) 0.248920 (0.49726) [ 0.50058] -0.577319 (0.40887) [-1.41198] -0.102221 (0.08938) [-1.14370] 0.425575 (0.42594) [ 0.99914] D(LNM2(-3)) 0.267819 (0.48043) [ 0.55746] 0.691781 (0.39503) [ 1.75121] 0.124786 (0.08635) [ 1.44508] -0.004793 (0.41152) [-0.01165] D(LNOP(-1)) -0.044206 (0.09960) [-0.44385] 0.031423 (0.08189) [ 0.38372] -0.032803 (0.01790) [-1.83243] 0.382582 (0.08531) [ 4.48456] D(LNOP(-2)) 0.235658 (0.10484) [ 2.24787] -0.078490 (0.08620) [-0.91055] -0.023652 (0.01884) [-1.25519] 0.095506 (0.08980) [ 1.06354] D(LNOP(-3)) 0.125966 (0.10359) [ 1.21597] -0.044637 (0.08518) [-0.52404] -0.030034 (0.01862) [-1.61302] 0.045566 (0.08873) [ 0.51351] C -0.027256 (0.01834) [-1.48585] 0.008034 (0.01508) [ 0.53263] 0.019206 (0.00330) [ 5.82518] 0.000651 (0.01571) [ 0.04141] 0.300149 0.230164 1.041653 0.089514 4.288757 150.5612 -1.896683 -1.607951 0.003391 0.102021 0.485552 0.434107 0.704246 0.073602 9.438304 178.7446 -2.288119 -1.999387 0.011000 0.097842 0.169588 0.086547 0.033652 0.016089 2.042222 397.7002 -5.329170 -5.040438 0.019654 0.016834 0.236938 0.160632 0.764275 0.076675 3.105092 172.8550 -2.206320 -1.917588 0.009601 0.083691 R-squared Adj R-squared Sum sq resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion 5.67E-11 3.77E-11 910.8125 -11.81684 -10.57942 ... th GIÁ C NG C A CÁC NHÂN T PHI U TRÊN TTCK ng ch ng khoán 1.1.1 Khái ni m, phân lo i v th 1.1.2 Các hàng hóa th 1.1.3 Ch KINH T a th ng ch ng khoán ng ch ng khoán ng ch ng khoán. .. s giá c phi ng c a nhân t kinh t n ch s giá c phi u 1.2.1 T ng quan v ch s giá c phi u 1.2.2 M t s 1.2.3 Tác s giá c phi u ng c a m t s nhân t kinh t ng lên ch s giá. .. ng quan v giá c phi u th n ch s ng ch ng khoán Th c tr ng v th ng c a nhân t kinh t : M t s gi ch ng khoán Vi t Nam ng c a nhân t kinh t ng ch ng khoán Vi t Nam s giá VN i v i ho tác Index n