The impacts of capital flows on vietnam stock market

INSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDS UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAM VIETNAM- NETHERLANDS PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS THE IMPACTS OF CAPITAL FLOWS ON VIETNAM STOCK MARKET BY TRAN TUYET HANH MASTER OF ARTS IN DEVELOPMENT ECONOMICS HO CHI MINH CITY, NOVEMBER 2012 INSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDS UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAM VIETNAM- NETHERLANDS PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS THE IMPACTS OF CAPITAL FLOWS ON VIETNAM STOCK MARKET A thesis submitted in partial fulfilment of the requirements for the degree of MASTER OF ARTS IN DEVELOPMENT ECONOMICS By TRAN TUYET HANH Academic Supervisor: DR NGUYEN HOANG VU HO CHI MINH CITY, NOVEMBER 2012 DECLARATION 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 I also certify that, to the best of my knowledge, and help received in preparing the thesis and all sources used have been acknowledged in the thesis Signature TRAN TUYET HANH Date: ACKNOWLEDGMENTS i I would like to express my gratitude to all those who gave me the possibility to complete this thesis I am deeply grateful to my supervisor Dr Nguyen Hoang Vu from Department of Mathematic and Statistics, Dr Nguyen Trong Hoai-Vice President, Dr Pham Khanh Nam from Department of Development Economics , University of Economics Ho Chi Minh City whose support, stimulating suggestions and encouragement helped me in all the time of research for writing this thesis I am also very grateful to all lecturers of the Vietnam-Netherlands Programme for giving me knowledge and guidance to fulfill the M.A Programme I would like to thank all the members of the Vietnam-Netherlands Program, especially, VNP Library for helping me to have necessary documents and research papers during my completion of the thesis Finally, I am indebted to my parents whose love, sympathy and encouragement enabled me to complete this thesis encouragement I am also thankful to my classmates for their warm ACRONYMS AND ABBREVIATIONS FDI Foreign Direct Investment FPI Foreign Portfolio Investment FII Foreign Indirect Investment WTO World Trade Organization VSM Vietnam Stock Market HOSE Hochiminhcity Stock Exchange HNX Hanoi Stock Exchange PIE 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 ABSTRACT This thesis investigates the impacts of FPI flows on Vietnam stock market (VSM) 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 fully effective? We use the mol!thly time series data of VN-Index and FPI flows from July 2000 to June 2012 to analysis In order to calculate the growth rate of VN-Index, we take logarithm ofVN-Index series and denote it as Delta-VN Then, we adopt various techniques on time series regression such as unit root test using both Augmented Dickey Fuller (ADF) test and Phillips Peron (PP) test for stationary, co-integration test using Engle &Granger approach and Johansen approach for examining the existence of a long-run relationship between two variables, Granger Causality test for checking the existence and direction of causality relationship between them, error correction models for investigating the existence of short-term relationship Moreover, we also apply Serial Correlation LM test, Heteroskedasticity ARCH test, Histogram Normality test to check the appropriateness of the estimated model The research findings show that there is an unilateral effect from FPI flows on Vietnam stock returns The thesis also illustrates 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 short-run impact from FPI on VSM which would be decreasing gradually since the third month TABLE OF CONTENTS CHAPTER INTRODUCTION ! 1.1 Problem statement 1.2 Research objectives 1.3 Research questions 1.4 Research scope 1.5 Structure of the thesis CHAPTER LITERATURE REVIEW 2.1 The role ofFPI on economic development 2.2 The role of Vietnam Stock Market 2.3 Theoretical framework 2.3.1Foreign Portfolio Investment and stock market 2.3.2 Conceptual framework 11 2.4 Empirical studies 13 2.5 Suggested research model 15 2.6 Chapter remark 16 CHAPTER3 RESEARCH METHODOLOGY&DATA COLLECTION 17 Econometric techniques 17 1.1 Stationary and unit root tests 17 1.2 Co integration 18 1.3 Granger Causality tests 18 3.1.4Error correction mechanism 19 • 3.2 Data collection 20 3 Data analysis 22 3.3.1 Dependent variable: Delta-VN 22 3.3.2 Independent variable: FPI 23 3.3.3 Interaction between FPI flows and VN-Index 23 13.3 Chapter remark 33 CHAPTER EMPIRICAL ANALYSIS 35 4.1 Structural Break Point test 35 4.2 Unit root test 35 4.3 Co-integration test 36 4.4 Granger Causality test 38 4.5 Error Correction Model 39 4.6 Chapter remark 38 CHAPTER CONCLUSION AND POLICY RECOMMENDATIONS 43 5.1 Main findings 5.2 Policy recommendation 44 5.3 Research limitation and suggestion for further study .45 REFERENCES 46 APPENDIX A DESCRIPTIVE STATISTIC 49 LIST OF GRAPHS Graph 3.3-1: Delta-VN=log(VN-IndexJVN-Index(-1)) 22 I Graph 3.3-2: Foreign portfolio investment flows (FPI) to Vietnam from July 2000 to June 2012 23 Graph 3.3-3: FPI&VN-Index from July 2000 to June 2012 24 LIST OF TABLES Table 4.1-1: Summary of structural breakpoint test 35 'fable 4.2-1: Summary of unit root test results 36 Table 4.3-1: Summary of unit root test results for residuals using ADF&PP test: Engle &Granger test 36 Table 4.3-2: Summary of Johansen cointegration tes~· 37 Table 4.3-3: Summary of Trace Statistic value 38 Table 4.4-1: Summary of Granger Causality test 38 Table 4.5-1: Summary of testing Vector Error Correction Model 39 Table 4.5-2: Summary of the tests for approriateness of the estimated model 41 LIST OF FIGURES Figure A-1: Structural Breakpoint Test for Delta-VN variable 49 I figure A-2: Structural Breakpoint Test for fPI variable 49 figure A-3: Unit root test for Delta-VN variable 50 figure A-4: Unit root test for FPI variable 52 figure A-5: Cointegration test (Engle &Granger method) for residuals from the linear regression for two variables 54 figure A-6: Results of the Johansen Cointegration test for model2 55 figure A-7: Results of the Johansen Cointegration test for model3 57 Figure A-8: Results of the Johansen Cointegration test for model4 58 Figure A-9: Results of the Granger Causality test 59 figure A-1 0: Results of the Vector Error Correction Model 60 Figure A-ll: Results of the Wald test 61 Figure A-12: Results of the Serial Correlation test 61 Figure A-13: Results of the Heteroscedastiscity test 63 Figure A-14: Results of the Histogram Normality test 64 • 8.928820 Ave Wald F-statistic 0.0000 Note: probabilities calculated using Hansen's (1997) method UNIT ROOT TEST Figure A-3: Unit root test for Delta- VN variable Null Hypothesis: DELTA_VN has a unit root Exogenous: None Lag Length: (Automatic based on AIC, MAXLAG=13) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -7.747132 -2.581349 -1.943090 -1.615220 0.0000 *MacKinnon (1996) one-sided p-values 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 Variable Coefficient Std Error t-Statistic 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 Mean dependent var S.D.dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter -0.000998 0.128106 -1.619476 -1.598661 -1.611018 Null Hypothesis: D(DELTA_VN) has a unit root Exogenous: None Lag Length: (Automatic based on AIC, MAXLAG=13) Augmented Dickey-Fuller test statistic 1% level Test critical values: 5% level 10% level *MacKinnon (1996) one-sided p-values 50 t-Statistic Prob.* -7.442385 -2.582334 -1.943229 -1.615134 0.0000 ; 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 Variable 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 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.718563 0.702928 0.110303 1.533000 109.3933 2.013382 Mean dependent var S.D.dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter -0.000211 0.202374 -1.513333 -1.340328 -1.443030 Null Hypothesis: DELTA_VN has a unit root Exogenous: None Bandwidth: (Newey-West using Bartlett kernel) Phillips-Perron test statistic 1% level Test critical values: 5% level 10% level Adj t-Stat Prob.* -7.547058 -2.581349 -1.943090 -1.615220 0.0000 *MacKinnon (1996) one-sided p-values Residual variance (no correction) HAC corrected variance (Bartlett kernel) 0.011431 0.009916 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 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 51 -0.000998 I • Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.298528 0.107294 1.623183 115.9828 1.889808 S.D dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.128106 -1.619476 -1.598661 -1.611018 Figure A-4: Unit root test for FPI variable Null Hypothesis: FPI has a unit root Exogenous: None Lag Length: 11 (Automatic based on AIC, MAXLAG=13) Augmented Dickey-Fuller test statistic 1% level Test critical values: 5% level 10% level t-Statistic Prob.* -2.424328 -2.582599 -1.943266 -1.615111 0.0154 *MacKinnon (1996) one-sided p-values 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 Variable Coefficient Std Error t-Statistic 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)) -0.218822 -0.295215 -0.386860 -0.265469 -0.038726 -0.104438 0.097404 -0.066258 0.201415 0.161526 0.201123 0.385354 0.090261 0.115002 0.118246 0.123793 0.126186 0.126672 0.126775 0.124123 0.122472 0.115021 0.104224 0.095011 -2.424328 -2.567042 -3.271659 -2.144462 -0.306894 -0.824474 0.768321 -0.533812 1.644580 1.404311 1.929707 4.055913 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.401647 0.346798 725.6456 63187389 -1050.502 1.976654 Mean dependent var S.D.dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter 52 Prob 0.0168 0.0115 0.0014 0.0340 0.7595 0.4113 0.4438 0.5945 0.1027 0.1628 0.0560 0.0001 -5.359318 897.8438 16.09851 16.36058 16.20500 • Null Hypothesis: D(FPI) has a unit root Exogenous: None Lag Length: 10 (Automatic based on AIC, MAXLAG=13) Augmented Dicke~-Fulr Test critical values: test statistic 1% level 5% level 10% level t-Statistic Prob.* -3.160326 -2.582599 -1.943266 -1.615111 0.0018 *MacKinnon (1996) one-sided p-values 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 • Variable Coefficient Std Error t-Statistic 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) -2.330280 0.848848 0.291185 -0.123095 -0.296988 -0.522515 -0.536323 -0.703872 -0.589072 -0.499387 -0.349596 0.737354 0.707379 0.664724 0.611144 0.546552 0.482092 0.408211 0.331670 0.247459 0.166924 0.095732 -3.160326 1.199991 0.438054 -0.201417 -0.543385 -1.083849 -1.313836 -2.122205 -2.380478 -2.991706 -3.651836 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.750172 0.729525 740.1261 66282183 -1053.657 1.948253 Mean dependent var S.D.dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter Pro b 0.0020 0.2325 0.6621 0.8407 0.5879 0.2806 0.1914 0.0359 0.0189 0.0034 0.0004 -6.313788 1423.121 16.13117 16.37141 16.22879 Null Hypothesis: FPI has a unit root Exogenous: None Bandwidth: (Newey-West using Bartlett kernel) Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values 53 Adj t-Stat Prob.* -6.257924 -2.581233 -1.943074 -1.615231 0.0000 593694.0 717377.4 Residual variance (no correction) HAC corrected variance (Bartlett kernel) 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 Variable Coefficient Std Error t-Statistic Prob FPI(-1) -0.394015 0.066950 -5.885197 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.196058 0.196058 773.2237 84898244 -1153.438 2.088824 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 COINTEGRATION TEST Figure A-5: Co- integration test (Engle & Granger method) for residuals from the linear regression oftwo variables Null Hypothesis: RES03 has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=13) Augmented Dickey-Fuller test statistic 1% level Test critical values: 5% level 10% level t-Statistic Prob.* -7.676256 -2.581349 -1.943090 -1.615220 0.0000 *MacKinnon (1996) one-sided p-values • 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 Variable Coefficient Std Error t-Statistic Prob RES03(-1) -0.585361 0.076256 -7.676256 0.0000 54 ~ R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.294700 0.294700 0.104857 1.550294 119.2449 1.899303 -0.000885 0.124856 -1.665421 -1.644605 -1.656962 Mean dependent var S.D.dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter Null Hypothesis: RES03 has a unit root Exogenous: None Bandwidth: (Newey-West using Bartlett kernel) Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) ~me-sid Adj t-Stat Prob.* -7.522647 -2.581349 -1.943090 -1.615220 0.0000 p-values Residual variance (no correction) HAC corrected variance (Bartlett kernel) 0.010918 0.009825 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 Variable Coefficient Std Error t-Statistic Prob RES03(-1) -0.585361 0.076256 -7.676256 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat ' 0.294700 0.294700 0.104857 1.550294 119.2449 1.899303 Mean dependent var S.D.dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter -0.000885 0.124856 -1.665421 -1.644605 -1.656962 THREE MODELS IN TESTING FOR COINTEGRATION Figure A-6: Results of the Johansen test for model 2: Date: 10/22/12 Time: 00:29 Sample (adjusted): 2001 M09 2012M06 55 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) Hypothesized No of CE(s) Eigenvalue Trace Statistic 0.05 Critical Value Prob.** None* At most * 0.106132 0.075793 24.83223 10.24654 20.26184 9.164546 0.0109 0.0311 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 Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized No of CE(s) Eigenvalue Max-Eigen Statistic 0.05 Critical Value Prob.** None At most * 0.106132 0.075793 14.58569 10.24654 15.89210 9.164546 0.0793 0.0311 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 Unrestricted Cointegrating Coefficients (normalized by b'*S11 *b=l): DELTA_VN 33.08945 -0.958920 FPI 9.76E-05 -0.001951 c -0.182156 0.793901 Unrestricted Adjustment Coefficients (alpha): D(DELTA_VN) D(FPI) -0.023700 78.99747 Cointegrating Equation(s): 0.013240 167.8179 Log likelihood -884.9409 Normalized cointegrating coefficients (standard error in parentheses) FPI C DELTA_VN 1.000000 2.95E-06 -0.005505 (1 7E-05) (0.01 096) ' Adjustment coefficients (standard error in parentheses) D(DELTA_VN) -0.784203 (0.27101) D(FPI) 2613.983 (2103.03) 56 I Figure A-7: Results of theJohansen test/or model : 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 Unrestricted Cointegration Rank Test (Trace) Hypothesized No of CE(s) 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 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 * 0.106126 0.075792 14.58470 10.24637 14.26460 3.841466 0.0445 0.0014 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): DELTA_VN -33.09056 -0.962714 FPI -9.74E-05 -0.001951 Unrestricted Adjustment Coefficients (alpha): O(OELTA_VN) O(FPI) 0.023697 -79.01384 Cointegrating Equation(s): 0.013242 167.8102 -884.9408 Log likelihood Normalized cointegrating coefficients (standard error in parentheses) OELTA_VN FPI 1.000000 2.94E-06 (1.7E-05) Adjustment coefficients (standard error in parentheses) O(OELTA_VN) -0.784152 57 - - - - - D(FPI) (0.27232) 2614.612 (2113.19) Figure A-8: Results of the Johansen test for model4: 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 Unrestricted Cointegration Rank Test (Trace) Hypothesized No of CE(s) None* At most Eigenvalue Trace Statistic 0.05 Critical Value Prob.** 0.107070 0.090312 27.02713 12.30501 25.87211 12.51798 0.0358 0.0542 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 Pro b.** None At most 0.107070 0.090312 14.72212 12.30501 19.38704 12.51798 0.2091 0.0542 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 Unrestricted Cointegrating Coefficients (normalized by b'*S11 *b=l): DELTA_VN 33.11983 3.534488 ' FPI 0.000547 -0.002296 @TREND(OOM08 ) -0.004358 0.013231 Unrestricted Adjustment Coefficients (alpha): D(DELTA_VN) D(FPI) -0.026064 45.52732 Cointegrating Equation(s): 0.010668 192.6649 Log likelihood -884.8721 Normalized cointegrating coefficients (standard error in parentheses) 58 DELTA_VN 1.000000 FPI 1.65E-05 (2.0E-05) @TREND(OOM08 ) -0.000132 (0.00029) Adjustment coefficients (standard error in parentheses) -0.863239 D(DELTA_VN) (0.27027) 1507.857 D(FPI) (2125.43) GRANGER CAUSALITY TEST Figure A-9: Results of the Granger Causality test: VEC Granger Causality/Block Exogeneity Wald Tests Date: 10/23112 Time: 00:17 Sample: 2000M07 2012M06 Included observations: 130 Dependent variable: D(DELTA_VN) Excluded Chi-sq df Pro b D(FPI) 24.68635 12 0.0164 All 24.68635 12 0.0164 Dependent variable: D(FPI) Excluded Chi-sq df Pro b D(DELTA_VN) 17.62321 12 0.1276 All 17.62321 12 0.1276 59 VECTOR ERROR CORRECTION MODEL Figure A-10: Results of the vector error correction model: 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) 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) R-squared Coefficient 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 0.559800 Mean dependent var 60 0.003112 ~ 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 WALT TEST TO TEST THE SHORT RUN CAUSALITY Figure A-ll: Results of the Wald test: Wald Test: Equation: Untitled Test Statistic Value F-statistic Chi-square 2.057196 24.68635 df Probability (12, 104) 12 0.0262 0.0164 Value Std Err Null Hypothesis Summary: Normalized Restriction (= 0) C(14) C(15) C(16) C(17) C(18) C(19) C(20) C(21) C(22) C(23) C(24) C(25) 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 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 Restrictions are linear in coefficients SERIAL CORRELATION Figure A-12: Results of the Serial Correlation test: Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.007857 Prob F(2, 102) 61 0.9922 Ob$*R-squared 0.020024 Prob Chi-Square(2) 0.9900 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 Variable Coefficient Std Error t-Statistic 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) 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 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.000154 -0.264511 0.093943 0.900185 138.7628 0.000582 1.000000 Mean dependent var S.D.dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 62 Pro b 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 -2.35E-18 0.083542 -1.704043 -1.086421 -1.453083 1.992890 - HETEROSCEDASTISCITY -ARCH TEST Figure A-13: Results of the Heteroskedasticity test: Heteroskedasticity Test: ARCH F-statistic Obs*R-squared 0.515493 1.047093 Prob F(2,125) Prob Chi-Square(2) 0.5985 0.5924 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 Variable Coefficient Std Error t-Statistic Pro b c 0.006191 0.047304 0.074650 0.001308 0.089097 0.089474 4.733449 0.530930 0.834322 0.0000 0.5964 0.4057 RESID"2(-1) RESID"2(-2) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.008180 -0.007689 0.011266 0.015866 394.0940 0.515493 0.598470 Mean dependent var S.D.dependentvar Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 63 0.007032 0.011223 -6.110843 -6.043999 -6.083684 2.005159 ~ISTOGRAM-NLY I TEST I Figure A-14: Results of the Histogram Normality test: • 24 Series: Residuals Sample 2001M09 2012M06 Observations 130 20 16 12 • • • 64 Mean Median Maximum Minimum Std Dev Skewness Kurtosis -2.35e-18 -0.002117 0.235513 -0.218523 0.083542 0.235184 3.580767 Jarque-Bera Probability 3.025404 0.220314 ...INSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDS UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAM VIETNAM- NETHERLANDS PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS THE IMPACTS OF CAPITAL FLOWS ON VIETNAM. .. market as follows: Stock market (Delta-VN) FPiflows Test the impacts of FPI flows on Vietnam stock market (Delta-VN) in the long-run and short-run There has been the growing role of foreign portfolio... (Net FPI inflows) ? ?The main objective of the thesis is to explore the impacts of FPI flows on VSM The study is carried out by using monthly data series of FPI flows into VSM and 'Vietnam market