Xột mối quan hệ giữa lợi suất của cỏc cổ phiếu với lợi suất của cỏc cổ phiếu khỏc và với lợi suất thị trường VNINDEX.
Ước lượng hệ phương trỡnh sau :
RHAPt = β10 + + α 11*RVNINDEXt + u t
RBBT t = β20 + β21RHAP + α 21*RVNINDEXt + u t
RDHA t = β30 + β31RHAP+ β32RBBT + α 31 *RVNINDEXt + u t
RBPCt = β40 + β41RHAP + β42RBBT + β43RDHA + α 41*RVNINDEXt + u t
Dựng phương phỏp bỡnh phương nhỏ nhất hai giai đoạn -2SLS (Two –stage least squaes) ta thu được kết quả sau:
System: HIEN03
Estimation Method: Least Squares Date: 04/29/07 Time: 16:45 Sample: 2 1349
Included observations: 1346
Total system (unbalanced) observations 3669
Coefficient Std. Error t-Statistic Prob. C(1) 0.000620 0.000798 0.776512 0.4375 C(2) -0.041990 0.048951 -0.857794 0.3911 C(3) 0.000257 0.000677 0.379697 0.7042 C(4) -0.001976 0.023508 -0.084064 0.9330 C(5) -0.031101 0.042903 -0.724914 0.4686 C(6) 0.000894 0.000867 1.030984 0.3026 C(7) -0.028245 0.027260 -1.036129 0.3002 C(8) 0.014156 0.034835 0.406368 0.6845 C(9) -0.026564 0.045221 -0.587429 0.5570 C(10) -0.000679 0.000709 -0.957680 0.3383 C(11) -0.028277 0.022275 -1.269459 0.2044 C(12) -0.050039 0.028443 -1.759249 0.0786 C(13) 0.039467 0.033668 1.172257 0.2412 C(14) 0.034813 0.036930 0.942680 0.3459 Determinant residual covariance 5.72E-14
Equation: RHAP = C(1) + C(2)*RVNINDEX Observations: 1346
R-squared 0.000547 Mean dependent var 0.000574 Adjusted R-squared -0.000196 S.D. dependent var 0.029203 S.E. of regression 0.029206 Sum squared resid 1.146410 Durbin-Watson stat 1.712899
Equation: RBBT = C(3)+ C(4)*RHAP + C(5)*RVNINDEX Observations: 1139
R-squared 0.000467 Mean dependent var 0.000227
Adjusted R-squared -0.001293 S.D. dependent var 0.022779 S.E. of regression 0.022794 Sum squared resid 0.590217 Durbin-Watson stat 1.915557
Equation: RDHA= C(6) +C(7)*RHAP + C(8)*RBBT +C(9)*RVNINDEX Observations: 592
R-squared 0.002609 Mean dependent var 0.000850 Adjusted R-squared -0.002480 S.D. dependent var 0.021051 S.E. of regression 0.021077 Sum squared resid 0.261221
Durbin-Watson stat 1.909930
Equation: RBPC= C(10) + C(11)*RHAP+C(12)*RBBT + C(13)*RDHA + C(14)*RVNINDEX
Observations: 592
R-squared 0.012247 Mean dependent var -0.000640 Adjusted R-squared 0.005516 S.D. dependent var 0.017255 S.E. of regression 0.017208 Sum squared resid 0.173811 Durbin-Watson stat 1.844558