IV. NHỮNG KẾT QUẢ ĐẠT ĐƯỢC TỪ DANH MỤC ĐÃ XÂY DỰNG
TÀI LIỆU THAM KHẢO
DANH MỤC TỪ VIẾT TẮT
VNPT : Tập đoàn Bưu chính Viễn Thông Việt Nam NV : Nguồn vốn
PHỤ LỤC 2
Mô hình SIM và kiểm định tính dừng các phần dư của mô hình Mô hình SIM của cổ phiếu VTC
Method: Least Squares Date: 04/22/07 Time: 00:19 Sample(adjusted): 2 1030
Included observations: 1029 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob. BETA_VTC*R_VN 0.99999 0.2188348 4.56965 5.478e-06 C 0.000569 0.000755 0.7535960 0.451264 R-squared 0.019927 Mean dependent var 0.001012 Adjusted R-squared 0.018973 S.D. dependent var 0.024269 S.E. of regression 0.0240381 Akaike info criterion -4.61640 Sum squared resid 0.5934338 Schwarz criterion -4.60681 Log likelihood 2377.1418 F-statistic 20.88174 Durbin-Watson stat 1.4950503 Prob(F-statistic) 5.4785e-06
Kiểm định tính dừng của phần dư.
ADF Test Statistic -24.72802 1% Critical Value* -3.439463 5% Critical Value -2.86477 10% Critical Value -2.56850 *MacKinnon critical values for rejection of hypothesis of a unit root.
Mô hình SIM của cổ phiếu VF1
Dependent Variable: R_VF1 Method: Least Squares Date: 04/25/07 Time: 04:59 Sample(adjusted): 2 592
Included observations: 591 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob. BETA_VF1*R_VN 1.002008 0.384877 2.603450 0.0095
C 0.001864 0.001069 1.743184 0.0818
R-squared 0.011377 Mean dependent var 0.002329 Adjusted R-squared 0.009698 S.D. dependent var 0.025759 S.E. of regression 0.025634 Akaike info criterion -4.486454 Sum squared resid 0.387018 Schwarz criterion -4.471625 Log likelihood 1327.747 F-statistic 6.777953 Durbin-Watson stat 1.636277 Prob(F-statistic) 0.009462
Kiểm định tính dừng của phần dư.
ADF Test Statistic -20.21397 1% Critical Value* -3.4439 5% Critical Value -2.8668 10% Critical Value -2.5696
Mô hình SIM của cổ phiếu UNI
Dependent Variable: R_UNI Method: Least Squares Date: 04/22/07 Time: 04:29 Sample(adjusted): 2 184
Included observations: 183 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob. BETA_UNI*R_VN 0.999150 0.238381 4.191406 0.0000
C 0.001484 0.002653 0.559167 0.5767
R-squared 0.088473 Mean dependent var 0.003600 Adjusted R-squared 0.083437 S.D. dependent var 0.036808 S.E. of regression 0.035239 Akaike info criterion -3.842435 Sum squared resid 0.224769 Schwarz criterion -3.807359 Log likelihood 353.5828 F-statistic 17.56789 Durbin-Watson stat 1.818215 Prob(F-statistic) 0.000043
Kiểm định tính dừng của phần dư.
ADF Test Statistic -12.40461 1% Critical Value* -3.4674 5% Critical Value -2.8774 10% Critical Value -2.5751
Mô hình SIM của cổ phiếu TTP
Dependent Variable: R_TTP Method: Least Squares Date: 04/22/07 Time: 04:27 Sample(adjusted): 2 74
Included observations: 73 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob. BETA_TTP*R_VN 0.998988 0.408093 2.447944 0.0168 C -0.000189 0.004232 -0.044584 0.9646 R-squared 0.077831 Mean dependent var 0.002749 Adjusted R-squared 0.064843 S.D. dependent var 0.035858 S.E. of regression 0.034676 Akaike info criterion -3.858548 Sum squared resid 0.085370 Schwarz criterion -3.795796 Log likelihood 142.8370 F-statistic 5.992428 Durbin-Watson stat 1.953097 Prob(F-statistic) 0.016841
Kiểm định tính dừng của phần dư.
ADF Test Statistic -8.452001 1% Critical Value* -3.5226 5% Critical Value -2.9017 10% Critical Value -2.5879
Mô hình SIM của cổ phiếu SAM
Dependent Variable: R_SAM Method: Least Squares Date: 04/23/07 Time: 13:01 Sample(adjusted): 2 1490 Included observations: 1487
Excluded observations: 2 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob. BETA_SAM*R_VN 0.999328 0.078478 12.73384 0.0000
C 0.001160 0.000654 1.772204 0.0766
R-squared 0.098443 Mean dependent var 0.001975 Adjusted R-squared 0.097836 S.D. dependent var 0.026437 S.E. of regression 0.025110 Akaike info criterion -4.529727 Sum squared resid 0.936339 Schwarz criterion -4.522593 Log likelihood 3369.852 F-statistic 162.1507 Durbin-Watson stat 2.154515 Prob(F-statistic) 0.000000
ADF Test Statistic -41.58147 1% Critical Value* -3.4377 5% Critical Value -2.8639 10% Critical Value -2.5681
Mô hình SIM của cổ phiếu RHC
Dependent Variable: R_RHC Method: Least Squares Date: 04/25/07 Time: 05:15 Sample(adjusted): 2 196
Included observations: 195 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob. BETA_RHC*R_VN 1.000082 0.170091 5.879685 0.0000 C -0.000437 0.001842 -0.237065 0.8129 R-squared 0.151912 Mean dependent var 0.001345 Adjusted R-squared 0.147518 S.D. dependent var 0.027479 S.E. of regression 0.025371 Akaike info criterion -4.500179 Sum squared resid 0.124236 Schwarz criterion -4.466610 Log likelihood 440.7674 F-statistic 34.57069 Durbin-Watson stat 1.369377 Prob(F-statistic) 0.000000
Kiểm định tính dừng của phần dư.
ADF Test Statistic -10.08109 1% Critical Value* -3.4653 5% Critical Value -2.8764 10% Critical Value -2.5746
Mô hình SIM của cổ phiếu PPC
Dependent Variable: R_PPC Method: Least Squares Date: 04/22/07 Time: 04:00 Sample(adjusted): 2 36
Included observations: 35 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob. BETA_PPC*R_VN 0.278272 0.113565 2.450340 0.0197 C -0.011348 0.005190 -2.186305 0.0360 R-squared 0.153937 Mean dependent var -0.009997 Adjusted R-squared 0.128298 S.D. dependent var 0.032703 S.E. of regression 0.030533 Akaike info criterion -4.084555 Sum squared resid 0.030765 Schwarz criterion -3.995678 Log likelihood 73.47971 F-statistic 6.004165 Durbin-Watson stat 1.873769 Prob(F-statistic) 0.019742
ADF Test Statistic -5.634371 1% Critical Value* -3.6353 5% Critical Value -2.9499 10% Critical Value -2.6133
Mô hình SIM của cổ phiếu HAS
Dependent Variable: R_HAS Method: Least Squares Date: 04/22/07 Time: 04:06 Sample(adjusted): 2 1057
Included observations: 1056 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob. BETA_HAS*R_VN 0.999785 0.152590 6.552080 0.0000
C 0.000803 0.000680 1.181565 0.2376
R-squared 0.039136 Mean dependent var 0.001335 Adjusted R-squared 0.038225 S.D. dependent var 0.022364 S.E. of regression 0.021932 Akaike info criterion -4.799846 Sum squared resid 0.506988 Schwarz criterion -4.790448 Log likelihood 2536.319 F-statistic 42.92975 Durbin-Watson stat 1.864897 Prob(F-statistic) 0.000000
Kiểm định tính dừng của phần dư
ADF Test Statistic -30.36219 1% Critical Value* -3.4393 5% Critical Value -2.8647 10% Critical Value -2.5685
Mô hình SIM của cổ phiếu TYA
Dependent Variable: R_TYA Method: Least Squares Date: 04/22/07 Time: 00:29 Sample(adjusted): 2 280
Included observations: 279 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob. BETA_TYA*R_VN 1.001791 0.431902 2.319490 0.0211
C 0.000683 0.001878 0.363595 0.7164
R-squared 0.019052 Mean dependent var 0.001523 Adjusted R-squared 0.015511 S.D. dependent var 0.031024 S.E. of regression 0.030783 Akaike info criterion -4.116573 Sum squared resid 0.262481 Schwarz criterion -4.090543 Log likelihood 576.2619 F-statistic 5.380033 Durbin-Watson stat 1.748396 Prob(F-statistic) 0.021096
Kiểm định tính dừng của phần dư
ADF Test Statistic -14.63212 1% Critical Value* -3.4556 5% Critical Value -2.8721 10% Critical Value -2.5723
Mô hình SIM của cổ phiếu TDH
Dependent Variable: R_TDH Method: Least Squares Date: 04/25/07 Time: 02:28 Sample(adjusted): 2 61
Included observations: 60 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob. BETA_TDH*R_VN 0.999999 0.496561 2.013851 0.0487 C -0.008748 0.005009 -1.746368 0.0860 R-squared 0.065354 Mean dependent var -0.006104 Adjusted R-squared 0.049240 S.D. dependent var 0.038402 S.E. of regression 0.037445 Akaike info criterion -3.699118 Sum squared resid 0.081324 Schwarz criterion -3.629306 Log likelihood 112.9735 F-statistic 4.055596 Durbin-Watson stat 1.258804 Prob(F-statistic) 0.048672
Kiểm định tính dừng của phần dư
ADF Test Statistic -5.275544 1% Critical Value* -3.5437 5% Critical Value -2.9109 10% Critical Value -2.5928
PHỤ LỤC 1
