Mặc dù nghiên cứu đã tìm ra mối quan hệ giữa tăng trưởng kinh tế và chỉ số giá chứng khoán ở Việt Nam nhưng nhận thấy vẫn còn nhiều thiếu sót.
Chuỗi dữ liệu thời gian còn ngắn vì nghiên cứu trong khoảng năm 2000-2013 nên có thể chưa phản ánh đầy đủ mối quan hệ dài hạn của hai biến này. Thị trường chứng khoán Việt Nam còn khá non trẻ nên chắc chắn những năm đầu tiên của thị trường không thể có nhiều tác động lên tăng trưởng kinh tế. Hơn nữa, một thị trường mới, với nhiều quy định chưa rõ ràng, người đầu tư cũng chưa có nhiều kiến thức nên việc vận
hành TTCK còn nhiều bất cập dẫn đến tăng trưởng kinh tế có cao nhưng chưa hẳn đã tác động vào thị trường chứng khoán theo chiều hướng tích cực ở giai đoạn đầu,
Nghiên cứu chỉ mới tập trung về mối quan hệ giũa hai biến tăng trưởng kinh tế và TTCK, sự ảnh hưởng của các biến kinh tế vĩ mô khác chưa để đề cập cụ thể trong nghiên cứu này. Do đó, hy vọng các nghiên cứu sau này sẽ phân tích sâu hơn về tác động của các biến vĩ mô và tăng trưởng kinh tế như là các biến nội sinh lên TTCK để có cái nhìn toàn diện hơn về TTCK và có những đóng góp cho sự phát triển của TTCK Việt Nam.
Với kết quả nghiên cứu thu được, luận văn đã đưa ra những hàm ý chính sách nhằm giúp TTCK phát triển và có những đóng đóng tích cực cho nền kinh tế. Những cải cách về điều hành TTCK và nâng cao chất lượng hàng hóa trên TTCK là những việc cần thực hiện ngay để TTCK ngày tiến cần hơn với tiêu chuẩn quốc tế, thu hút nhiều nhà đầu tư trong và ngoài nước. Các chính sách vĩ mô về lãi suất, ổn định chỉ số giá tiêu dùng, điều chỉnh cung tiền M2 hợp lý là cấn thiết để nền kinh tế ổn định từ đó có ảnh hưởng tích cực đến tăng trưởng kinh tế cũng như sự phát triển của TTCK.
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PHỤ LỤC
Bảng 1: Kiểm định nghiệm đơn vị của chuỗi LogPI, chuỗi gốc- phương pháp ADF
Null Hypothesis: LOGPI has a unit root Exogenous: Constant, Linear Trend
Lag Length: 3 (Automatic based on SIC, MAXLAG=10)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.832981 0.1927
Test critical values: 1% level -4.148465
5% level -3.500495
10% level -3.179617
*MacKinnon (1996) one-sided p-values.
Bảng 2: Kiểm định nghiệm đơn vị của chuỗi LogPI, sai phân bậc 1- phương pháp ADF
Null Hypothesis: D(LOGPI) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=10)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.407799 0.0002
Test critical values: 1% level -4.140858
5% level -3.496960
10% level -3.177579
*MacKinnon (1996) one-sided p-values.
Bảng 3: Kiểm định nghiệm đơn vị của chuỗi LnGDP, chuỗi gốc- phương pháp ADF
Null Hypothesis: LNGDP has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=10)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.202133 0.0949
Test critical values: 1% level -4.137279
5% level -3.495295
10% level -3.176618
Bảng 4: Kiểm định nghiệm đơn vị của chuỗi LnGDP, sai phân bậc 1- phương pháp ADF
Null Hypothesis: D(LNGDP) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=10)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -7.991994 0.0000
Test critical values: 1% level -4.140858
5% level -3.496960
10% level -3.177579
*MacKinnon (1996) one-sided p-values.
Bảng 5: Bảng kết quả độ trễ phù hợp cho mô hình
VAR Lag Order
Selection Criteria Endogenous variables: LNGDP LOGPI Exogenous variables: C Date: 02/13/15 Time: 17:24 Sample: 2000Q4 2014Q2 Included observations: 47
Lag LogL LR FPE AIC SC HQ
0 7.462844 NA 0.002717 -0.232461 -0.153732 -0.202835 1 78.72790 133.4324 0.000155 -3.094804 -2.858615* -3.005925 2 83.32564 8.217242 0.000152 -3.120240 -2.726592 -2.972107 3 85.44900 3.614235 0.000165 -3.040383 -2.489275 -2.832998 4 99.80349 23.21152* 0.000107* -3.481000* -2.772433 -3.214361* 5 103.3033 5.361463 0.000110 -3.459717 -2.593690 -3.133825 6 104.2474 1.365935 0.000126 -3.329678 -2.306192 -2.944534 7 109.6465 7.351844 0.000121 -3.389211 -2.208265 -2.944813 8 112.1157 3.152282 0.000132 -3.324074 -1.985669 -2.820423
* 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
Bảng 6 : Kiểm định Granger Causality
Pairwise Granger Causality Tests Date: 02/20/15 Time: 13:31 Sample: 2000Q4 2014Q2 Lags: 4
Null Hypothesis: Obs F-Statistic Prob.
LNGDP does not Granger Cause LOGPI 51 0.89016 0.4782
LOGPI does not Granger Cause LNGDP 4.06322 0.0071
Bảng 7: Kiểm định đồng liên kết
Date: 02/13/15 Time: 18:04 Sample (adjusted): 2002Q1 2014Q2 Included observations: 50 after adjustments Trend assumption: Linear deterministic trend Series: LNGDP LOGPI
Lags interval (in first differences): 1 to 4 Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.254681 16.63770 15.49471 0.0335
At most 1 0.038067 1.940517 3.841466 0.1636
Trace test indicates 1 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 Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.254681 14.69718 14.26460 0.0427
At most 1 0.038067 1.940517 3.841466 0.1636
Max-eigenvalue test indicates 1 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):
LNGDP LOGPI
4.584695 4.369514
3.242075 -3.353215
D(LNGDP) -0.054154 -0.010886
D(LOGPI) -0.015199 0.011845
1 Cointegrating Equation(s): Log likelihood 105.6658
Normalized cointegrating coefficients (standard error in parentheses)
LNGDP LOGPI
1.000000 0.953065
(0.31037)
Adjustment coefficients (standard error in parentheses)
D(LNGDP) -0.248278
(0.07840)
D(LOGPI) -0.069684
(0.04788)
Bảng 8: Kết quả mô hình VECM không có sự góp mặt của các biến ngoại sinh
Vector Error Correction Estimates Date: 02/13/15 Time: 21:24 Sample (adjusted): 2002Q1 2014Q2 Included observations: 50 after adjustments Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq: CointEq1
LOGPI(-1) 1.000000
LNGDP(-1) 1.049246
(0.33200) [ 3.16042]
C -4.515111
Error Correction: D(LOGPI) D(LNGDP)
CointEq1 -0.066414 -0.236625 (0.04563) (0.07472) [-1.45554] [-3.16699] D(LOGPI(-1)) 0.453457 0.629860 (0.14386) (0.23557) [ 3.15201] [ 2.67372] D(LOGPI(-2)) -0.201618 0.156895 (0.16904) (0.27681) [-1.19270] [ 0.56680] D(LOGPI(-3)) 0.387294 0.918815 (0.14868) (0.24346) [ 2.60487] [ 3.77393] D(LOGPI(-4)) -0.145774 0.040578
[-0.91285] [ 0.15518] D(LNGDP(-1)) -0.043007 -0.147625 (0.08314) (0.13615) [-0.51726] [-1.08430] D(LNGDP(-2)) 0.057762 -0.182193 (0.08212) (0.13447) [ 0.70339] [-1.35489] D(LNGDP(-3)) -0.038092 -0.105737 (0.08128) (0.13309) [-0.46868] [-0.79449] D(LNGDP(-4)) -0.012617 0.288393 (0.08037) (0.13161) [-0.15699] [ 2.19133] C 0.004148 -0.012931 (0.01073) (0.01756) [ 0.38669] [-0.73619] R-squared 0.301983 0.465680 Adj. R-squared 0.144929 0.345458 Sum sq. resids 0.218087 0.584776 S.E. equation 0.073839 0.120911 F-statistic 1.922797 3.873501 Log likelihood 64.92517 40.26679 Akaike AIC -2.197007 -1.210672 Schwarz SC -1.814602 -0.828267 Mean dependent 0.006801 -0.004478 S.D. dependent 0.079852 0.149450
Determinant resid covariance (dof adj.) 7.82E-05
Determinant resid covariance 5.01E-05
Log likelihood 105.6658
Akaike information criterion -3.346632
Schwarz criterion -2.505342
Bảng8: Độ trễ tối ưu của mô hình khi có mặt các biến ngoại sinh là các biến kinh tế vĩ mô khác
VAR Lag Order Selection Criteria Endogenous variables: LOGPI LNGDP
Exogenous variables: LNCPI LNLS LNFOREX LNMS Date: 04/05/15 Time: 21:58
Sample: 2000Q4 2014Q2 Included observations: 50