Hƣớng phát triển đề tài

CHƢƠNG 5 : KẾT LUẬN VÀ GỢI Ý CHÍNH SÁCH

5.3. NHỮNG HẠN CHẾ VÀ HƢỚNG PHÁT TRIỂN ĐỀ TÀI

5.3.2. Hƣớng phát triển đề tài

Những nghiên cứu có chủ đề về mối quan hệ giữa sở hữu nƣớc ngoài và biến động lợi nhuận cổ phiếu trong tƣơng lai có thể khắc phục các hạn chế nêu trên bằng cách:

Nghiên cứu trên bộ dữ liệu đủ lớn, số lƣợng các quan sát trong mẫu đủ nhiều, trong một giai đoạn dài để kết quả nghiên cứu có để đại diện cho các doanh nghiệp

ở Việt Nam. Đồng thời có thể mở rộng nghiên cứu tại các quốc gia ở các thị trƣờng cận biên khác.

Bên cạnh đó, áp dụng các phƣơng pháp nghiên cứu tối ƣu, hiện đại hơn nhƣ GMM, 3SLS… để khắc phục các vấn đề về nội sinh, tự tƣơng quan, phƣơng sai thay đổi…nhằm cho ra kết quả có độ tin cậy cao hơn. Ngồi ra cịn có thể mở rộng nghiên cứu thông qua việc phân tách hoặc bổ sung thêm nhiều yếu tố khác vào mơ hình nhƣ phân tách tác động của các tổ chức tài chính và phi tài chính nƣớc ngồi, quyền sở hữu của nhà đầu tƣ chuyên nghiệp và nhà đầu tƣ thông thƣờng…đến biến động lợi nhuận cổ phiếu trên thị trƣờng Việt Nam.

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PHỤ LỤC PHỤ LỤC 1: THỐNG KÊ MÔ TẢ PHỤ LỤC 2: MA TRẬN TƢƠNG QUAN LEVERAGE 1485 .4370001 1.056036 0 21.42016 TURNOVER 1485 3.211233 4.980796 0 132 SIZE 1485 12.56684 1.581711 8.72095 18.52309 DOMINST 1485 13.74604 15.67778 0 87.46 DOMPER 1485 40.0434 24.2208 .2 99.78 DOMSTATE 1485 26.86064 23.66949 0 84.44 FOREIGNPER 1485 2.687265 6.192923 0 49 FOREIGNINST 1485 11.37297 13.92409 0 83.88 FOREIGN 1485 14.10221 15.96746 0 88.7 SD 1485 .0309164 .0105231 0 .158342 VL 1485 -5.018033 1.536531 -8.135702 .052079 Variable Obs Mean Std. Dev. Min Max > TURNOVER LEVERAGE

. sum VL SD FOREIGN FOREIGNINST FOREIGNPER DOMSTATE DOMPER DOMINST SIZE

LEVERAGE 0.0618 0.0681 -0.0517 -0.0418 -0.0409 0.0918 -0.0434 -0.0251 0.0053 -0.0410 1.0000 TURNOVER 0.0819 -0.0107 0.1879 0.0903 0.2793 -0.0285 -0.0798 -0.0176 0.0397 1.0000 SIZE -0.5517 -0.5148 0.4349 0.5053 -0.0174 -0.0001 -0.3520 0.1072 1.0000 DOMINST -0.0234 -0.0983 -0.0774 -0.0449 -0.0939 -0.3079 -0.2870 1.0000 DOMPER 0.1337 0.1853 -0.3775 -0.4052 -0.0588 -0.5193 1.0000 DOMSTATE 0.1519 0.1240 -0.2011 -0.1551 -0.1766 1.0000 FOREIGNPER 0.0452 -0.0347 0.4898 0.1188 1.0000 FOREIGNINST -0.3813 -0.3365 0.9198 1.0000 FOREIGN -0.3182 -0.3107 1.0000 SD 0.5763 1.0000 VL 1.0000 VL SD FOREIGN FOREIG~T FOREIG~R DOMSTATE DOMPER DOMINST SIZE TURNOVER LEVERAGE (obs=1485)

PHỤ LỤC 3: KIỂM ĐỊNH VIF

 VIF MƠ HÌNH (1) VIF MƠ HÌNH (2)

PHỤ LỤC 4: KẾT QUẢ HỔI QUY Pool OLS - FEM - REM  MƠ HÌNH (1) POOL OLS FEM _cons .8898545 .2979318 2.99 0.003 .3053793 1.47433 LagVL .6548096 .0180397 36.30 0.000 .6194198 .6901993 LEVERAGE .0427512 .0169274 2.53 0.012 .0095435 .0759588 TURNOVER .0128442 .0045311 2.83 0.005 .0039552 .0217331 SIZE -.2878284 .0181838 -15.83 0.000 -.3235009 -.252156 DOMINST .0130666 .0025855 5.05 0.000 .0079945 .0181388 DOMPER .010326 .0023027 4.48 0.000 .0058086 .0148434 DOMSTATE .0134786 .0022159 6.08 0.000 .0091316 .0178257 FOREIGN .0064875 .0026275 2.47 0.014 .0013329 .0116421 VL Coef. Std. Err. t P>|t| [95% Conf. Interval] Total 3131.70687 1319 2.37430392 Root MSE = .83222 Adj R-squared = 0.7083 Residual 907.99217 1311 .692595095 R-squared = 0.7101 Model 2223.7147 8 277.964338 Prob > F = 0.0000 F( 8, 1311) = 401.34 Source SS df MS Number of obs = 1320 . reg VL FOREIGN DOMSTATE DOMPER DOMINST SIZE TURNOVER LEVERAGE LagVL

rho .64815638 (fraction of variance due to u_i)

sigma_e .72690691 sigma_u .98660623 _cons 5.022117 .555552 9.04 0.000 3.932104 6.112129 LagVL .4601994 .0202142 22.77 0.000 .4205385 .4998603 LEVERAGE .0335267 .0183391 1.83 0.068 -.0024553 .0695087 TURNOVER .0127623 .004706 2.71 0.007 .003529 .0219957 SIZE -.6626735 .0402452 -16.47 0.000 -.7416359 -.5837111 DOMINST .0027619 .0031373 0.88 0.379 -.0033935 .0089174 DOMPER .003993 .0029355 1.36 0.174 -.0017665 .0097526 DOMSTATE .0265779 .0025637 10.37 0.000 .0215478 .0316079 FOREIGN -.0180004 .0039786 -4.52 0.000 -.0258066 -.0101943 VL Coef. Std. Err. t P>|t| [95% Conf. Interval] corr(u_i, Xb) = -0.6635 Prob > F = 0.0000 F(8,1147) = 196.43 overall = 0.5782 max = 8 between = 0.6557 avg = 8.0 R-sq: within = 0.5781 Obs per group: min = 8 Group variable: M Number of groups = 165 Fixed-effects (within) regression Number of obs = 1320 . xtreg VL FOREIGN DOMSTATE DOMPER DOMINST SIZE TURNOVER LEVERAGE LagVL, fe

REM

 MƠ HÌNH (3)

POOL OLS

rho 0 (fraction of variance due to u_i)

sigma_e .72690691 sigma_u 0 _cons .8898545 .2979318 2.99 0.003 .3059189 1.47379 LagVL .6548096 .0180397 36.30 0.000 .6194525 .6901666 LEVERAGE .0427512 .0169274 2.53 0.012 .0095741 .0759282 TURNOVER .0128442 .0045311 2.83 0.005 .0039634 .0217249 SIZE -.2878284 .0181838 -15.83 0.000 -.3234679 -.2521889 DOMINST .0130666 .0025855 5.05 0.000 .0079991 .0181341 DOMPER .010326 .0023027 4.48 0.000 .0058127 .0148392 DOMSTATE .0134786 .0022159 6.08 0.000 .0091356 .0178217 FOREIGN .0064875 .0026275 2.47 0.014 .0013377 .0116374 VL Coef. Std. Err. z P>|z| [95% Conf. Interval] corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 Wald chi2(8) = 3210.70 overall = 0.7101 max = 8 between = 0.9108 avg = 8.0 R-sq: within = 0.4777 Obs per group: min = 8 Group variable: M Number of groups = 165 Random-effects GLS regression Number of obs = 1320 . xtreg VL FOREIGN DOMSTATE DOMPER DOMINST SIZE TURNOVER LEVERAGE LagVL, re

_cons .0350101 .0031078 11.27 0.000 .0289133 .0411068 LagSD .5303776 .0248941 21.31 0.000 .4815409 .5792143 LEVERAGE .0003728 .0001553 2.40 0.017 .0000681 .0006774 TURNOVER .0000397 .0000413 0.96 0.337 -.0000413 .0001207 SIZE -.0020473 .0001634 -12.53 0.000 -.0023679 -.0017268 DOMINST .0000498 .0000236 2.11 0.035 3.50e-06 .0000962 DOMPER .0000589 .0000211 2.79 0.005 .0000175 .0001003 DOMSTATE .0000794 .0000202 3.93 0.000 .0000397 .0001191 FOREIGN .0000243 .0000241 1.01 0.314 -.000023 .0000716 SD Coef. Std. Err. t P>|t| [95% Conf. Interval] Total .152264027 1319 .000115439 Root MSE = .00763 Adj R-squared = 0.4951 Residual .076418538 1311 .00005829 R-squared = 0.4981 Model .075845489 8 .009480686 Prob > F = 0.0000 F( 8, 1311) = 162.65 Source SS df MS Number of obs = 1320 . reg SD FOREIGN DOMSTATE DOMPER DOMINST SIZE TURNOVER LEVERAGE LagSD

FEM

REM

F test that all u_i=0: F(164, 1147) = 3.07 Prob > F = 0.0000 rho .4840418 (fraction of variance due to u_i)

sigma_e .00680278 sigma_u .00658902 _cons .06856 .0053098 12.91 0.000 .058142 .078978 LagSD .2474163 .0275451 8.98 0.000 .1933719 .3014607 LEVERAGE .000295 .0001717 1.72 0.086 -.0000418 .0006318 TURNOVER .0000964 .0000439 2.20 0.028 .0000104 .0001825 SIZE -.0039664 .0003718 -10.67 0.000 -.0046958 -.003237 DOMINST 3.67e-06 .0000293 0.13 0.900 -.0000539 .0000612 DOMPER .0000284 .0000275 1.03 0.303 -.0000256 .0000823 DOMSTATE .0001867 .0000238 7.86 0.000 .0001401 .0002333 FOREIGN -.0001081 .0000372 -2.90 0.004 -.0001812 -.000035 SD Coef. Std. Err. t P>|t| [95% Conf. Interval] corr(u_i, Xb) = -0.5252 Prob > F = 0.0000 F(8,1147) = 54.34 overall = 0.3805 max = 8 between = 0.5134 avg = 8.0 R-sq: within = 0.2748 Obs per group: min = 8 Group variable: M Number of groups = 165 Fixed-effects (within) regression Number of obs = 1320 . xtreg SD FOREIGN DOMSTATE DOMPER DOMINST SIZE TURNOVER LEVERAGE LagSD, fe

rho 0 (fraction of variance due to u_i) sigma_e .00680278 sigma_u 0 _cons .0350101 .0031078 11.27 0.000 .0289189 .0411012 LagSD .5303776 .0248941 21.31 0.000 .481586 .5791692 LEVERAGE .0003728 .0001553 2.40 0.016 .0000684 .0006771 TURNOVER .0000397 .0000413 0.96 0.337 -.0000413 .0001206 SIZE -.0020473 .0001634 -12.53 0.000 -.0023676 -.0017271 DOMINST .0000498 .0000236 2.11 0.035 3.54e-06 .0000961 DOMPER .0000589 .0000211 2.79 0.005 .0000175 .0001003 DOMSTATE .0000794 .0000202 3.93 0.000 .0000398 .0001191 FOREIGN .0000243 .0000241 1.01 0.314 -.000023 .0000715 SD Coef. Std. Err. z P>|z| [95% Conf. Interval] corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 Wald chi2(8) = 1301.17 overall = 0.4981 max = 8 between = 0.8200 avg = 8.0 R-sq: within = 0.1775 Obs per group: min = 8 Group variable: M Number of groups = 165 Random-effects GLS regression Number of obs = 1320 . xtreg SD FOREIGN DOMSTATE DOMPER DOMINST SIZE TURNOVER LEVERAGE LagSD, re

PHỤ LỤC 5: KIỂM ĐỊNH HAUSMAN TEST

 MƠ HÌNH (1)

 MƠ HÌNH (3)

(V_b-V_B is not positive definite) Prob>chi2 = 0.0000

= 691.51

chi2(8) = (b-B)'[(V_b-V_B)^(-1)](b-B) Test: Ho: difference in coefficients not systematic

B = inconsistent under Ha, efficient under Ho; obtained from xtreg b = consistent under Ho and Ha; obtained from xtreg LagVL .4601994 .6548096 -.1946101 .0091205 LEVERAGE .0335267 .0427512 -.0092245 .0070561 TURNOVER .0127623 .0128442 -.0000818 .0012711 SIZE -.6626735 -.2878284 -.3748451 .035903 DOMINST .0027619 .0130666 -.0103047 .001777 DOMPER .003993 .010326 -.006333 .0018206 DOMSTATE .0265779 .0134786 .0130992 .0012893 FOREIGN -.0180004 .0064875 -.024488 .0029875 fe re Difference S.E. (b) (B) (b-B) sqrt(diag(V_b-V_B)) Coefficients . hausman fe re

(V_b-V_B is not positive definite) Prob>chi2 = 0.0000

= 718.73

chi2(8) = (b-B)'[(V_b-V_B)^(-1)](b-B) Test: Ho: difference in coefficients not systematic

B = inconsistent under Ha, efficient under Ho; obtained from xtreg b = consistent under Ho and Ha; obtained from xtreg LagSD .2474163 .5303776 -.2829613 .0117903 LEVERAGE .000295 .0003728 -.0000778 .0000732 TURNOVER .0000964 .0000397 .0000568 .0000148 SIZE -.0039664 -.0020473 -.0019191 .0003339 DOMINST 3.67e-06 .0000498 -.0000462 .0000174 DOMPER .0000284 .0000589 -.0000305 .0000176 DOMSTATE .0001867 .0000794 .0001073 .0000125 FOREIGN -.0001081 .0000243 -.0001324 .0000284 fe re Difference S.E. (b) (B) (b-B) sqrt(diag(V_b-V_B)) Coefficients . hausman fe re

PHỤ LỤC 6: KIỂM ĐỊNH REDUDANT FIXED EFFECTS

 MƠ HÌNH (1)

Redundant Fixed Effects Tests Equation: Untitled

Test cross-section fixed effects

Effects Test Statistic d.f. Prob.

Cross-section F 3.484152 (164,1147) 0.0000

Cross-section Chi-square 533.602564 164 0.0000

Cross-section fixed effects test equation: Dependent Variable: VL

Method: Panel Least Squares Date: 09/23/17 Time: 11:59 Sample (adjusted): 2009 2016 Periods included: 8

Cross-sections included: 165

Total panel (balanced) observations: 1320

Variable Coefficient Std. Error t-Statistic Prob.

FOREIGN 0.006488 0.002628 2.469076 0.0137 DOMSTATE 0.013479 0.002216 6.082710 0.0000 DOMPER 0.010326 0.002303 4.484263 0.0000 DOMINST 0.013067 0.002585 5.053814 0.0000 SIZE -0.287828 0.018184 -15.82887 0.0000 TURNOVER 0.012844 0.004531 2.834672 0.0047 LEVERAGE 0.042751 0.016927 2.525566 0.0117 VL(-1) 0.654810 0.018040 36.29834 0.0000 C 0.889855 0.297932 2.986773 0.0029

R-squared 0.710065 Mean dependent var -4.927169

Adjusted R-squared 0.708296 S.D. dependent var 1.540878

S.E. of regression 0.832223 Akaike info criterion 2.477362

Sum squared resid 907.9922 Schwarz criterion 2.512717

Log likelihood -1626.059 Hannan-Quinn criter. 2.490617

F-statistic 401.3374 Durbin-Watson stat 1.929622

 MƠ HÌNH (3)

Redundant Fixed Effects Tests Equation: Untitled

Test cross-section fixed effects

Effects Test Statistic d.f. Prob.

Cross-section F 3.074986 (164,1147) 0.0000

Cross-section Chi-square 481.023318 164 0.0000

Cross-section fixed effects test equation: Dependent Variable: SD

Method: Panel Least Squares Date: 09/23/17 Time: 12:02 Sample (adjusted): 2009 2016 Periods included: 8

Cross-sections included: 165

Total panel (balanced) observations: 1320

Variable Coefficient Std. Error t-Statistic Prob.

FOREIGN 2.43E-05 2.41E-05 1.007276 0.3140

DOMSTATE 7.94E-05 2.02E-05 3.926409 0.0001

DOMPER 5.89E-05 2.11E-05 2.791135 0.0053

DOMINST 4.98E-05 2.36E-05 2.109826 0.0351

SIZE -0.002047 0.000163 -12.53101 0.0000

TURNOVER 3.97E-05 4.13E-05 0.960571 0.3369

LEVERAGE 0.000373 0.000155 2.400432 0.0165

SD(-1) 0.530378 0.024894 21.30531 0.0000

C 0.035010 0.003108 11.26527 0.0000

R-squared 0.498118 Mean dependent var 0.031361

Adjusted R-squared 0.495056 S.D. dependent var 0.010744

S.E. of regression 0.007635 Akaike info criterion -6.905404

Sum squared resid 0.076419 Schwarz criterion -6.870049

Log likelihood 4566.566 Hannan-Quinn criter. -6.892148

F-statistic 162.6461 Durbin-Watson stat 2.113389

PHỤ LỤC 7: KẾT QUẢ HỒI QUY MƠ HÌNH (1) – (4)

 MƠ HÌNH (1)

 MƠ HÌNH (2)

F test that all u_i=0: F(164, 1147) = 3.48 Prob > F = 0.0000 rho .64815638 (fraction of variance due to u_i)

rho .65166334 (fraction of variance due to u_i) sigma_e .72414239 sigma_u .9904579 _cons 4.901112 .5565747 8.81 0.000 3.809092 5.993132 LagVL .4629479 .0201521 22.97 0.000 .4234088 .502487 LEVERAGE .0338818 .018271 1.85 0.064 -.0019665 .0697301 TURNOVER .0114579 .0047089 2.43 0.015 .0022188 .020697 SIZE -.6515726 .0402392 -16.19 0.000 -.7305234 -.5726218 DOMINST .003206 .0031567 1.02 0.310 -.0029875 .0093995 DOMPER .0042977 .0029539 1.45 0.146 -.001498 .0100935 DOMSTATE .0261595 .00256 10.22 0.000 .0211367 .0311822 FOREIGNPER .0023837 .0088077 0.27 0.787 -.0148973 .0196647 FOREIGNINST -.0235412 .0043369 -5.43 0.000 -.0320504 -.015032

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