3.2.1.Mơ hình 1 : Hồi quy OLS cơ bản
5.4. Kiến nghị hướng nghiên cứu trong tương lai
Dựa trên kết quả nghiên cứu của đề tài, tác giả kiến nghị một số hướng nghiên cứu trong tương lai như sau:
Thứ nhất, nghiên cứu trong tương lai cần sử dụng mẫu nghiên cứu trong khoảng thời gian dài hơn và cỡ mẫu rộng hơn để đánh giá đúng hơn về thực trạng kinh tế của ngân hàng trong quá khứ, qua đó có những đề xuất phù hợp cho tương lai. Thứ hai, nghiên cứu trong tương lai có thể xác định tỷ suất sinh lợi cổ phiếu dựa trên giá đóng cửa điều chỉnh để thể hiện được tỷ suất lợi nhuận và độ lệch chuẩn, cũng như xu hướng giá tương đối chính xác hơn.
Thứ ba, các nghiên cứu trong tương lai có thể nghiên cứu mối quan hệ giữa rủi ro và tỷ suất sinh lợi cho thị trường chứng khoán Việt Nam bằng các mơ hình nhân tố và nghiên cứu tâm lý, hành vi bầy đàn của các nhà đầu tư tại thị trường Việt Nam.
1. Hồ Viết Tiến, 2006. Thị trường cổ phiếu Việt Nam có hiệu quả khơng?. Tạp chí phát triển kinh tế, số 185.
2. Huỳnh Thế Nguyễn và Nguyễn Quyết, 2013. Mối quan hệ giữa tỷ giá hối đoái, lãi suất và giá cổ phiếu tại TP. HCM. Tạp chí Phát triển và Hội nhập, số 11(21). 3. Nguyễn Quang Dong, 2010. Phân tích chuỗi thời gian trong tài chính. Nhà xuất
bản Khoa học và kỹ thuật.
4. Nguyễn Trọng Hoài và cộng sự, 2009. Dự báo và phân tích dữ liệu trong kinh tế và tài chính. Hà Nội: Nhà xuất bản Thống kê.
5. Phan Thị Bích Nguyệt, 2008. Đầu tư tài chính – Phân tích đầu tư chứng khốn.
Hồ Chí Minh: Nhà xuất bản Tài Chính.
6. Phan Thị Bích Nguyệt và Phạm Dương Phương Thào, 2013. Phân tích tác động của các nhân tố kinh tế vĩ mơ đến thị trường chứng khốn Việt Nam. Tạp chí Phát triển và hội nhậpố 8(18) , s
7. Trần Ngọc Thơ, 2005. Tài chính doanh nghiệp hiện đại. Hà Nội: Nhà xuất bản Thống Kê.
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Tiếng Anh
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returns to market, interest, and exchange rate risks. Journal of Banking &
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Auditing, and Finance 23, 303–330.
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16. Flannery, M., James, C., 1984. The effect of interest rate changes on the common stock returns of financial institutions. The Journal of Finance 39, 1141–
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Chuỗi tỷ suất sinh lợi cổ phiếu ACB
Chuỗi tỷ suất sinh lợi cổ phiếu STB
Chuỗi tỷ suất sinh lợi cổ phiếu NVB
Chuỗi tỷ suất sinh lợi phi rủi ro INT
Đồ thị 4.1 - Đồ thị theo thời gian của chuỗi CTG Đồ thị 4.2 - Đồ thị theo thời gian của chuỗi ACB
Đồ thị 4.3 - Đồ thị theo thời gian của chuỗi EIB Đồ thị 4.4 - Đồ thị theo thời gian của chuỗi VCB
Đồ thị 4.7 - Đồ thị theo thời gian của chuỗi MBB Đồ thị 4.8 - Đồ thị theo thời gian của chuỗi NVB
Đồ thị 4.11 - Đồ thị theo thời gian của chuỗi INT
Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -29.31032 0.0000 Test critical values: 1% level -2.567166
5% level -1.941125 10% level -1.616496
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(CTG)
Method: Least Squares Date: 05/24/14 Time: 21:27
Sample (adjusted): 9/22/2009 9/30/2013 Included observations: 1050 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
CTG(-1) -0.898478 0.030654 -29.31032 0.0000
R-squared 0.450234 Mean dependent var 7.13E-05 Adjusted R-squared 0.450234 S.D. dependent var 0.028976 S.E. of regression 0.021484 Akaike info criterion -4.842039 Sum squared resid 0.484191 Schwarz criterion -4.837318 Log likelihood 2543.070 Hannan-Quinn criter. -4.840249 Durbin-Watson stat 2.000073
Chuỗi tỷ suất sinh lợi cổ phiếu ACB
Null Hypothesis: ACB has a unit root Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -31.00061 0.0000 Test critical values: 1% level -2.567141
5% level -1.941122 10% level -1.616499
*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(ACB)
Method: Least Squares Date: 05/24/14 Time: 21:11
Sample (adjusted): 9/04/2009 9/30/2013 Included observations: 1062 after adjustments
R-squared 0.475280 Mean dependent var 4.65E-05 Adjusted R-squared 0.475280 S.D. dependent var 0.023768 S.E. of regression 0.017217 Akaike info criterion -5.284895 Sum squared resid 0.314508 Schwarz criterion -5.280218 Log likelihood 2807.279 Hannan-Quinn criter. -5.283123 Durbin-Watson stat 1.985512
Chuỗi tỷ suất sinh lợi cổ phiếu EIB
Null Hypothesis: EIB has a unit root Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -27.31169 0.0000 Test critical values: 1% level -2.567329
5% level -1.941147 10% level -1.616481
*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(EIB)
Method: Least Squares Date: 05/31/14 Time: 19:22
Sample (adjusted): 12/31/2009 9/30/2013 Included observations: 978 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
EIB(-1) -0.865791 0.031700 -27.31169 0.0000
R-squared 0.432942 Mean dependent var -6.79E-06 Adjusted R-squared 0.432942 S.D. dependent var 0.020419 S.E. of regression 0.015376 Akaike info criterion -5.510996 Sum squared resid 0.230984 Schwarz criterion -5.506001 Log likelihood 2695.877 Hannan-Quinn criter. -5.509095 Durbin-Watson stat 1.986831
Chuỗi tỷ suất sinh lợi cổ phiếu VCB
Null Hypothesis: VCB has a unit root Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -29.82509 0.0000 Test critical values: 1% level -2.567141
Dependent Variable: D(VCB) Method: Least Squares Date: 05/31/14 Time: 21:22
Sample (adjusted): 9/04/2009 9/30/2013 Included observations: 1062 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
VCB(-1) -0.913761 0.030637 -29.82509 0.0000
R-squared 0.456046 Mean dependent var 3.18E-05 Adjusted R-squared 0.456046 S.D. dependent var 0.029449 S.E. of regression 0.021720 Akaike info criterion -4.820256 Sum squared resid 0.500521 Schwarz criterion -4.815578 Log likelihood 2560.556 Hannan-Quinn criter. -4.818483 Durbin-Watson stat 1.985387
Chuỗi tỷ suất sinh lợi cổ phiếu STB
Null Hypothesis: STB has a unit root Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -23.38244 0.0000 Test critical values: 1% level -2.567143
5% level -1.941122 10% level -1.616499
*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(STB)
Method: Least Squares Date: 05/31/14 Time: 21:16
Sample (adjusted): 9/07/2009 9/30/2013 Included observations: 1061 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
STB(-1) -0.937291 0.040085 -23.38244 0.0000 D(STB(-1)) 0.090791 0.030476 2.979082 0.0030
R-squared 0.434420 Mean dependent var -6.73E-06 Adjusted R-squared 0.433886 S.D. dependent var 0.024500 S.E. of regression 0.018434 Akaike info criterion -5.147386 Sum squared resid 0.359851 Schwarz criterion -5.138023 Log likelihood 2732.688 Hannan-Quinn criter. -5.143838 Durbin-Watson stat 2.006155
Lag Length: 0 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -32.98019 0.0000 Test critical values: 1% level -2.567141
5% level -1.941122 10% level -1.616499
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(SHB)
Method: Least Squares Date: 05/31/14 Time: 20:34
Sample (adjusted): 9/04/2009 9/30/2013 Included observations: 1062 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
SHB(-1) -1.011406 0.030667 -32.98019 0.0000
R-squared 0.506211 Mean dependent var 5.42E-05 Adjusted R-squared 0.506211 S.D. dependent var 0.038868 S.E. of regression 0.027313 Akaike info criterion -4.361992 Sum squared resid 0.791486 Schwarz criterion -4.357314 Log likelihood 2317.218 Hannan-Quinn criter. -4.360220 Durbin-Watson stat 1.998028
Chuỗi tỷ suất sinh lợi cổ phiếu MBB
Null Hypothesis: MBB has a unit root Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -23.10155 0.0000 Test critical values: 1% level -2.569829
5% level -1.941490 10% level -1.616252
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(MBB)
Method: Least Squares Date: 05/31/14 Time: 19:35
R-squared 0.529079 Mean dependent var 0.000105 Adjusted R-squared 0.529079 S.D. dependent var 0.024223 S.E. of regression 0.016623 Akaike info criterion -5.353963 Sum squared resid 0.131254 Schwarz criterion -5.345212 Log likelihood 1275.243 Hannan-Quinn criter. -5.350522 Durbin-Watson stat 2.001420
Chuỗi tỷ suất sinh lợi cổ phiếu NVB
Null Hypothesis: NVB has a unit root Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -24.94638 0.0000 Test critical values: 1% level -2.568012
5% level -1.941241 10% level -1.616419
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(NVB)
Method: Least Squares Date: 05/31/14 Time: 19:51
Sample (adjusted): 11/03/2010 9/30/2013 Included observations: 759 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
NVB(-1) -1.378800 0.055271 -24.94638 0.0000 D(NVB(-1)) 0.148091 0.035689 4.149463 0.0000
R-squared 0.610907 Mean dependent var 8.94E-05 Adjusted R-squared 0.610393 S.D. dependent var 0.054699 S.E. of regression 0.034142 Akaike info criterion -3.913945 Sum squared resid 0.882417 Schwarz criterion -3.901740 Log likelihood 1487.342 Hannan-Quinn criter. -3.909245 Durbin-Watson stat 2.021630
Chuỗi tỷ suất sinh lợi cổ phiếu BANKINDEX
Null Hypothesis: BANKINDEX has a unit root Exogenous: None
Test critical values: 1% level -2.567141 5% level -1.941122 10% level -1.616499
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(BANKINDEX) Method: Least Squares
Date: 07/16/14 Time: 05:30
Sample (adjusted): 9/04/2009 9/30/2013 Included observations: 1062 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
BANKINDEX(-1) -0.897841 0.030469 -29.46778 0.0000
R-squared 0.450069 Mean dependent var 5.95E-05 Adjusted R-squared 0.450069 S.D. dependent var 0.020769 S.E. of regression 0.015402 Akaike info criterion -5.507749 Sum squared resid 0.251679 Schwarz criterion -5.503072 Log likelihood 2925.615 Hannan-Quinn criter. -5.505977 Durbin-Watson stat 1.982854
Chuỗi tỷ suất sinh lợi cổ phiếu MRK
Null Hypothesis: MRK has a unit root Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=21)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -26.93000 0.0000 Test critical values: 1% level -2.567141
5% level -1.941122 10% level -1.616499
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(MRK)
Method: Least Squares Date: 07/16/14 Time: 05:46
Sample (adjusted): 9/04/2009 9/30/2013 Included observations: 1062 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
Log likelihood 3051.470 Hannan-Quinn criter. -5.742992 Durbin-Watson stat 1.981972
Chuỗi tỷ suất sinh lợi cổ phiếu INT
Null Hypothesis: INT has a unit root Exogenous: None
Lag Length: 8 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -7.992108 0.0000 Test critical values: 1% level -2.567333
5% level -1.941148 10% level -1.616481
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INT)
Method: Least Squares Date: 07/16/14 Time: 05:48
Sample (adjusted): 9/16/2009 6/12/2013 Included observations: 976 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
INT(-1) -1.022305 0.127914 -7.992108 0.0000 D(INT(-1)) -0.338817 0.122250 -2.771511 0.0057 D(INT(-2)) -0.305310 0.115163 -2.651111 0.0082 D(INT(-3)) -0.532386 0.105358 -5.053093 0.0000 D(INT(-4)) -0.539880 0.094228 -5.729527 0.0000 D(INT(-5)) -0.537639 0.081581 -6.590261 0.0000 D(INT(-6)) -0.455110 0.066725 -6.820629 0.0000 D(INT(-7)) -0.296472 0.053316 -5.560621 0.0000 D(INT(-8)) -0.148021 0.031846 -4.647990 0.0000
R-squared 0.740506 Mean dependent var -1.01E-05 Adjusted R-squared 0.738360 S.D. dependent var 0.032223 S.E. of regression 0.016482 Akaike info criterion -5.363873 Sum squared resid 0.262703 Schwarz criterion -5.318841 Log likelihood 2626.570 Hannan-Quinn criter. -5.346738 Durbin-Watson stat 2.022329
Lag Length: 0 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -31.32458 0.0000 Test critical values: 1% level -2.567245
5% level -1.941136 10% level -1.616489
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(FX)
Method: Least Squares Date: 07/16/14 Time: 05:51
Sample (adjusted): 9/04/2009 7/24/2013 Included observations: 1014 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
FX(-1) -0.984098 0.031416 -31.32458 0.0000
R-squared 0.492034 Mean dependent var -3.97E-07 Adjusted R-squared 0.492034 S.D. dependent var 0.004471 S.E. of regression 0.003187 Akaike info criterion -8.658589 Sum squared resid 0.010288 Schwarz criterion -8.653736 Log likelihood 4390.905 Hannan-Quinn criter. -8.656746 Durbin-Watson stat 1.997337
Method: Least Squares Date: 05/24/14 Time: 21:28
Sample (adjusted): 9/21/2009 6/12/2013 Included observations: 973 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C -0.000390 0.000584 -0.666852 0.5050 MRK 0.901470 0.041401 21.77405 0.0000 INT -0.013744 0.030453 -0.451327 0.0652 FX -0.185880 0.180538 1.029586 0.0030
R-squared 0.331040 Mean dependent var -0.000188 Adjusted R-squared 0.328969 S.D. dependent var 0.022225 S.E. of regression 0.018206 Akaike info criterion -5.170041 Sum squared resid 0.321179 Schwarz criterion -5.149978 Log likelihood 2519.225 Hannan-Quinn criter. -5.162405 F-statistic 159.8391 Durbin-Watson stat 1.788602 Prob(F-statistic) 0.000000
Dependent Variable: ACB Method: Least Squares Date: 05/24/14 Time: 21:12
Sample (adjusted): 9/03/2009 6/12/2013 Included observations: 985 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C -0.000821 0.000460 -1.785979 0.0744
MRK 0.740790 0.032301 22.93415 0.0000
INT -0.001849 0.024114 -0.076663 0.0094
FX -0.062745 0.142621 0.439941 0.0066
R-squared 0.350313 Mean dependent var -0.000698
Adjusted R-squared 0.348326 S.D. dependent var 0.017861
S.E. of regression 0.014419 Akaike info criterion -5.636542
Sum squared resid 0.203946 Schwarz criterion -5.616674
Log likelihood 2779.997 Hannan-Quinn criter. -5.628985
F-statistic 176.3195 Durbin-Watson stat 1.912213
Prob(F-statistic) 0.000000
MƠ HÌNH 1 – VCB
Dependent Variable: VCB Method: Least Squares Date: 05/31/14 Time: 21:22
Sample (adjusted): 9/03/2009 6/12/2013 Include observations: 985 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
MƠ HÌNH 1 – STB
Dependent Variable: STB Method: Least Squares Date: 05/31/14 Time: 21:16
Sample (adjusted): 9/03/2009 6/12/2013 Included observations: 985 after adjustments
Adjusted R-squared 0.439390 S.D. dependent var 0.021987 S.E. of regression 0.016463 Akaike info criterion -5.371373 Sum squared resid 0.265875 Schwarz criterion -5.351504 Log likelihood 2649.401 Hannan-Quinn criter. -5.363816 F-statistic 258.0770 Durbin-Watson stat 1.701295 Prob(F-statistic) 0.000000
Adjusted R-squared 0.261308 S.D. dependent var 0.019181 S.E. of regression 0.016486 Akaike info criterion -5.368565 Sum squared resid 0.266622 Schwarz criterion -5.348697 Log likelihood 2648.018 Hannan-Quinn criter. -5.361008 F-statistic 117.0278 Durbin-Watson stat 1.653308 Prob(F-statistic) 0.000000