CHƯƠNG 5 : KẾT LUẬN
5.3 Những gợi ý về hướng nghiên cứu tiếp theo
Trong q trình nghiên cứu, tác giả nhận thấy cịn nhiều vấn đề vẫn chưa được nghiên cứu một cách toàn diện cần phải thực hiện thêm nhằm đạt được những nhận thức toàn diện và đầy đủ hơn về vấn đề cần nghiên cứu mối quan hệ giữa dòng vốn đầu tư gián tiếp nước ngoài và tỷ suất sinh lợi thị trường chứng khốn, những nghiên cứu tiếp theo có thể thực hiện theo một số hướng như sau:
Thực hiện nghiên cứu trên quy mơ tồn bộ thị trường thay vì chỉ dùng chỉ số đại diện cho từng thị trường. Điều này góp phần đưa ra nhận định chính xác và đầy đủ hơn cho các thị trường được nghiên cứu.
Thực hiện nghiên cứu trên dữ liệu từng ngành hay từng doanh nghiệp để phân tích và đưa ra nhận định chính xác về mối quan hệ này trong đặc thù của từng ngành, từng doanh nghiệp. Từ đó, nhà đầu tư có thể có những quyết định đầu tư chính xác hơn và cơ quan nhà nước có thể đưa ra chính sách nhằm thúc đẩy những ngành mục tiêu một cách hiệu quả hơn.
Thực hiện nghiên cứu trong đó kiểm sốt thêm yếu tố vĩ mơ của từng nền kinh tế như thể chế, chính sách kiểm soát vốn, tỷ giá hối đoái .... Những nghiên cứu này được kỳ vọng sẽ kiểm sốt tồn bộ các yếu tố khách quan ảnh hưởng đến mối quan hệ giữa dịng vốn đầu tư gián tiếp nước ngồi và tỷ suất sinh lợi thị trường chứng khoán.
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Ba nhân tố toàn cầu W, CS, EM
ADF Test for series: W
sample range: [2007 M2, 2015 M6], T = 101 lagged differences: 0
intercept, time trend asymptotic critical values
reference: Davidson, R. and MacKinnon, J. (1993),
"Estimation and Inference in Econometrics" p 708, table 20.1, Oxford University Press, London
1% 5% 10%
-3.96 -3.41 -3.13
value of test statistic: -8.0592 regression results:
--------------------------------------- variable coefficient t-statistic ---------------------------------------
x(-1) -0.7990 -8.0592
constant 0.0020 0.4100
trend 0.0003 1.8642
RSS 0.2272
ADF Test for series: CS
sample range: [2007 M2, 2015 M6], T = 101 lagged differences: 0
intercept, time trend asymptotic critical values
reference: Davidson, R. and MacKinnon, J. (1993),
"Estimation and Inference in Econometrics" p 708, table 20.1, Oxford University Press, London
1% 5% 10%
-3.96 -3.41 -3.13
value of test statistic: -7.3559 regression results:
--------------------------------------- variable coefficient t-statistic ---------------------------------------
x(-1) -0.7101 -7.3559
constant 0.0044 0.5742
trend -0.0002 -0.9398
asymptotic critical values
reference: Davidson, R. and MacKinnon, J. (1993),
"Estimation and Inference in Econometrics" p 708, table 20.1, Oxford University Press, London
1% 5% 10%
-3.96 -3.41 -3.13
value of test statistic: -8.4249 regression results:
--------------------------------------- variable coefficient t-statistic --------------------------------------- x(-1) -0.8433 - 8.4249 constant 0.0030 0.5060 trend 0.0000 0.0652 RSS 0.3410 Việt Nam - tháng
ADF Test for series: FVN
sample range: [2007 M2, 2015 M6], T = 101 lagged differences: 0
intercept, time trend asymptotic critical values
reference: Davidson, R. and MacKinnon, J. (1993),
"Estimation and Inference in Econometrics" p 708, table 20.1, Oxford University Press, London
1% 5% 10%
-3.96 -3.41 -3.13
value of test statistic: -7.6218 regression results:
--------------------------------------- variable coefficient t-statistic ---------------------------------------
x(-1) -0.6052 -7.6218
constant 0.0008 3.3029
trend -0.0000 -2.3684
RSS 0.0005
ADF Test for series: RVN
sample range: [2007 M2, 2015 M6], T = 101 lagged differences: 0
intercept, time trend asymptotic critical values
-3.96 -3.41 -3.13 value of test statistic: -7.9797 regression results:
--------------------------------------- variable coefficient t-statistic --------------------------------------- x(-1) -0.7864 -7.9797 constant -0.0043 -0.4824 trend 0.0004 1.2921 RSS 0.7996 Hàn Quốc
ADF Test for series: FKR
sample range: [2007 M2, 2015 M6], T = 101 lagged differences: 0
intercept, time trend asymptotic critical values
reference: Davidson, R. and MacKinnon, J. (1993),
"Estimation and Inference in Econometrics" p 708, table 20.1, Oxford University Press, London
1% 5% 10%
-3.96 -3.41 -3.13
value of test statistic: -6.8948 regression results:
--------------------------------------- variable coefficient t-statistic ---------------------------------------
x(-1) -0.6539 -6.8948
constant -0.0001 -0.2881
trend 0.0000 1.5186
RSS 0.0012
ADF Test for series: RKR
sample range: [2007 M2, 2015 M6], T = 101 lagged differences: 0
intercept, time trend asymptotic critical values
reference: Davidson, R. and MacKinnon, J. (1993),
"Estimation and Inference in Econometrics" p 708, table 20.1, Oxford University Press, London
1% 5% 10%
--------------------------------------- x(-1) -0.9542 -9.4659 constant 0.0034 0.5846 trend -0.0001 -0.3244 RSS 0.3265 Thái Lan
ADF Test for series: FTL
sample range: [2007 M2, 2015 M6], T = 101 lagged differences: 0
intercept, time trend asymptotic critical values
reference: Davidson, R. and MacKinnon, J. (1993),
"Estimation and Inference in Econometrics" p 708, table 20.1, Oxford University Press, London
1% 5% 10%
-3.96 -3.41 -3.13
value of test statistic: -8.2193 regression results:
--------------------------------------- variable coefficient t-statistic ---------------------------------------
x(-1) -0.8125 -8.2193
constant -0.0002 -0.6565
trend -0.0000 -0.0895
RSS 0.0008
ADF Test for series: RTL
sample range: [2007 M2, 2015 M6], T = 101 lagged differences: 0
intercept, time trend asymptotic critical values
reference: Davidson, R. and MacKinnon, J. (1993),
"Estimation and Inference in Econometrics" p 708, table 20.1, Oxford University Press, London
1% 5% 10%
-3.96 -3.41 -3.13
value of test statistic: -8.0632 regression results:
--------------------------------------- variable coefficient t-statistic ---------------------------------------
Đài Loan
ADF Test for series: FTW
sample range: [2007 M2, 2015 M6], T = 101 lagged differences: 0
intercept, time trend asymptotic critical values
reference: Davidson, R. and MacKinnon, J. (1993),
"Estimation and Inference in Econometrics" p 708, table 20.1, Oxford University Press, London
1% 5% 10%
-3.96 -3.41 -3.13
value of test statistic: -8.9528 regression results:
--------------------------------------- variable coefficient t-statistic ---------------------------------------
x(-1) -0.9059 -8.9528
constant 0.0003 0.7123
trend 0.0000 1.1593
RSS 0.0013
ADF Test for series: RTW
sample range: [2007 M2, 2015 M6], T = 101 lagged differences: 0
intercept, time trend asymptotic critical values
reference: Davidson, R. and MacKinnon, J. (1993),
"Estimation and Inference in Econometrics" p 708, table 20.1, Oxford University Press, London
1% 5% 10%
-3.96 -3.41 -3.13
value of test statistic: -8.4293 regression results:
--------------------------------------- variable coefficient t-statistic ---------------------------------------
x(-1) -0.8434 -8.4293
constant 0.0016 0.2590
trend 0.0001 0.3408
TEST FOR GRANGER-CAUSALITY:
H0: "CS, EM, FVN, RVN" do not Granger-cause "W" Test statistic l = 2.3530
pval-F( l; 16, 380) = 0.0024
TEST FOR INSTANTANEOUS CAUSALITY:
H0: No instantaneous causality between "CS, EM, FVN, RVN" and "W" Test statistic: c = 67.3813
pval-Chi( c; 4) = 0.0000
TEST FOR GRANGER-CAUSALITY:
H0: "W, EM, FVN, RVN" do not Granger-cause "CS" Test statistic l = 2.2037
pval-F( l; 16, 380) = 0.0049
TEST FOR INSTANTANEOUS CAUSALITY:
H0: No instantaneous causality between "W, EM, FVN, RVN" and "CS" Test statistic: c = 56.1614
pval-Chi( c; 4) = 0.0000
TEST FOR GRANGER-CAUSALITY:
H0: "W, CS, FVN, RVN" do not Granger-cause "EM" Test statistic l = 2.2245
pval-F( l; 16, 380) = 0.0044
TEST FOR INSTANTANEOUS CAUSALITY:
H0: No instantaneous causality between "W, CS, FVN, RVN" and "EM" Test statistic: c = 52.9381
pval-Chi( c; 4) = 0.0000
TEST FOR GRANGER-CAUSALITY:
H0: "W, CS, EM, RVN" do not Granger-cause "FVN" Test statistic l = 3.3532
TEST FOR GRANGER-CAUSALITY:
H0: "W, CS, EM, FVN" do not Granger-cause "RVN" Test statistic l = 3.1589
pval-F( l; 16, 380) = 0.0000
TEST FOR INSTANTANEOUS CAUSALITY:
H0: No instantaneous causality between "W, CS, EM, FVN" and "RVN" Test statistic: c = 24.7306
pval-Chi( c; 4) = 0.0001 Hàn Quốc
TEST FOR GRANGER-CAUSALITY:
H0: "CS, EM, FKR, RKR" do not Granger-cause "W" Test statistic l = 5.5067
pval-F( l; 16, 380) = 0.0000
TEST FOR INSTANTANEOUS CAUSALITY:
H0: No instantaneous causality between "CS, EM, FKR, RKR" and "W" Test statistic: c = 33.7403
pval-Chi( c; 4) = 0.0000
TEST FOR GRANGER-CAUSALITY:
H0: "W, EM, FKR, RKR" do not Granger-cause "CS" Test statistic l = 2.6360
pval-F( l; 16, 380) = 0.0006
TEST FOR INSTANTANEOUS CAUSALITY:
H0: No instantaneous causality between "W, EM, FKR, RKR" and "CS" Test statistic: c = 43.9489
pval-Chi( c; 4) = 0.0000
TEST FOR GRANGER-CAUSALITY:
H0: "W, CS, FKR, RKR" do not Granger-cause "EM"