CHƯƠNG 5 : KẾT LUẬN VÀ NGỤ Ý CHÍNH SÁCH
5.3 Hạn chế của đề tài và định hướng nghiên cứu tiếp theo
Vì thời gian và kiến thức của bản thân có hạn nên luận văn cũng không tránh khỏi những thiếu sót và hạn chế nhất định như sau:
- Bài nghiên cứu chỉ phân tích và so sánh Việt Nam và 3 nền kinh tế mới nổi. Đồng thời sử dụng chỉ 5 biến trong nền kinh tế, còn rất nhiều biến vĩ mô khác cần nghiên cứu để thấy rõ mức độ ảnh hưởng của kinh tế vĩ mô đến giá chứng khoán.
- Do hạn chế trong việc thu thập dữ liệu nên kết quả ít nhiều có ảnh hưởng đến tính đại diện của cỡ mẫu
DANH MỤC TÀI LIỆU THAM KHẢO Tài liệu tham khảo Tiếng Việt
1. Trần Ngọc Thơ và Nguyễn Ngọc Định, Sách Tài chính Quốc tế, Chương 11 “Bộ ba bất khả thi và những thay đổi trong cấu trúc tài chính quốc”.
2. Huỳnh Thế Nguyễn & Nguyễn Quyết, 2013. Mối quan hệ giữa tỷ giá hối đoái, lãi suất và giá của phiếu tại TP. HCM, Số 11 (21) - Tháng 07-08/2013,
Phát triển & Hội nhập, trang 37-41
3. Irving Fisher (1911), Sức mua của đồng tiền (The Purchasing Power of Money): Những quyết tâm và liên quan đến tín dụng, lãi suất và crises – 1911
4. Nguyễn Minh Kiều, Nguyễn Văn Điệp, Lê Nguyễn Hoàng Tâm, 2013. Các yếu tố kinh tế vĩ mô và biến động của thị trường chứng khoán Việt Nam, 2013, Tạp chí Tài Chính
5. Phan Thị Bích Nguyệt và Phạm Dương Phương Thảo, 2013. Phân tích tác động của các nhân tố kinh tế vĩ mơ đến thị trường chứng khốn Việt Nam,
Tài liệu tham khảo Tiếng Anh
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3. Ajayi, R. A., & Mougoue, M. (1996). On the dynamic relation between stock prices and exchange rates. Journal of Financial Research, 19, 193–207. 4. Amihud, Y. (1993). Exchange rates and the valuation of equity shares. In Y.
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7. Asmy, Mohamed; Rohilina, Wisam; Hassama, Aris and Fouad, Md (2009), “Effects of Macroeconomic Variables on Stock Prices in Malaysia: An Approach of Error Correction Model”.
8. Branson, W.H. (1983), Macroeconomic Determinants of Real Exchange Risk. In R.J Herring (ed) Managening Foreign Exchange Risk. Chapter 1. Cambridge. Cambridge University Press.
9. Bahmani-Oskooee, M., & Sohrabian, A. (1992). Stock prices and the effective exchange rate of the dollar. Applied Economics, 24, 459–464. 10. Climent, F., & Meneu, V. (2003). Has 1997 Asian crisis increased
information flows between international markets. International Review of Economics and Finance, 12, 111–143.
11. Chien Hsiu Lin (2011) – The Comovement Between Exchange Rates and Stock Prices in the Asean Emerging Markets.
12. Dornbusch, R., & Fischer, S. (1980). Exchange rates and the current account.
American Economic Review, 70, 960–971.
13. Dadgar and Nazari (2012). The Analysis of Relationship between Stock Prices and Exchange Rates in Iran (2007 – 2012)
14. Damodar N. Gujarati (2003) Basic econometrics, 4th edition, McGraw- Hill/Irwin
15. Dornbusch, R. and Fischer, S. (1980), “Exchange Rates and the Current Account”, The American Economic Review, Vol. 70, No. 5, pp.960-971.
Available at: http://www.jstor.org/stable/1805775
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17. Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction estimates: Representation, estimation and testing. Econometrica, 55, 251– 276. Erb, C. B., Harvey, C. R., & Viskanta, T. E. (1998). Contagion and risk.
Emerging Markets Quarterly, 2, 46 –64.
18. Frankel, J. A. (1983). Monetary and portfolio-balance models of exchange rate determination. In J. S. Bhandari, & B. H. Putnam (Eds.), Economic interdependence and flexible exchange rates. Cambridge, MA: MIT Press.
19. Gavin, M. (1989). The stock market and exchange rate dynamics. Journal of
International Money and Finance, 8, 181–200.
20. Granger, C. W. J., Huang, B. N., & Yang, C. W. (2000). A bivariate causality between stock prices and exchange rates: Evidence from recent Asian flu. The Quarterly Review of Economics and Finance, 40, 337–354. 21. Gavin, M. (1988), “The Stock Market and Exchange rate Dynamic”, Journal
of International Money and Finance, Vol.8 (2), pp.181-200.
22. Goswami, G and Jung, S-C. (1997). Stock market and Economic Forces: Evidence From Korea
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24. James G. MacKinnon (1996), Critical Values for Cointegration Tests,
Queen’s Economics Department Working Paper No. 1227
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26. Johansen, J., & Juselius, K. (1990). Maximum likelihood estimation and inferences on cointegration — With application to the demand for money.
Oxford Bulletin of Economics and Statistics, 52, 169–210.
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28. Komain Jiranyakul (2009), “Economics Forces and the Thai Stock Market, 1993-2007”.
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1082–1089.
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PHỤ LỤC
PHỤ LỤC 1: Kết quả kiểm định ở Việt Nam
Phụ lục 1.1: Kiểm định tính dừng của phần dư của mơ hình ở Việt Nam từ 2008- 2014
Group unit root test: Summary Exogenous variables: None
Automatic selection of maximum lags
Automatic lag length selection based on SIC: 0
Newey-West automatic bandwidth selection and Bartlett kernel Balanced observations for each test
Cross-
Method Statistic Prob.** sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* -25.1737 0.0000 6 618
Null: Unit root (assumes individual unit root process)
ADF - Fisher Chi-square 1449.32 0.0000 6 618
PP - Fisher Chi-square 1459.77 0.0000 6 618
** Probabilities for Fisher tests are computed using an asymptotic Chi-square distribution. All other tests assume asymptotic normality.
Phụ lục 1.2:Kiểm định Portmanteau tự tương quan phần dư của mơ hình hồi quy với dữ liệu Việt Nam giai đoạn 2005 - 2014
VEC Residual Portmanteau Tests for Autocorrelations Null Hypothesis: no residual autocorrelations up to lag h Date: 09/23/14 Time: 17:37
Sample: 2005M08 2014M05 Included observations: 104
Lags Q-Stat Prob. Adj Q-Stat Prob. df
1 8.161395 NA* 8.240632 NA* NA*
2 48.76370 0.9447 49.63906 0.9336 66
3 73.90118 0.9837 75.52320 0.9770 102
4 105.7174 0.9812 108.6121 0.9694 138
5 136.1748 0.9846 140.6077 0.9701 174
6 170.5306 0.9788 177.0670 0.9522 210
*The test is valid only for lags larger than the VAR lag order. df is degrees of freedom for (approximate) chi-square distribution
Phụ lục 1.3: Kiểm định LM test tự tương quan phần dư của mơ hình hồi quy với dữ liệu Việt Nam giai đoạn 2005 - 2014
VEC Residual Serial Correlation LM Tests
Null Hypothesis: no serial correlation at lag order h Date: 09/23/14 Time: 17:39
Sample: 2005M08 2014M05 Included observations: 104
Lags LM-Stat Prob
1 36.73696 0.4345 2 48.32702 0.0822 3 26.42388 0.8784 4 32.63231 0.6296 5 32.97289 0.6133 6 34.03998 0.5621
Probs from chi-square with 36 df.
Phụ lục 1.4: Kiểm tra tính dừng phần dư
Chuỗi dữ liệu ADF test PP test
Phần dư mơ hình u -5.651160*** -5.852357***
Phụ lục 1.5: Kiểm định tự tương quan
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 2.793860 Prob. F(6,7) 0.1025
Obs*R-squared 19.04651 Prob. Chi-Square(6) 0.0041
Phụ lục 1.6: Kiểm định phần dư giai đoạn 2008 - 2014
Chuỗi dữ liệu ADF test PP test
Phần dư mơ hình u -8.943757*** -8.865870***
Phụ lục 1.7 Kiểm định tự tương quan giai đoạn 2008 - 2014
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 0.412024 Prob. F(6,53) 0.8678
Phụ lục 1.8 Kết quả hồi quy VECM giải đoạn tổng thể
Vector Error Correction Estimates Date: 09/18/14 Time: 10:53
Sample (adjusted): 2005M10 2014M05 Included observations: 104 after adjustments Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq: CointEq1
LSP(-1) 1.000000 LEX(-1) 2.123564 (0.33940) [ 6.25686] INT(-1) 0.026895 (0.01139) [ 2.36074] LFR(-1) -0.041751 (0.11422) [-0.36554] LAS(-1) -2.997881 (0.26481) [-11.3209] LOIL(-1) 1.444003 (0.26293) [ 5.49186] C -14.16833
Error Correction: D(LSP) D(LEX) D(INT) D(LFR) D(LAS) D(LOIL)
CointEq1 -0.086987 -0.002156 -2.986490 0.025446 -0.037679 -0.150267 (0.04638) (0.00409) (0.54327) (0.02094) (0.03151) (0.03534) [-1.87557] [-0.52787] [-5.49729] [ 1.21538] [-1.19578] [-4.25175] D(LSP(-1)) 0.287317 -0.005574 0.246900 0.034952 0.005856 0.093364 (0.10645) (0.00938) (1.24691) (0.04805) (0.07232) (0.08112) [ 2.69907] [-0.59449] [ 0.19801] [ 0.72734] [ 0.08098] [ 1.15096] D(LEX(-1)) 0.714856 0.151846 -2.371261 0.075073 0.193478 0.258591 (1.16462) (0.10258) (13.6419) (0.52574) (0.79124) (0.88748) [ 0.61381] [ 1.48022] [-0.17382] [ 0.14279] [ 0.24453] [ 0.29138] D(INT(-1)) 0.002326 -0.000316 -0.280488 0.004758 0.005566 0.007635 (0.00789) (0.00070) (0.09244) (0.00356) (0.00536) (0.00601) [ 0.29481] [-0.45391] [-3.03440] [ 1.33562] [ 1.03820] [ 1.26973]
D(LFR(-1)) -0.040630 -0.037024 -10.22824 0.517700 -0.039725 -0.269669 (0.21075) (0.01856) (2.46863) (0.09514) (0.14318) (0.16060) [-0.19279] [-1.99444] [-4.14328] [ 5.44154] [-0.27745] [-1.67916] D(LAS(-1)) 0.225823 -0.003650 -7.023998 0.126417 0.124818 -0.155620 (0.22236) (0.01959) (2.60463) (0.10038) (0.15107) (0.16945) [ 1.01557] [-0.18636] [-2.69674] [ 1.25939] [ 0.82623] [-0.91841] D(LOIL(-1)) -0.241569 0.000980 3.457625 -0.083702 -0.070429 0.161694 (0.14320) (0.01261) (1.67740) (0.06465) (0.09729) (0.10912) [-1.68691] [ 0.07773] [ 2.06130] [-1.29479] [-0.72391] [ 1.48175] C 0.002485 0.002855 0.113044 0.005760 0.005093 0.007159 (0.01115) (0.00098) (0.13058) (0.00503) (0.00757) (0.00849) [ 0.22294] [ 2.90745] [ 0.86573] [ 1.14469] [ 0.67242] [ 0.84272] R-squared 0.183445 0.096020 0.361475 0.293779 0.062806 0.298345 Adj. R-squared 0.123904 0.030105 0.314916 0.242284 -0.005531 0.247182 Sum sq. resids 1.012839 0.007858 138.9689 0.206404 0.467501 0.588145 S.E. equation 0.102715 0.009047 1.203160 0.046369 0.069784 0.078272 F-statistic 3.081007 1.456719 7.763796 5.704967 0.919064 5.831329 Log likelihood 93.27534 345.9413 -162.6423 175.9906 133.4772 121.5394 Akaike AIC -1.639910 -6.498872 3.281583 -3.230588 -2.413022 -2.183449 Schwarz SC -1.436496 -6.295457 3.484997 -3.027173 -2.209607 -1.980034 Mean dependent 0.006384 0.002701 -0.048365 0.013671 0.005293 0.004218 S.D. dependent 0.109738 0.009187 1.453622 0.053268 0.069592 0.090211
Determinant resid covariance (dof adj.) 4.06E-14
Determinant resid covariance 2.51E-14
Log likelihood 743.0040
Akaike information criterion -13.25008
Phụ lục 1.9: Bảng hồi quy ARDL được lựa chọn của Việt Nam giai đoạn trước khủng hoảng
Dài hạn
Autoregressive Distributed Lag Estimates
ARDL(1,0,1,2,0,2) selected based on Akaike Information Criterion
******************************************************************************* Dependent variable is LSP
27 observations used for estimation from 2005M10 to 2007M12
******************************************************************************* Regressor Coefficient Standard Error T-Ratio[Prob]
LSP(-1) 0.91328 0.15928 5.7339[.000] LEX 1.5164 0.80456 1.8847[.078] INT -0.028131 0.027656 -1.0172[.324] INT(-1) -0.032516 0.026165 -1.2427[.232] LFR 1.4094 0.86978 1.6204[.125] LFR(-1) -0.81889 1.3451 -0.60881[.551] LFR(-2) -1.6770 0.86385 -1.9413[.070] LAS 1.6876 0.51395 3.2837[.005] LOIL -0.52368 0.32020 -1.6355[.121] LOIL(-1) -0.19464 0.37127 -0.52427[.607] LOIL(-2) 1.0194 0.39840 2.5588[.021] ******************************************************************************* R-Squared 0.97282 R-Bar-Squared 0.95584
S.E. of Regression 0.095476 F-stat. F( 10, 16) 57.2761[.000] Mean of Dependent Variable 6.4756 S.D. of Dependent Variable 0.45434 Residual Sum of Squares 0.14585 Equation Log-likelihood 32.1722 Akaike Info. Criterion 21.1722 Schwarz Bayesian Criterion 14.0451 DW-statistic 2.2386 Durbin's h-statistic -1.1044[.269]
******************************************************************************* Diagnostic Tests
******************************************************************************* * Test Statistics * LM Version * F Version *
******************************************************************************* * A:Serial Correlation *CHSQ( 12)= 19.4037[.079] *F( 12, 4)= .85146[.630] *
* B:Functional Form *CHSQ( 1)= 3.4936[.062] *F( 1, 15)= 2.2294[.156] * * C:Normality *CHSQ( 2)= .22459[.894] * Not applicable * * D:Heteroscedasticity *CHSQ( 1)= 1.6424[.200] *F( 1, 25)= 1.6193[.215]*
******************************************************************************* A:Lagrange multiplier test of residual serial correlation
B:Ramsey's RESET test using the square of the fitted values C:Based on a test of skewness and kurtosis of residuals
D:Based on the regression of squared residuals on squared fitted values
Ngắn hạn
Error Correction Representation for the Selected ARDL Model ARDL(1,0,1,2,0,2) selected based on Akaike Information Criterion
******************************************************************************* Dependent variable is dLSP
27 observations used for estimation from 2005M10 to 2007M12
******************************************************************************* Regressor Coefficient Standard Error T-Ratio[Prob]
dLEX 1.5164 0.80456 1.8847[.075] dINT -0.028131 0.027656 -1.0172[.322] dLFR 1.4094 0.86978 1.6204[.122] dLFR1 1.6770 0.86385 1.9413[.067] dLAS 1.6876 0.51395 3.2837[.004] dLOIL -0.52368 0.32020 -1.6355[.118] dLOIL1 -1.0194 0.39840 -2.5588[.019] ecm(-1) -0.086717 0.15928 -0.54443[.592] ******************************************************************************* List of additional temporary variables created:
dLSP = LSP-LSP(-1) dLEX = LEX-LEX(-1) dINT = INT-INT(-1) dLFR = LFR-LFR(-1) dLFR1 = LFR(-1)-LFR(-2) dLAS = LAS-LAS(-1) dLOIL = LOIL-LOIL(-1) dLOIL1 = LOIL(-1)-LOIL(-2)
ecm = LSP -17.4867*LEX + .69938*INT + 12.5285*LFR -19.4615*LAS -3.4720 *LOIL *******************************************************************************
R-Squared .68602 R-Bar-Squared .48978 S.E. of Regression .095476 F-stat. F( 7, 19) 4.9940[.002] Mean of Dependent Variable .043126 S.D. of Dependent Variable .13366 Residual Sum of Squares .14585 Equation Log-likelihood 32.1722 Akaike Info. Criterion 21.1722 Schwarz Bayesian Criterion 14.0451 DW-statistic 2.2386
******************************************************************************* R-Squared and R-Bar-Squared measures refer to the dependent variable
dLSP and in cases where the error correction model is highly restricted, these measures could become negative.
Phụ lục 1.10 Bảng hồi quy ARDL được lựa chọn của Việt Nam giai đoạn khủng hoảng
Dài hạn
Autoregressive Distributed Lag Estimates
ARDL(3,1,0,3,3,3) selected based on Akaike Information Criterion ******************************************************************* Dependent variable is LSP
74 observations used for estimation from 2008M4 to 2014M5
*******************************************************************
Regressor Coefficient Standard Error T-Ratio[Prob]
LSP(-2) -0.0130 0.1605 -0.0811 [0.936] LSP(-3) -0.2198 0.1088 -2.0202 [0.048] LEX -1.2896 0.8053 -1.6014 [0.115] LEX(-1) 1.0080 0.8036 1.2544 [0.215] INT 0.0021 0.0024 0.8738 [0.386] LFR 0.3593 0.1795 2.0011 [0.050] LFR(-1) -0.3621 0.2721 -1.3306 [0.189] LFR(-2) -0.2469 0.2794 -0.8838 [0.381] LFR(-3) 0.3606 0.1766 2.0416 [0.046] LAS 0.5475 0.1733 3.1597 [0.003] LAS(-1) -0.0795 0.2103 -0.3781 [0.707] LAS(-2) -0.4607 0.2028 -2.2724 [0.027] LAS(-3) 0.5372 0.1759 3.0537 [0.003] LOIL -0.0962 0.1331 -0.7231 [0.473] LOIL(-1) -0.2479 0.1722 -1.4398 [0.155] LOIL(-2) 0.4977 0.1705 2.9196 [0.005] LOIL(-3) -0.4140 0.1328 -3.1171 [0.003] R-Squared 0.8945 R-Bar-Squared 0.86251
S.E. of Regression 0.0649 F-stat. F (17, 56) 27.9390
Mean of Dependent Variable 6.1063 S.D. of Dependent Variable 0.1750 Residual Sum of Squares 0.2359 Equation Log-likelihood 107.6956 Akaike Info. Criterion 89.6956 Schwarz Bayesian Criterion 68.9590
DW-statistic 1.9209
*******************************************************************
Diagnostic Tests
******************************************************************* * Test Statistics * LM Version * F Version
******************************************************************* * A: Serial Correlation *CHSQ (12) = 17.0326 [0.148] *F(12, 44) = 1.0963 [0.387] * B: Functional Form *CHSQ (1) = 0.3941 [0.530] * F(1, 55) = 0.2944 [0.590] * C: Normality *CHSQ (2) = 11.0562 [0.004] * Not applicable
* D: Heteroscedasticity *CHSQ (1) = 0.0163 [0.898] *F(1, 72)= 0.0159 [0.900] ******************************************************************* A:Lagrange multiplier test of residual serial correlation
B:Ramsey's RESET test using the square of the fitted values C:Based on a test of skewness and kurtosis of residuals
D:Based on the regression of squared residuals on squared fitted values
Hồi quy trong dài hạn và sai số chuẩn
Estimated Long Run Coefficients using the ARDL Approach ARDL(3,1,0,3,3,3) selected based on Akaike Information Criterion
******************************************************************* Dependent variable is LSP
******************************************************************* Regressor Coefficient Standard Error T-Ratio[Prob]
LEX -.83582 .28191 -2.9648[.004] INT .0061426 .0070749 .86822[.389] LFR .32928 .082865 3.9737[.000] LAS 1.6157 .36305 4.4505[.000] LOIL -.77273 .31714 -2.4366[.018] Ngắn hạn
Error Correction Representation for the Selected ARDL Model ARDL(3,1,0,3,3,3) selected based on Akaike Information Criterion
******************************************************************************* Dependent variable is dLSP
74 observations used for estimation from 2008M4 to 2014M5
******************************************************************************* Regressor Coefficient Standard Error T-Ratio[Prob]
dLSP1 .23278 .10669 2.1818[.033] dLSP2 .21976 .10878 2.0202[.048] dLEX -1.2896 .80529 -1.6014[.115] dINT .0020697 .0023685 .87381[.386] dLFR .35928 .17954 2.0011[.050] dLFR1 -.11373 .17538 -.64850[.519] dLFR2 -.36063 .17664 -2.0416[.046] dLAS .54746 .17326 3.1597[.002] dLAS1 -.076435 .18424 -.41487[.680] dLAS2 -.53717 .17591 -3.0537[.003] dLOIL -.096210 .13305 -.72309[.472] dLOIL1 -.083727 .12314 -.67992[.499] dLOIL2 .41400 .13281 3.1171[.003] ecm(-1) -.33693 .079831 -4.2206[.000] ******************************************************************************* List of additional temporary variables created:
dLSP = LSP-LSP(-1) dLSP1 = LSP(-1)-LSP(-2) dLSP2 = LSP(-2)-LSP(-3) dLEX = LEX-LEX(-1) dINT = INT-INT(-1) dLFR = LFR-LFR(-1) dLFR1 = LFR(-1)-LFR(-2) dLFR2 = LFR(-2)-LFR(-3) dLAS = LAS-LAS(-1) dLAS1 = LAS(-1)-LAS(-2) dLAS2 = LAS(-2)-LAS(-3) dLOIL = LOIL-LOIL(-1)
dLOIL1 = LOIL(-1)-LOIL(-2) dLOIL2 = LOIL(-2)-LOIL(-3)
ecm = LSP + .83582*LEX -.0061426*INT -.32928*LFR -1.6157*LAS + .77273 *LOIL *******************************************************************************
R-Squared .60733 R-Bar-Squared .48813 S.E. of Regression .064899 F-stat. F( 13, 60) 6.6626[.000] Mean of Dependent Variable .0011322 S.D. of Dependent Variable .090710 Residual Sum of Squares .23586 Equation Log-likelihood 107.6956 Akaike Info. Criterion 89.6956 Schwarz Bayesian Criterion 68.9590 DW-statistic 1.9209
******************************************************************************* R-Squared and R-Bar-Squared measures refer to the dependent variable
dLSP and in cases where the error correction model is highly restricted, these measures could become negative
PHỤ LỤC 2: Kết quả kiểm định ở Thái Lan
Phụ lục 2.1: Kiểm định tính dừng với 1 điểm gãy cấu trúc
Chuỗi dữ liệu
Perron Unit Root test Zivot-Andrews Unit root test
Mơ hình A Mơ hình C Mơ hình A Mơ hình C
Log chỉ số giá chứng khoán
Thái Lan
LSP -3.951855 -4.127686 -4.148607 -3.933974
DLSP -11.11864*** -11.08936*** -5.677867*** -5.351265***
Log tỉ giá hối