CHƯƠNG V : KẾT LUẬN
5.3. Hướng mở rộng đề tài:
Bài nghiên cứu sẽ tiếp tục hoàn thiện về mặt dữ liệu, kỳ quan sát và bổ sung xem xét đến ảnh hưởng của yếu tố chính sách tiền tệ, tỷ giá hối đoái và giá chứng khoán và các yếu tố vĩ mô. Xây dựng các phương pháp kiểm soát sự khác biệt về điều kiện khủng hoảng kinh tế để kiểm soát tốt hơn vấn đề gãy của dữ liệu, có thể mở rộng sử dụng các phương pháp kiểm soát điểm gãy (break structural).
TÀI LIỆU THAM KHẢO Tài liệu tham khảo tiếng Việt
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• 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. Tạp chí phát
triển và hội nhập, số 8 (18), trang 34-41.
• Dương Ngọc Mai Phương, Vũ Thị Phương Anh, Đỗ Thị Trúc Đào và Nguyễn Hữu Tuấn (2015). Tác động của chính sách tiền tệ đến thị trường chứng khoán: Bằng chứng tại Việt Nam. Tạp chí phát triển và hội nhập, số 25(35), trang 10-11.
• Bùi Kim Yến, Nguyễn Thái Sơn (2014). Sự phát triển của thị trường chứng khoán Việt Nam dưới ảnh hưởng của các nhân tố kinh tế vĩ mơ. Tạp chí phát triển và hội
nhập, số 16(26), trang 6.
• Trần Ngọc Thơ, Nguyễn Huux Tuấn (2013). Cơ chế truyền dẫn chính sách tiền tệ ở Việt Nam tiếp cận theo mơ hình SVar. Tạp chí phát triển và hội nhập, số 10(20),
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Tài liệu tham khảo tiếng Anh
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PHỤ LỤC THAM KHẢO
Phụ lục 1: Thống kê mô tả
IPI PRICE_INDEX EXCHANGE POLICY_RATE STOCK_PRICE
Mean 1.498995 4.402833 9.762785 2.057650 5.937271 Median 4.736665 4.404553 9.686481 2.039644 6.054797 Maximum 5.598986 4.977423 9.993785 2.962130 7.036755 Minimum -8.773496 3.861883 9.549737 1.325806 4.620551 Std. Dev. 4.811984 0.407143 0.144907 0.333072 0.516724 Skewness -0.944902 0.110278 0.353156 0.333671 -0.274075 Kurtosis 2.328092 1.468287 1.542307 3.117766 2.572970 Jarque-Bera 31.17687 18.55963 20.33402 3.558911 3.741870 Probability 0.000000 0.000093 0.000038 0.168730 0.153980 Sum 278.8130 818.9269 1815.878 382.7229 1104.332 Sum Sq. Dev. 4283.711 30.66655 3.884642 20.52333 49.39561 Observations 186 186 186 186 186
Phụ lục 2: Tính dừng
Null Hypothesis: IPI has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=14)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.448345 0.0000
Test critical values: 1% level -3.465780
5% level -2.877012
10% level -2.575097
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(IPI)
Method: Least Squares Date: 04/23/16 Time: 08:59
Sample (adjusted): 2000M08 2015M12 Included observations: 185 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
IPI(-1) -0.010876 0.001996 -5.448345 0.0000
C 0.093751 0.010030 9.347445 0.0000
R-squared 0.139570 Mean dependent var 0.077689
Adjusted R-squared 0.134869 S.D. dependent var 0.140186 S.E. of regression 0.130391 Akaike info criterion -1.225809 Sum squared resid 3.111323 Schwarz criterion -1.190994 Log likelihood 115.3873 Hannan-Quinn criter. -1.211699
F-statistic 29.68446 Durbin-Watson stat 2.139210
Null Hypothesis: IPI has a unit root Exogenous: Constant
Lag Length: 1 (Fixed)
t-Statistic
Elliott-Rothenberg-Stock DF-GLS test statistic 2.497447
Test critical values: 1% level -2.577590
5% level -1.942564
10% level -1.615553
*MacKinnon (1996)
DF-GLS Test Equation on GLS Detrended Residuals Dependent Variable: D(GLSRESID)
Method: Least Squares Date: 05/04/16 Time: 17:00
Sample (adjusted): 2000M09 2015M12 Included observations: 184 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
GLSRESID(-1) 0.003170 0.001269 2.497447 0.0134
D(GLSRESID(-1)) 0.239318 0.071970 3.325259 0.0011
R-squared -0.156859 Mean dependent var 0.077085
Adjusted R-squared -0.163215 S.D. dependent var 0.140327 S.E. of regression 0.151346 Akaike info criterion -0.927682 Sum squared resid 4.168840 Schwarz criterion -0.892737 Log likelihood 87.34672 Hannan-Quinn criter. -0.913518
Null Hypothesis: PRICE_INDEX has a unit root Exogenous: None
Lag Length: 1 (Automatic - based on SIC, maxlag=14)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 4.071427 1.0000
Test critical values: 1% level -2.577590
5% level -1.942564
10% level -1.615553
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(PRICE_INDEX) Method: Least Squares
Date: 04/23/16 Time: 09:01
Sample (adjusted): 2000M09 2015M12 Included observations: 184 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
PRICE_INDEX(-1) 0.000577 0.000142 4.071427 0.0001
D(PRICE_INDEX(-1)) 0.574559 0.060884 9.436981 0.0000
R-squared 0.326975 Mean dependent var 0.006049
Adjusted R-squared 0.323277 S.D. dependent var 0.008352 S.E. of regression 0.006871 Akaike info criterion -7.112249 Sum squared resid 0.008592 Schwarz criterion -7.077304 Log likelihood 656.3269 Hannan-Quinn criter. -7.098085
Null Hypothesis: PRICE_INDEX has a unit root Exogenous: Constant
Lag Length: 2 (Fixed)
t-Statistic
Elliott-Rothenberg-Stock DF-GLS test statistic 1.738628
Test critical values: 1% level -2.577660
5% level -1.942574
10% level -1.615547
*MacKinnon (1996)
DF-GLS Test Equation on GLS Detrended Residuals Dependent Variable: D(GLSRESID)
Method: Least Squares Date: 05/04/16 Time: 10:42
Sample (adjusted): 2000M10 2015M12 Included observations: 183 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
GLSRESID(-1) 0.001810 0.001041 1.738628 0.0838
D(GLSRESID(-1)) 0.550422 0.073596 7.478983 0.0000
D(GLSRESID(-2)) 0.175827 0.074099 2.372859 0.0187
R-squared 0.304891 Mean dependent var 0.006091
Adjusted R-squared 0.297168 S.D. dependent var 0.008355 S.E. of regression 0.007005 Akaike info criterion -7.068192 Sum squared resid 0.008832 Schwarz criterion -7.015578 Log likelihood 649.7396 Hannan-Quinn criter. -7.046865
Null Hypothesis: EXCHANGE has a unit root Exogenous: None
Lag Length: 1 (Automatic - based on SIC, maxlag=14)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 3.567679 0.9999
Test critical values: 1% level -2.577590
5% level -1.942564
10% level -1.615553
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(EXCHANGE) Method: Least Squares
Date: 04/23/16 Time: 09:02
Sample (adjusted): 2000M09 2015M12 Included observations: 184 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
EXCHANGE(-1) 0.000296 8.29E-05 3.567679 0.0005
D(EXCHANGE(-1)) -0.199873 0.072656 -2.750940 0.0065
R-squared 0.039756 Mean dependent var 0.002407
Adjusted R-squared 0.034480 S.D. dependent var 0.010902 S.E. of regression 0.010712 Akaike info criterion -6.224057 Sum squared resid 0.020885 Schwarz criterion -6.189112 Log likelihood 574.6133 Hannan-Quinn criter. -6.209894
Null Hypothesis: EXCHANGE has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on AIC, maxlag=14)
t-Statistic
Elliott-Rothenberg-Stock DF-GLS test statistic 2.407755
Test critical values: 1% level -2.577590
5% level -1.942564
10% level -1.615553
*MacKinnon (1996)
DF-GLS Test Equation on GLS Detrended Residuals Dependent Variable: D(GLSRESID)
Method: Least Squares Date: 05/04/16 Time: 10:40
Sample (adjusted): 2000M09 2015M12 Included observations: 184 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
GLSRESID(-1) 0.009324 0.003872 2.407755 0.0170
D(GLSRESID(-1)) -0.178070 0.073627 -2.418523 0.0166
R-squared 0.004316 Mean dependent var 0.002407
Adjusted R-squared -0.001155 S.D. dependent var 0.010902 S.E. of regression 0.010908 Akaike info criterion -6.187815 Sum squared resid 0.021656 Schwarz criterion -6.152870 Log likelihood 571.2790 Hannan-Quinn criter. -6.173651
Null Hypothesis: STOCK_PRICE has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=14)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.628189 0.0891
Test critical values: 1% level -3.465977
5% level -2.877099
10% level -2.575143
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(STOCK_PRICE) Method: Least Squares
Sample (adjusted): 2000M09 2015M12 Included observations: 184 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
STOCK_PRICE(-1) -0.036912 0.014045 -2.628189 0.0093
D(STOCK_PRICE(-1)) 0.378870 0.067406 5.620736 0.0000
C 0.224550 0.083746 2.681326 0.0080
R-squared 0.172685 Mean dependent var 0.008778
Adjusted R-squared 0.163543 S.D. dependent var 0.105779 S.E. of regression 0.096743 Akaike info criterion -1.817349 Sum squared resid 1.694015 Schwarz criterion -1.764931 Log likelihood 170.1961 Hannan-Quinn criter. -1.796103
F-statistic 18.88996 Durbin-Watson stat 1.921244
Null Hypothesis: STOCK_PRICE has a unit root Exogenous: Constant, Linear Trend
Lag Length: 12 (Automatic - based on AIC, maxlag=14)
t-Statistic
Elliott-Rothenberg-Stock DF-GLS test statistic -2.442467
Test critical values: 1% level -3.492400
5% level -2.957000
10% level -2.667000
*Elliott-Rothenberg-Stock (1996, Table 1)
DF-GLS Test Equation on GLS Detrended Residuals Dependent Variable: D(GLSRESID)
Method: Least Squares Date: 05/04/16 Time: 10:39
Sample (adjusted): 2001M08 2015M12 Included observations: 173 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
GLSRESID(-1) -0.040549 0.016602 -2.442467 0.0157 D(GLSRESID(-1)) 0.428708 0.075006 5.715643 0.0000 D(GLSRESID(-2)) -0.102177 0.080081 -1.275910 0.2038 D(GLSRESID(-3)) -0.081297 0.080076 -1.015237 0.3115 D(GLSRESID(-4)) 0.151187 0.079337 1.905620 0.0585 D(GLSRESID(-5)) -0.025933 0.080433 -0.322421 0.7476 D(GLSRESID(-6)) -0.054128 0.080769 -0.670154 0.5037 D(GLSRESID(-7)) 0.000710 0.080336 0.008834 0.9930 D(GLSRESID(-8)) -0.028127 0.080270 -0.350402 0.7265 D(GLSRESID(-9)) 0.196132 0.079524 2.466329 0.0147 D(GLSRESID(-10)) -0.128692 0.080143 -1.605778 0.1103 D(GLSRESID(-11)) 0.222999 0.079999 2.787532 0.0060 D(GLSRESID(-12)) -0.138653 0.074281 -1.866587 0.0638
R-squared 0.261538 Mean dependent var -0.008663
Adjusted R-squared 0.206154 S.D. dependent var 0.101397 S.E. of regression 0.090342 Akaike info criterion -1.898247 Sum squared resid 1.305882 Schwarz criterion -1.661294 Log likelihood 177.1984 Hannan-Quinn criter. -1.802117
Null Hypothesis: POLICY_RATE has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on AIC, maxlag=10)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.232340 0.1957
Test critical values: 1% level -3.465977
5% level -2.877099
10% level -2.575143
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(POLICY_RATE) Method: Least Squares
Date: 05/04/16 Time: 10:25
Sample (adjusted): 2000M09 2015M12 Included observations: 184 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
POLICY_RATE(-1) -0.036760 0.016467 -2.232340 0.0268
D(POLICY_RATE(-1)) 0.367118 0.069730 5.264864 0.0000
C 0.075163 0.034391 2.185571 0.0301
R-squared 0.142200 Mean dependent var -0.001105
Adjusted R-squared 0.132722 S.D. dependent var 0.078768 S.E. of regression 0.073355 Akaike info criterion -2.370849 Sum squared resid 0.973946 Schwarz criterion -2.318432 Log likelihood 221.1182 Hannan-Quinn criter. -2.349604
F-statistic 15.00247 Durbin-Watson stat 2.017832
Null Hypothesis: POLICY_RATE has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on AIC, maxlag=10)
t-Statistic
Elliott-Rothenberg-Stock DF-GLS test statistic -1.850065
Test critical values: 1% level -2.577590
5% level -1.942564
10% level -1.615553
*MacKinnon (1996)
DF-GLS Test Equation on GLS Detrended Residuals Dependent Variable: D(GLSRESID)
Method: Least Squares Date: 05/04/16 Time: 10:33
Sample (adjusted): 2000M09 2015M12 Included observations: 184 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
GLSRESID(-1) -0.024331 0.013151 -1.850065 0.0659
D(GLSRESID(-1)) 0.358619 0.069505 5.159576 0.0000
R-squared 0.134785 Mean dependent var -0.001105
Adjusted R-squared 0.130031 S.D. dependent var 0.078768 S.E. of regression 0.073468 Akaike info criterion -2.373112 Sum squared resid 0.982365 Schwarz criterion -2.338167 Log likelihood 220.3263 Hannan-Quinn criter. -2.358949
Phụ lục 3: Dữ liệu của bài nghiên cứu (lấy logarit tự nhiên)
TIME STOCK_PRICE PRICE_INDEX EXCHANGE POLICY_RATE IPI
2000M7 4.620551288 3.862727864 9.5497369 1.754403683 -8.773495662 2000M8 4.746235626 3.863572102 9.550946908 1.824549292 -8.58463711 2000M9 4.793390975 3.861882912 9.551160287 1.870262531 -8.723453425 2000M10 4.947340444 3.862727864 9.551302514 2.339880878 -8.625942568 2000M11 5.128299804 3.871975513 9.552297539 2.26181518 -8.721500952 2000M12 5.3318972 3.872811983 9.55286568 2.183694301 -8.705279055 2001M1 5.504518197 3.875317204 9.553291575 2.027461513 -8.55244536 2001M2 5.531015131 3.879478674 9.554355518 1.946981004 -8.524916665 2001M3 5.595826 3.871975513 9.5583176 1.892838103 -8.318666028 2001M4 5.771659168 3.866941945 9.568434309 1.865776734 -8.170986528 2001M5 6.002058235 3.865258443 9.578588092 1.864888702 -8.054879938 2001M6 6.215167942 3.865258443 9.582662261 1.88244135 -7.951460749 2001M7 6.046094768 3.863572102 9.584246011 2.079725592 -7.837517349 2001M8 5.625460508 3.863572102 9.585827257 2.060624298 -7.709706292 2001M9 5.499051696 3.868622618 9.58548372 1.988285223 -7.232739385 2001M10 5.561796394 3.866941945 9.585827257 1.98261935 -7.438743814 2001M11 5.664764408 3.869461896 9.589050743 1.963035399 -7.037586109 2001M12 5.461286195 3.877816164 9.600285668 1.914187784 -6.838379305 2002M1 5.335372274 3.88882069 9.608915129 1.890817558 -6.741532559 2002M2 5.252796851 3.910989085 9.614404499 1.948121987 -6.544389982