Dù sử dụng chuỗi dữ liệu từ thời kỳ phát triển của thị trường chứng khoán cho đến hiện nay, tuy nhiên chuỗi dữ liệu sử dụng trong khảo sát vẫn tương đối ngắn so với quá trình phát triển và đi vào ổn định mang tính quy luật của một thị trường chứng khoán. Do đó, kết quả tìm thấy trong đề tài này cũng có thể chỉ có ý nghĩa trong một giai đoạn phát triển của thị trường trước khi đi đến sự ổn định mang tính quy luật.
Hạn chế tiếp theo là lãi suất và lạm phát tuy là những chỉ tiêu quan trọng nhưng chỉ mang ý nghĩa giải thích một phần cho sự thay đổi của chỉ số VN-INDEX. Do đó, một nghiên cứu chuyên sâu gồm có sự tác động của nhiều yếu tố vi mô và vĩ mô có thể mang lại một mô hình dự đoán cao hơn về hướng đi của chỉ số VN- INDEX./.
DANH MỤC TÀI LIỆU THAM KHẢO Danh mục tài liệu tiếng Việt
1. Hoàng Ngọc Nhậm (2008), Giáo trình Kinh Tế Lượng, Khoa Toán Thống Kê, Đại học Kinh Tế TP. Hồ Chí Minh.
2. Phạm Nguyễn Hoàng (2011) Ảnh hưởng của lạm phát đến thị trường chứng khoán Việt Nam – Lý thuyết và thực tiễn (Báo cáo chuyên đề số 01/2011, UBCKNN)
3. Phùng Thanh Bình, Hướng dẫn sử dụng Eviews trong phân tích dữ liệu và hồi quy, Đại học Kinh Tế TP. Hồ Chí Minh.
4. Trần Thị Hải Lý (2010), Nghiên cứu rủi ro và tỷ suất sinh lợi trên thị trường chứng khoán Việt Nam, Đại học Kinh Tế TP. Hồ Chí Minh.
Danh mục Tài liệu tiếng Anh
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PHỤ LỤC
PHỤ LỤC 1: KẾT QUẢ KIỂM ĐỊNH TÍNH DỪNG CỦA CÁC BIẾN * Mức sinh lợi của chỉ số VN-INDEX (VR)
Null Hypothesis: VR has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.977263 0.0000 Test critical values: 1% level -3.496346 (adsbygoogle = window.adsbygoogle || []).push({});
5% level -2.890327
10% level -2.582196
*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(VR)
Method: Least Squares Date: 12/7/13 Time: 15:27
Sample (adjusted): 2005M02 2013M06 Included observations: 101 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. VR(-1) -0.661544 0.094814 -6.977263 0.0000
C 0.008719 0.010780 0.808798 0.4206
R-squared 0.329642 Mean dependent var -0.000464 Adjusted R-squared 0.322870 S.D. dependent var 0.130669 S.E. of regression 0.107525 Akaike info criterion -1.602587 Sum squared resid 1.144597 Schwarz criterion -1.550803 Log likelihood 82.93065 Hannan-Quinn criter. -1.581623 F-statistic 48.68220 Durbin-Watson stat 1.936388 Prob(F-statistic) 0.000000
Chuỗi VR là chuỗi dừng tại mức ý nghĩa 1%.
* Tỷ giá hối đoái (EXR)
Null Hypothesis: EXR has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=12)
Augmented Dickey-Fuller test statistic -10.33553 0.0000 Test critical values: 1% level -3.496346
5% level -2.890327
10% level -2.582196
*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(EXR)
Method: Least Squares Date: 12/7/13 Time: 15:27
Sample (adjusted): 2005M02 2013M06 Included observations: 101 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. EXR(-1) -1.039618 0.100587 -10.33553 0.0000
C 0.003049 0.001227 2.484045 0.0147
R-squared 0.519005 Mean dependent var 9.13E-05 Adjusted R-squared 0.514146 S.D. dependent var 0.017210 S.E. of regression 0.011996 Akaike info criterion -5.988880 Sum squared resid 0.014247 Schwarz criterion -5.937095 Log likelihood 304.4384 Hannan-Quinn criter. -5.967916 F-statistic 106.8233 Durbin-Watson stat 2.002316 Prob(F-statistic) 0.000000
Chuỗi EXR là chuỗi dừng tại mức ý nghĩa 1%.
* Cung tiền mở rộng (M2)
Null Hypothesis: M2 has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.195332 0.0000 Test critical values: 1% level -3.496346
5% level -2.890327
10% level -2.582196
*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(VR)
Method: Least Squares Date: 12/7/13 Time: 15:27 (adsbygoogle = window.adsbygoogle || []).push({});
Sample (adjusted): 2005M02 2013M06 Included observations: 101 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. M2(-1) -0.808052 0.098599 -8.195332 0.0000
C 0.016475 0.002684 6.137393 0.0000
R-squared 0.404201 Mean dependent var 5.29E-05 Adjusted R-squared 0.398183 S.D. dependent var 0.023139 S.E. of regression 0.017951 Akaike info criterion -5.182772 Sum squared resid 0.031901 Schwarz criterion -5.130987 Log likelihood 263.7300 Hannan-Quinn criter. -5.161808 F-statistic 67.16346 Durbin-Watson stat 2.012429 Prob(F-statistic) 0.000000
Chuỗi M2 là chuỗi dừng tại mức ý nghĩa 1%.
* Tỷ lệ lạm phát (INF)
Null Hypothesis: INF has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.049497 0.0000 Test critical values: 1% level -3.496346
5% level -2.890327
10% level -2.582196
*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(INF)
Method: Least Squares Date: 12/7/13 Time: 15:27
Sample (adjusted): 2005M02 2013M06 Included observations: 101 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. INF(-1) -0.413269 0.081844 -5.049497 0.0000
C 0.003523 0.001042 3.381014 0.0010
R-squared 0.204803 Mean dependent var -0.000101 Adjusted R-squared 0.196770 S.D. dependent var 0.008470 S.E. of regression 0.007591 Akaike info criterion -6.904037
Sum squared resid 0.005705 Schwarz criterion -6.852252 Log likelihood 350.6538 Hannan-Quinn criter. -6.883073 F-statistic 25.49742 Durbin-Watson stat 2.092621 Prob(F-statistic) 0.000002
Chuỗi INF là chuỗi dừng tại mức ý nghĩa 1%.
* Trái phiếu chính phủ (GEB)
Null Hypothesis: GEB has a unit root Exogenous: Constant
Lag Length: 5 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.720431 0.0052 Test critical values: 1% level -3.499910
5% level -2.891871
10% level -2.583017
*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(GEB)
Method: Least Squares Date: 12/7/13 Time: 15:27
Sample (adjusted): 2005M07 2013M06 Included observations: 96 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. GEB(-1) -0.172707 0.046421 -3.720431 0.0003 D(GEB(-1)) 0.130958 0.095194 1.375695 0.1724 D(GEB(-2)) 0.030051 0.096421 0.311663 0.7560 D(GEB(-3)) 0.078491 0.095951 0.818028 0.4155 D(GEB(-4)) 0.149513 0.095092 1.572298 0.1194 D(GEB(-5)) 0.444878 0.096244 4.622403 0.0000 C 0.016476 0.004572 3.604061 0.0005
R-squared 0.259760 Mean dependent var -0.000159 Adjusted R-squared 0.209856 S.D. dependent var 0.010318 S.E. of regression 0.009172 Akaike info criterion -6.475256 Sum squared resid 0.007487 Schwarz criterion -6.288272 Log likelihood 317.8123 Hannan-Quinn criter. -6.399674 F-statistic 5.205207 Durbin-Watson stat 2.075824 Prob(F-statistic) 0.000124 (adsbygoogle = window.adsbygoogle || []).push({});
Chuỗi GEB là chuỗi dừng tại mức ý nghĩa 1%.
* Lãi suất (ITR)
Null Hypothesis: ITR has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.354881 0.0150 Test critical values: 1% level -3.497029
5% level -2.890623
10% level -2.582353
*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(ITR)
Method: Least Squares Date: 12/7/13 Time: 15:27
Sample (adjusted): 2005M03 2013M06 Included observations: 100 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. ITR(-1) -0.115856 0.034534 -3.354881 0.0011 D(ITR(-1)) 0.496552 0.087711 5.661219 0.0000
C 0.010064 0.003022 3.330740 0.0012
R-squared 0.278572 Mean dependent var 0.000120 Adjusted R-squared 0.263697 S.D. dependent var 0.005551 S.E. of regression 0.004763 Akaike info criterion -7.826409 Sum squared resid 0.002200 Schwarz criterion -7.748254 Log likelihood 394.3205 Hannan-Quinn criter. -7.794779 F-statistic 18.72775 Durbin-Watson stat 2.120058 Prob(F-statistic) 0.000000
PHỤ LỤC 2: KẾT QUẢ KIỂM ĐỊNH ĐỒNG LIÊN KẾT JOHANSEN
Date: 12/07/13 Time: 17:50
Sample (adjusted): 2005M07 2013M06 Included observations: 96 after adjustments Trend assumption: No deterministic trend Series: VR EXR M2 INF GEB ITR Lags interval (in first differences): 1 to 5 Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of
CE(s) Eigenvalue Statistic
Critical Value Prob.** None * 0.392167 116.3276 83.93712 0.0000 At most 1 * 0.222469 68.53345 60.06141 0.0081 At most 2 * 0.201503 44.37674 40.17493 0.0178 At most 3 0.191404 22.77448 24.27596 0.0764 At most 4 0.021913 2.378774 12.32090 0.9174 At most 5 0.002618 0.251693 4.129906 0.6752 Trace test indicates 3 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized Max-Eigen 0.05
No. of
CE(s) Eigenvalue Statistic
Critical Value Prob.** None * 0.392167 47.79417 36.63019 0.0017 At most 1 0.222469 24.15671 30.43961 0.2471 At most 2 0.201503 21.60226 24.15921 0.1069 At most 3 * 0.191404 20.39571 17.79730 0.0199 At most 4 0.021913 2.127081 11.22480 0.9086 At most 5 0.002618 0.251693 4.129906 0.6752
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
VR EXR M2 INF GEB ITR
-12.13396 224.7670 -60.18097 -146.7745 -69.41504 100.4842 -8.693638 79.70315 75.63443 -295.4827 1.528424 9.399000 -3.478012 152.4669 125.0718 80.78125 -10.67163 -31.74256 -18.78780 -111.7719 62.96800 61.44302 24.19319 -42.29205 -2.153640 -76.07952 -43.89843 68.86943 -90.49330 104.7336 0.570135 -1.456266 5.962043 -17.96885 24.25741 -37.90361
Unrestricted Adjustment Coefficients (alpha):
D(VR) 0.020982 0.007022 -0.002380 0.030697 -0.004019 -0.000714 D(EXR) -0.003997 0.000276 -0.002982 0.001326 0.000443 0.000135 D(M2) 0.005434 -0.000225 -0.004897 -0.001186 0.000800 -8.35E-05 D(INF) -0.000129 0.002404 0.000302 -0.000190 0.000400 3.61E-06 D(GEB) -0.000155 -0.001009 0.001167 0.000800 0.000745 6.77E-05 D(ITR) -0.000294 0.000348 0.000189 -0.000121 0.000147 -0.000135 1 Cointegrating Equation(s): Log likelihood 1832.173 (adsbygoogle = window.adsbygoogle || []).push({});
Normalized cointegrating coefficients (standard error in parentheses)
VR EXR M2 INF GEB ITR
1.000000 -18.52380 4.959714 12.09617 5.720725 -8.281237 (3.89342) (2.10575) (4.24773) (1.48675) (1.99965) Adjustment coefficients (standard error in parentheses)
D(VR) -0.254589 (0.12399) D(EXR) 0.048499 (0.01462) D(M2) -0.065937 (0.02151) D(INF) 0.001571 (0.00877) D(GEB) 0.001877 (0.00973) D(ITR) 0.003564 (0.00448) 2 Cointegrating Equation(s): Log likelihood 1844.251
VR EXR M2 INF GEB ITR 1.000000 0.000000 -22.08544 55.44110 -5.953968 5.974421
(8.95399) (15.9422) (6.02018) (8.18419) 0.000000 1.000000 -1.460022 2.339960 -0.630254 0.769586 (0.52124) (0.92805) (0.35046) (0.47643) Adjustment coefficients (standard error in parentheses)
D(VR) -0.315635 5.275619 (0.15198) (2.42805) D(EXR) 0.046099 -0.876382 (0.01798) (0.28722) D(M2) -0.063984 1.203498 (0.02645) (0.42265) D(INF) -0.019328 0.162504 (0.00983) (0.15699) D(GEB) 0.010646 -0.115166 (0.01182) (0.18889) D(ITR) 0.000540 -0.038297 (0.00547) (0.08737) 3 Cointegrating Equation(s):