Luận văn Thạc sĩ Kinh tế: Đánh giá tác động của các biến kinh tế vĩ mô đến thị trường chứng khoán Việt Nam

62 Null Hypothesis: D(IR) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -7.681207 0.0000 Test critical values: 1% level -3.517847 5% level -2.899619 10% level -2.587134 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(IR,2) Method: Least Squares Date: 09/04/12 Time: 10:45 Sample (adjusted): 2006M03 2012M07 Included observations: 77 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(IR(-1)) -0.880559 0.114638 -7.681207 0.0000 C 0.000153 0.001368 0.111491 0.9115 R-squared 0.440302 Mean dependent var -1.56E-05 Adjusted R-squared 0.432840 S.D. dependent var 0.015938 S.E. of regression 0.012003 Akaike info criterion -5.981715 Sum squared resid 0.010805 Schwarz criterion -5.920836 Log likelihood 232.2960 Hannan-Quinn criter. -5.957364 F-statistic 59.00093 Durbin-Watson stat 2.046676 Prob(F-statistic) 0.000000

63 Null Hypothesis: D(LNCPI) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.795405 0.0044 Test critical values: 1% level -3.517847 5% level -2.899619 10% level -2.587134 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNCPI,2) Method: Least Squares Date: 09/04/12 Time: 10:46 Sample (adjusted): 2006M03 2012M07 Included observations: 77 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(LNCPI(-1)) -0.322546 0.084983 -3.795405 0.0003 C 0.002698 0.001133 2.381187 0.0198 R-squared 0.161122 Mean dependent var -0.000311 Adjusted R-squared 0.149937 S.D. dependent var 0.007703 S.E. of regression 0.007102 Akaike info criterion -7.031271 Sum squared resid 0.003783 Schwarz criterion -6.970393 Log likelihood 272.7039 Hannan-Quinn criter. -7.006921 F-statistic 14.40510 Durbin-Watson stat 1.920595 Prob(F-statistic) 0.000297

64 Null Hypothesis: D(LNEXC) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -9.079260 0.0000 Test critical values: 1% level -3.517847 5% level -2.899619 10% level -2.587134 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNEXC,2) Method: Least Squares Date: 09/04/12 Time: 10:46 Sample (adjusted): 2006M03 2012M07 Included observations: 77 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(LNEXC(-1)) -1.047744 0.115400 -9.079260 0.0000 C 0.003693 0.001391 2.655221 0.0097 R-squared 0.523607 Mean dependent var -1.52E-05 Adjusted R-squared 0.517255 S.D. dependent var 0.016792 S.E. of regression 0.011667 Akaike info criterion -6.038444 Sum squared resid 0.010209 Schwarz criterion -5.977566 Log likelihood 234.4801 Hannan-Quinn criter. -6.014093 F-statistic 82.43296 Durbin-Watson stat 2.019122 Prob(F-statistic) 0.000000

65 Null Hypothesis: D(LNIPI) has a unit root Exogenous: Constant Lag Length: 2 (Automatic based on SIC, MAXLAG=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.524811 0.0000 Test critical values: 1% level -3.520307 5% level -2.900670 10% level -2.587691 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNIPI,2) Method: Least Squares Date: 09/04/12 Time: 10:47 Sample (adjusted): 2006M05 2012M07 Included observations: 75 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(LNIPI(-1)) -2.377931 0.278942 -8.524811 0.0000 D(LNIPI(-1),2) 0.745614 0.205802 3.622971 0.0005 D(LNIPI(-2),2) 0.277169 0.112803 2.457102 0.0165 C 0.012830 0.007291 1.759680 0.0828 R-squared 0.756181 Mean dependent var -0.000147 Adjusted R-squared 0.745879 S.D. dependent var 0.122886 S.E. of regression 0.061947 Akaike info criterion -2.673202 Sum squared resid 0.272462 Schwarz criterion -2.549603 Log likelihood 104.2451 Hannan-Quinn criter. -2.623850 F-statistic 73.39990 Durbin-Watson stat 2.084114 Prob(F-statistic) 0.000000

66 Null Hypothesis: D(LNM2) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.540447 0.0000 Test critical values: 1% level -3.517847 5% level -2.899619 10% level -2.587134 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNM2,2) Method: Least Squares Date: 09/04/12 Time: 10:47 Sample (adjusted): 2006M03 2012M07 Included observations: 77 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(LNM2(-1)) -0.982804 0.115076 -8.540447 0.0000 C 0.016134 0.003177 5.077894 0.0000 R-squared 0.493035 Mean dependent var 0.000131 Adjusted R-squared 0.486276 S.D. dependent var 0.031414 S.E. of regression 0.022516 Akaike info criterion -4.723582 Sum squared resid 0.038022 Schwarz criterion -4.662703 Log likelihood 183.8579 Hannan-Quinn criter. -4.699231 F-statistic 72.93924 Durbin-Watson stat 1.985480 Prob(F-statistic) 0.000000

67 Null Hypothesis: D(LNVNI) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.265281 0.0000 Test critical values: 1% level -3.517847 5% level -2.899619 10% level -2.587134 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNVNI,2) Method: Least Squares Date: 09/04/12 Time: 10:47 Sample (adjusted): 2006M03 2012M07 Included observations: 77 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(LNVNI(-1)) -0.665734 0.106258 -6.265281 0.0000 C -0.000541 0.013114 -0.041282 0.9672 R-squared 0.343566 Mean dependent var -0.003151 Adjusted R-squared 0.334814 S.D. dependent var 0.141027 S.E. of regression 0.115020 Akaike info criterion -1.461783 Sum squared resid 0.992228 Schwarz criterion -1.400905 Log likelihood 58.27865 Hannan-Quinn criter. -1.437432 F-statistic 39.25374 Durbin-Watson stat 1.993031 Prob(F-statistic) 0.000000

68 PHỤ LỤC 2 XÁC ĐỊNH ĐỘ TRỄ TỐI ƢU VAR Lag Order Selection Criteria Endogenous variables: DLNVNI DLNM2 DLNIPI DLNEXC DLNCPI DIR Exogenous variables: C Date: 09/04/12 Time: 10:37 Sample: 2006M01 2012M07 Included observations: 71 Lag LogL LR FPE AIC SC HQ 0 974.4743 NA 5.72e-20 -27.28097 -27.08975* -27.20493 1 1032.178 104.0297 3.11e-20* -27.89235* -26.55386 -27.36007* 2 1056.303 39.41519 4.44e-20 -27.55783 -25.07207 -26.56932 3 1102.745 68.02772* 3.50e-20 -27.85197 -24.21894 -26.40723 4 1126.122 30.29152 5.57e-20 -27.49640 -22.71609 -25.59542 5 1145.161 21.45254 1.08e-19 -27.01863 -21.09105 -24.66142 6 1181.547 34.84869 1.45e-19 -27.02951 -19.95465 -24.21606 7 1211.675 23.76239 2.76e-19 -26.86408 -18.64195 -23.59440 * indicates lag order selected by the criterion LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion

69 PHỤ LỤC 3 KIỂM ĐỊNH ĐỒNG LIÊN KẾT BẰNG PHƢƠNG PHÁP JOHANSEN Date: 09/04/12 Time: 10:49 Sample (adjusted): 2006M04 2012M07 Included observations: 76 after adjustments Trend assumption: Linear deterministic trend Series: LNVNI LNM2 LNIPI LNEXC LNCPI IR Lags interval (in first differences): 1 to 2 Unrestricted Cointegration Rank Test (Trace) Hypothesized Trace 0.05 No. of CE(s) Eigenvalue Statistic Critical Value Prob.** None * 0.520552 131.1289 95.75366 0.0000 At most 1 * 0.364331 75.25979 69.81889 0.0172 At most 2 0.272840 40.82598 47.85613 0.1943 At most 3 0.100735 16.61176 29.79707 0.6685 At most 4 0.084722 8.542305 15.49471 0.4094 At most 5 0.023588 1.814194 3.841466 0.1780 Trace test indicates 2 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 * 0.520552 55.86914 40.07757 0.0004 At most 1 * 0.364331 34.43381 33.87687 0.0429 At most 2 0.272840 24.21422 27.58434 0.1274 At most 3 0.100735 8.069459 21.13162 0.8994 At most 4 0.084722 6.728111 14.26460 0.5218 At most 5 0.023588 1.814194 3.841466 0.1780

70 Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values

71 PHỤ LỤC 4 MÔ HÌNH VAR Vector Autoregression Estimates Date: 09/04/12 Time: 10:38 Sample (adjusted): 2006M05 2012M07 Included observations: 75 after adjustments Standard errors in ( ) & t-statistics in [ ] DLNVNI DLNM2 DLNIPI DLNEXC DLNCPI DIR DLNVNI(-1) 0.308061 -0.006400 0.012632 -0.034154 0.009269 0.002992 (0.12599) (0.02740) (0.07101) (0.01260) (0.00786) (0.01295) [ 2.44513] [-0.23354] [ 0.17790] [-2.71119] [ 1.18001] [ 0.23108] DLNVNI(-2) 0.011175 0.014490 -0.004010 -0.005494 -0.003109 0.015254 (0.12615) (0.02744) (0.07110) (0.01261) (0.00787) (0.01296) [ 0.08858] [ 0.52807] [-0.05640] [-0.43553] [-0.39524] [ 1.17660] DLNVNI(-3) -0.138723 -0.001304 0.049933 -0.012599 -0.002375 0.012949 (0.12112) (0.02635) (0.06827) (0.01211) (0.00755) (0.01245) [-1.14531] [-0.04951] [ 0.73145] [-1.04030] [-0.31452] [ 1.04032] DLNM2(-1) -0.856951 -0.036066 -0.112977 0.032771 -0.005541 -0.108725 (0.61104) (0.13291) (0.34439) (0.06110) (0.03810) (0.06280) [-1.40244] [-0.27135] [-0.32805] [ 0.53638] [-0.14546] [-1.73142] DLNM2(-2) -0.865170 0.110206 -0.106001 0.011724 0.054111 0.070452 (0.61064) (0.13282) (0.34416) (0.06106) (0.03807) (0.06275) [-1.41682] [ 0.82970] [-0.30800] [ 0.19202] [ 1.42127] [ 1.12267] DLNM2(-3) 0.306686 -0.009866 0.917013 -0.271286 0.061970 0.085455 (0.63205) (0.13748) (0.35623) (0.06320) (0.03941) (0.06495) [ 0.48523] [-0.07176] [ 2.57423] [-4.29270] [ 1.57257] [ 1.31562] DLNIPI(-1) 0.211894 0.017958 -0.538732 -0.006626 0.016031 0.022180 (0.22660) (0.04929) (0.12771) (0.02266) (0.01413) (0.02329)