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

72 [ 0.93510] [ 0.36433] [-4.21824] [-0.29245] [ 1.13466] [ 0.95247] DLNIPI(-2) -0.114030 0.015503 -0.395928 -0.019011 0.025296 0.053895 (0.23996) (0.05220) (0.13524) (0.02399) (0.01496) (0.02466) [-0.47520] [ 0.29702] [-2.92750] [-0.79233] [ 1.69082] [ 2.18550] DLNIPI(-3) 0.001838 -0.047938 -0.256819 -0.000832 -0.001933 0.038015 (0.21579) (0.04694) (0.12162) (0.02158) (0.01345) (0.02218) [ 0.00852] [-1.02130] [-2.11162] [-0.03856] [-0.14365] [ 1.71423] DLNEXC(-1) 2.057148 -0.196408 0.307111 -0.104844 0.051565 0.074885 (1.21398) (0.26406) (0.68421) (0.12138) (0.07569) (0.12476) [ 1.69455] [-0.74380] [ 0.44885] [-0.86374] [ 0.68127] [ 0.60024] DLNEXC(-2) 0.503719 -0.210567 -0.009250 -0.249055 0.122499 0.022812 (1.22322) (0.26607) (0.68942) (0.12231) (0.07627) (0.12571) [ 0.41180] [-0.79139] [-0.01342] [-2.03630] [ 1.60622] [ 0.18147] DLNEXC(-3) -0.494081 -0.466992 -0.609584 0.183504 -0.124018 -0.091174 (1.22892) (0.26731) (0.69263) (0.12288) (0.07662) (0.12629) [-0.40204] [-1.74700] [-0.88010] [ 1.49339] [-1.61860] [-0.72192] DLNCPI(-1) -0.666954 -0.173298 0.817750 0.129093 0.738817 0.721548 (2.22644) (0.48429) (1.25484) (0.22262) (0.13881) (0.22881) [-0.29956] [-0.35784] [ 0.65168] [ 0.57989] [ 5.32239] [ 3.15355] DLNCPI(-2) -4.064992 -0.611944 -1.857282 -0.289665 0.137711 -0.027295 (2.57123) (0.55929) (1.44917) (0.25709) (0.16031) (0.26424) [-1.58095] [-1.09415] [-1.28162] [-1.12670] [ 0.85903] [-0.10330] DLNCPI(-3) -0.117838 0.349283 2.462928 -0.144684 -0.041944 0.040080 (2.08376) (0.45325) (1.17443) (0.20835) (0.12992) (0.21414) [-0.05655] [ 0.77062] [ 2.09713] [-0.69443] [-0.32285] [ 0.18717] DIR(-1) 2.363835 -0.019213 1.201506 0.035682 -0.040458 -0.144528 (1.27560) (0.27746) (0.71894) (0.12754) (0.07953) (0.13109) [ 1.85312] [-0.06924] [ 1.67122] [ 0.27977] [-0.50871] [-1.10251]

73 DIR(-2) 2.110767 -0.158000 -0.345872 0.033945 0.017147 0.142263 (1.26735) (0.27567) (0.71429) (0.12672) (0.07902) (0.13024) [ 1.66550] [-0.57315] [-0.48422] [ 0.26787] [ 0.21701] [ 1.09230] DIR(-3) -2.932524 0.157197 -1.045289 0.167589 0.068894 -0.012810 (1.23064) (0.26768) (0.69360) (0.12305) (0.07673) (0.12647) [-2.38292] [ 0.58725] [-1.50705] [ 1.36197] [ 0.89790] [-0.10129] C 0.057398 0.022206 -0.012039 0.010803 -0.000697 -0.008197 (0.03464) (0.00753) (0.01952) (0.00346) (0.00216) (0.00356) [ 1.65710] [ 2.94729] [-0.61667] [ 3.11911] [-0.32256] [-2.30281] R-squared 0.387807 0.210679 0.494165 0.383768 0.636099 0.393133 Adj. R-squared 0.191031 -0.043031 0.331575 0.185693 0.519131 0.198069 Sum sq. resids 0.629869 0.029801 0.200081 0.006297 0.002448 0.006652 S.E. equation 0.106055 0.023069 0.059774 0.010604 0.006612 0.010899 F-statistic 1.970802 0.830394 3.039337 1.937490 5.438222 2.015405 Log likelihood 72.81955 187.2305 115.8241 245.5224 280.9468 243.4660 Akaike AIC -1.435188 -4.486147 -2.581975 -6.040598 -6.985248 -5.985761 Schwarz SC -0.848091 -3.899050 -1.994878 -5.453501 -6.398151 -5.398664 Mean dependent -0.004831 0.016116 0.005680 0.003593 0.009306 0.000180 S.D. dependent 0.117914 0.022588 0.073111 0.011751 0.009535 0.012171 Determinant resid covariance (dof adj.) 7.64E-21 Determinant resid covariance 1.32E-21 Log likelihood 1164.253 Akaike information criterion -28.00674 Schwarz criterion -24.48416

74 PHỤ LỤC 5 KIỂM ĐỊNH NHÂN QUẢ GRANGER Pairwise Granger Causality Tests Date: 09/04/12 Time: 10:52 Sample: 2006M01 2012M07 Lags: 2 Null Hypothesis: Obs F-Statistic Prob. LNCPI does not Granger Cause IR 77 13.7901 9.E-06 IR does not Granger Cause LNCPI 0.39830 0.6729 LNEXC does not Granger Cause IR 77 0.20580 0.8145 IR does not Granger Cause LNEXC 1.07373 0.3471 LNIPI does not Granger Cause IR 77 1.28763 0.2822 IR does not Granger Cause LNIPI 1.93344 0.1521 LNM2 does not Granger Cause IR 77 4.46450 0.0149 IR does not Granger Cause LNM2 1.40488 0.2520 LNVNI does not Granger Cause IR 77 0.47557 0.6235 IR does not Granger Cause LNVNI 3.80660 0.0268 LNEXC does not Granger Cause LNCPI 77 0.32414 0.7242 LNCPI does not Granger Cause LNEXC 2.68666 0.0749 LNIPI does not Granger Cause LNCPI 77 1.29238 0.2809 LNCPI does not Granger Cause LNIPI 11.4935 5.E-05 LNM2 does not Granger Cause LNCPI 77 4.89643 0.0101 LNCPI does not Granger Cause LNM2 3.18442 0.0473 LNVNI does not Granger Cause LNCPI 77 1.96589 0.1475 LNCPI does not Granger Cause LNVNI 2.19865 0.1183 LNIPI does not Granger Cause LNEXC 77 4.90982 0.0100 LNEXC does not Granger Cause LNIPI 11.7315 4.E-05

75 LNM2 does not Granger Cause LNEXC 77 2.68967 0.0747 LNEXC does not Granger Cause LNM2 0.40298 0.6698 LNVNI does not Granger Cause LNEXC 77 2.57037 0.0835 LNEXC does not Granger Cause LNVNI 0.96359 0.3864 LNM2 does not Granger Cause LNIPI 77 11.4534 5.E-05 LNIPI does not Granger Cause LNM2 0.18388 0.8324 LNVNI does not Granger Cause LNIPI 77 1.38668 0.2565 LNIPI does not Granger Cause LNVNI 2.78075 0.0687 LNVNI does not Granger Cause LNM2 77 0.19089 0.8266 LNM2 does not Granger Cause LNVNI 2.09117 0.1310

76 PHỤ LỤC 6 PHÂN RÃ PHƢƠNG SAI Variance Decomposition of DLNVNI: Period S.E. DLNVNI DLNM2 DLNIPI DLNEXC DLNCPI DIR 1 0.106055 100.0000 0.000000 0.000000 0.000000 0.000000 0.000000 2 0.117793 87.68415 3.119950 0.594379 4.080241 0.145082 4.376195 3 0.127714 74.89174 8.592607 0.780305 5.057979 1.471608 9.205762 4 0.131459 72.17816 8.157187 1.212688 5.129350 1.745802 11.57681 5 0.133016 70.53995 8.235913 1.957320 5.151901 2.777590 11.33732 6 0.134069 69.50748 8.198565 2.133365 5.162529 3.477109 11.52096 7 0.134809 68.74861 8.108880 2.402331 5.114059 4.218876 11.40725 8 0.135224 68.33618 8.066936 2.405961 5.233111 4.437503 11.52031 9 0.135626 67.93166 8.188672 2.533031 5.247709 4.646784 11.45215 10 0.136008 67.57595 8.419993 2.538131 5.289205 4.778481 11.39824 11 0.136106 67.49869 8.422913 2.569185 5.281627 4.845050 11.38254 12 0.136181 67.43897 8.433861 2.583776 5.278623 4.873694 11.39108

77 PHỤ LỤC 7 TỔNG HỢP SỐ LIỆU SỬ DỤNG TRONG NGHIÊN CỨU Date VNI M2 IPI EXC IR CPI 2006m1 312.32 717,820 115.7 15,918 0.0753 8.8 2006m2 390.65 717,066 123.7 15,910 0.0765 8.4 2006m3 503.56 739,562 112.8 15,925 0.0765 7.7 2006m4 595.48 757,699 117.7 15,940 0.0765 7.3 2006m5 538.91 770,975 116.9 15,958 0.0753 7.5 2006m6 515.59 782,871 117.5 15,996 0.0765 7.6 2006m7 422.41 792,435 118.6 16,006 0.0765 7.5 2006m8 491.18 818,543 118.8 16,014 0.0765 7.5 2006m9 526.37 824,294 118.7 16,055 0.0765 6.9 2006m10 511.54 844,595 117.4 16,075 0.0765 6.7 2006m11 633.05 868,773 116.7 16,070 0.0765 6.9 2006m12 751.77 841,011 118.8 16,056 0.0765 6.6 2007m1 1041.3 872,549 126 16,040 0.0768 6.45 2007m2 1137.7 905,455 111.9 15,994 0.0768 6.5 2007m3 1071.3 949,181 115.4 16,020 0.0768 6.8 2007m4 923.89 979,673 117.3 16,048 0.0765 7.16 2007m5 1081.5 1,005,310 117.1 16,090 0.0765 7.31 2007m6 1024.7 1,029,560 119.5 16,130 0.0765 7.8 2007m7 907.95 1,056,450 118.7 16,140 0.0744 8.39 2007m8 908.37 1,076,900 118.9 16,240 0.0744 8.57 2007m9 1046.9 1,110,980 118.1 16,086 0.0744 8.8 2007m10 1065.1 1,154,500 116.7 16,081 0.0744 9.34 2007m11 972.35 1,183,140 117.4 16,045 0.072 10.01 2007m12 927.02 1,254,000 120.7 16,025 0.072 12.63 2008m1 844.11 1,293,050 131.54 15,971 0.072 14.11 2008m2 663.3 1,280,510 109.33 15,931 0.0897 15.67 2008m3 516.85 1,300,250 129.66 16,110 0.1119 19.39 2008m4 522.36 1,278,400 131.77 16,122 0.1119 21.42 2008m5 414.1 1,298,040 135.49 16,246 0.1152 25.2 2008m6 399.4 1,295,490 133.37 16,842 0.1664 26.8 2008m7 451.36 1,300,590 134.82 16,765 0.1689 27.04 2008m8 539.1 1,302,890 132.68 16,525 0.1689 28.32 2008m9 456.7 1,347,510 130.54 16,724 0.1692 27.9 2008m10 347.05 1,367,230 129.98 16,825 0.1524 26.72

78 2008m11 314.74 1,434,620 139.37 16,972 0.1524 24.22 2008m12 315.62 1,513,544 141.84 17,483 0.0777 19.89 2009m1 303.21 1,561,466 118.98 17,477 0.0777 17.48 2009m2 245.74 1,589,603 123.34 17,479 0.0699 14.78 2009m3 280.67 1,597,546 137.49 17,797 0.0711 11.25 2009m4 321.63 1,686,088 137.13 17,783 0.0711 9.23 2009m5 411.64 1,719,991 139.27 17,775 0.0717 5.58 2009m6 448.29 1,761,160 141.59 17,798 0.075 3.94 2009m7 466.76 1,819,583 145.7 17,818 0.0762 3.31 2009m8 546.78 1,828,815 146.12 17,823 0.0795 1.97 2009m9 580.9 1,841,832 147.25 17,841 0.0813 2.42 2009m10 587.12 1,876,643 148.12 17,862 0.0813 2.99 2009m11 504.12 1,922,201 150.97 18,485 0.0996 4.35 2009m12 494.77 1,943,391 155.94 18,479 0.1023 6.52 2010m1 481.96 1,951,164 152.21 18,437 0.1023 7.62 2010m2 496.91 1,970,404 122.07 19,025 0.1023 8.46 2010m3 499.24 1,972,413 152.46 19,069 0.1032 9.46 2010m4 542.37 2,030,008 150.53 18,959 0.1032 9.23 2010m5 507.44 2,079,540 156.95 18,980 0.1118 9.05 2010m6 507.14 2,127,370 156.63 19,070 0.1122 8.69 2010m7 493.91 2,195,254 161.7 19,080 0.1122 8.19 2010m8 455.08 2,260,358 160.85 19,490 0.111 8.18 2010m9 454.52 2,302,918 156.39 19,490 0.111 8.92 2010m10 452.63 2,357,138 167.14 19,498 0.111 9.66 2010m11 451.59 2,106,195 169.97 19,498 0.12 11.09 2010m12 484.66 2,180,100 166.82 19,498 0.1388 11.75 2011m1 510.6 2,172,906 165.4 19,498 0.1388 12.17 2011m2 461.37 2,240,053 137.11 20,878 0.14 12.31 2011m3 461.13 2,225,228 161.89 20,895 0.14 13.89 2011m4 480.08 2,201,465 163.14 20,645 0.14 17.51 2011m5 421.37 2,214,328 167.19 20,545 0.14 19.78 2011m6 432.54 2,230,896 165.93 20,585 0.14 20.8 2011m7 405.7 2,257,930 164.15 20,595 0.14 22.16 2011m8 424.71 2,350,802 170.93 20,832 0.14 23.02 2011m9 427.6 2,357,996 167.22 20,830 0.14 22.4 2011m10 420.81 2,367,807 172.88 21,009 0.14 21.59 2011m11 380.69 2,382,195 177.6 21,006 0.14 19.83

79 2011m12 351.55 2,382,195 187.15 21,034 0.14 18.13 2012m1 387.97 2,399,824 146.48 21,005 0.14 17.27 2012m2 423.64 2,379,575 159.78 20,835 0.14 16.4 2012m3 441.03 2,407,447 171.8 20,850 0.13 14.1 2012m4 473.77 2,448,063 169.3 20,865 0.12 10.5 2012m5 429.2 2,488,680 171.97 20,870 0.11 8.3 2012m6 422.37 2,514,884 174.63 20,905 0.09 6.9 2012m7 414.48 2,537,705 180.22 20,870 0.09 5.3