Luận văn Thạc sĩ Kinh tế: Đánh giá tác động của các biến kinh tế vĩ mô đến thị trường chứng khoán Việt Nam
9,053
279
88
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