Khóa luận Phân tích ảnh hưởng của các nhân tố kinh tế vĩ mô đến giá cổ phiếu của các ngân hàng niêm yết trên sàn HSX

àng. Trư ờng Đạ i họ c K inh tế H uế 42 11. Mối liên hệ giữa các nhân tố kinh tế vĩ mô và thị trường chứng khoán – Kết quả thực nghiệm ở thị trường chứng khoán Việt Nam, công trình dự thi giải thƣởng Nghiên cứu khoa học sinh viên “Nhà kinh tế trẻ” năm 2011, Đại học thành phố Hồ Chí Minh. 12. Các nhân tố tác động lên tỷ suất sinh lợi chứng khoán – Xây dựng mô hình trên thị trường chứng khoán Việt Nam, công trình dự thi giải thƣởng Nghiên cứu khoa học sinh viên “Nhà kinh tế trẻ” năm 2011, Đại học thành phố Hồ Chí Minh. Tài liệu tham khảo nước ngoài 1. Abu Taher Mollik (2006), “Does predicted macroeconomic volatility influence stock market volatility? Evidence from the Bangladesh capital market”. 2. Ahmad, Muhammad, R. Rehman and A. Raoof, 2010, “Do interest rate, exchange rate effect stock returns? A Pakistant Perspective”, International Research Journal of Finance and Economics, ISSN 1450- 2887, Issue 50. 3. Fama, E.F. (1970), “Efficient capital markets: A review of theory and empirical work”, Journal of Finance, Vol.25, pp.383- 417. 4. Bayramova, Billura and Saida Okagvardiyeva, 2010, “Empirical test on macroeconomic factors and stock market analysis: case of Kazakhstan stock market”. 5. Choi, Jongmoo Jay, E. ELysiani and K. J. Kopecky, 1992, “The sensitivity of bank stock return to market, interest and exchange rate risk”, Journal of Banking and Finance. 6. Flannery, Mark, A.S. Hameed and R.H. Harjes, “Asset pricing, time- varying risk premia and interest rate risk”, Journal of Banking and Finance, vol 21, pp. 315-335. Trư ờng Đạ i họ c K inh tế H uế 43 7. Friedman, M. and Schwartz, A.J. (1963), “Money and Business Cycles”, Review of Economics and Statistics, Vol.45 (1), pp.32-64. 8. Husna Hasan (2006), “ Causal relationship between stock market price and macroeconomic variables in Malaysia”. 9. I. Ali, K. U. Rehman, A. K. Yilmaz, M. A. Khan and H. Afzal, 2009, “Causal relationship between macroeconomic indicator and stock exchange prices in Pakistan”, African Journal of Business Management Vol 4. 10. Matiur Rahman (2008), “Inluences of money supply and oil price on US stock market”. 11. Mukherjee and Naka (1995), Dynamic Relations between Macroeconomic Variables and the Japanese Stock Market: An Application of a Vector Error Correction Model, Journal of Finance Research, 1995, vol. 18, issue 2, pages 223-37 12. Neda Bashiri, “The study of relationship between stock exchange index and gold price in Iran and Armenia”. 13. Ryan, Suzanne and Worthington, Andrew, 2004, “Market, interest rate and foreign exchange rate risk in Australian banking: A GARCH-M approach”, International Journal of Applied Business and Economics Research 2(2): pp, 81-103. 14. Saunders and Yourougou (1990), “Are bank special? The separation of banking from commerce and interest rate risk”, Journal of Economics and Business, 1990, vol. 42, issue 2, pages 171-182. 15. Tai, Chu-Sheng, 2000. “Time-varying market, interest rate and exchange rate risk premia in the US commercial bank stock returns”, Journal of Multinational Financial Management 10 (2000), pp. 397-420. 16. Wetmore, J.L, Brick, J.R, (1994), “Commercial bank risk: market interest rate, foreign exchange”, Journal of Financial Research 17, 585-596. Trư ờ g Đạ i họ c K inh tế H uế 44 17. Choi, Jongmoo Jay, E.Elysiani and K.J. Kopecky (1992), “The sensitivity of bank stock returns to market, interest and exchange rate risks”, Journal of Banking and Finance, vol.16, pp. 983-1004. Website 1. www.vietstock.vn 2. www.cophieu68.vn 3. www.gso.gov.vn 4. www.Investing.com 5. www.saga.vn 6. www.academicjournals.org 7. www.thuvienso.hce.edu.vn 8. www.vneconomy.vn 9. www.vi.wikipedia.org 10. www.vnexpress.net Trư ờng Đạ i họ c K inh tế H uế 45 PHỤ LỤC Trư ờng Đạ i họ c K inh tế H uế 46 Phụ lục 1: Chỉ số HSBank Ngày Chỉ số Ngày Chỉ số Ngày Chỉ số Ngày Chỉ số Ngày Chỉ số 31/12/2014 138.23 31/12/2013 129.69 28/12/2012 121.96 30/12/2011 81.61 31/12/2010 80.69 30/12/2014 138.48 30/12/2013 127.96 27/12/2012 120.88 29/12/2011 81.09 30/12/2010 79.30 29/12/2014 136.82 27/12/2013 129.38 26/12/2012 119.19 28/12/2011 80.39 29/12/2010 79.37 26/12/2014 135.36 26/12/2013 130.10 25/12/2012 118.17 27/12/2011 80.81 28/12/2010 82.14 25/12/2014 134.12 25/12/2013 129.77 24/12/2012 116.93 26/12/2011 80.84 27/12/2010 81.38 24/12/2014 134.61 24/12/2013 130.23 21/12/2012 117.62 23/12/2011 80.42 24/12/2010 80.25 23/12/2014 135.60 23/12/2013 130.93 20/12/2012 118.14 22/12/2011 80.34 23/12/2010 80.49 22/12/2014 133.74 20/12/2013 130.26 19/12/2012 118.04 21/12/2011 80.92 22/12/2010 81.50 19/12/2014 128.71 19/12/2013 131.28 18/12/2012 118.68 20/12/2011 80.08 21/12/2010 82.09 18/12/2014 133.48 18/12/2013 130.72 17/12/2012 117.64 19/12/2011 80.22 20/12/2010 83.44 17/12/2014 132.83 17/12/2013 130.85 14/12/2012 114.67 16/12/2011 79.48 17/12/2010 84.31 16/12/2014 135.01 16/12/2013 130.18 13/12/2012 114.49 15/12/2011 78.67 16/12/2010 82.55 15/12/2014 135.55 13/12/2013 129.97 12/12/2012 114.39 14/12/2011 79.12 15/12/2010 85.48 12/12/2014 137.15 12/12/2013 130.65 11/12/2012 113.65 13/12/2011 79.64 14/12/2010 82.28 11/12/2014 134.20 11/12/2013 131.00 10/12/2012 112.37 12/12/2011 80.02 13/12/2010 80.28 10/12/2014 134.83 10/12/2013 133.07 07/12/2012 112.22 09/12/2011 78.89 10/12/2010 76.76 09/12/2014 137.54 09/12/2013 133.86 06/12/2012 113.29 08/12/2011 78.93 09/12/2010 75.19 08/12/2014 139.09 06/12/2013 133.18 05/12/2012 112.34 07/12/2011 79.03 08/12/2010 74.01 05/12/2014 138.17 05/12/2013 132.03 04/12/2012 109.92 06/12/2011 77.18 07/12/2010 75.20 04/12/2014 136.30 04/12/2013 133.64 03/12/2012 108.71 05/12/2011 77.20 06/12/2010 76.33 03/12/2014 133.12 03/12/2013 134.52 30/11/2012 108.57 02/12/2011 76.75 03/12/2010 76.73 02/12/2014 131.07 02/12/2013 134.91 29/11/2012 108.56 01/12/2011 77.19 02/12/2010 74.38 01/12/2014 131.02 29/11/2013 135.12 28/11/2012 107.28 30/11/2011 77.51 01/12/2010 72.79 28/11/2014 129.11 28/11/2013 135.78 27/11/2012 107.05 29/11/2011 78.78 30/11/2010 73.62 27/11/2014 128.27 27/11/2013 134.64 26/11/2012 107.20 28/11/2011 79.92 29/11/2010 72.22 26/11/2014 128.06 26/11/2013 134.73 23/11/2012 108.13 25/11/2011 83.76 26/11/2010 71.97 25/11/2014 129.59 25/11/2013 136.08 22/11/2012 108.87 24/11/2011 84.33 25/11/2010 72.12 24/11/2014 129.12 22/11/2013 136.30 21/11/2012 109.07 23/11/2011 85.37 24/11/2010 70.90 21/11/2014 130.13 21/11/2013 136.09 20/11/2012 108.92 22/11/2011 84.76 23/11/2010 70.52 20/11/2014 129.72 20/11/2013 137.21 19/11/2012 108.98 21/11/2011 83.88 22/11/2010 70.15 19/11/2014 128.42 19/11/2013 136.57 16/11/2012 110.39 18/11/2011 82.60 19/11/2010 69.79 18/11/2014 129.21 18/11/2013 138.28 15/11/2012 111.47 17/11/2011 82.10 18/11/2010 69.77 17/11/2014 130.68 15/11/2013 137.38 14/11/2012 110.33 16/11/2011 81.39 17/11/2010 70.00 14/11/2014 130.82 14/11/2013 136.92 13/11/2012 108.81 15/11/2011 80.15 16/11/2010 70.35 13/11/2014 130.69 13/11/2013 136.35 12/11/2012 111.29 14/11/2011 80.22 15/11/2010 64.91 12/11/2014 130.53 12/11/2013 137.17 09/11/2012 111.29 11/11/2011 80.71 12/11/2010 66.26 11/11/2014 130.24 11/11/2013 138.54 08/11/2012 110.21 10/11/2011 80.22 11/11/2010 67.30 10/11/2014 130.74 08/11/2013 135.13 07/11/2012 107.07 09/11/2011 80.03 10/11/2010 68.08 07/11/2014 130.75 07/11/2013 135.48 06/11/2012 104.29 08/11/2011 81.02 09/11/2010 68.49 06/11/2014 130.76 06/11/2013 135.59 05/11/2012 105.19 07/11/2011 81.77 08/11/2010 69.60 Trư ờng Đạ i họ c K inh tế H uế 47 05/11/2014 130.65 05/11/2013 134.22 02/11/2012 106.26 04/11/2011 82.27 05/11/2010 70.04 04/11/2014 131.31 04/11/2013 132.95 01/11/2012 110.26 03/11/2011 82.66 04/11/2010 69.34 03/11/2014 133.23 01/11/2013 134.45 31/10/2012 110.76 02/11/2011 83.16 03/11/2010 68.95 31/10/2014 132.97 31/10/2013 134.69 30/10/2012 111.00 01/11/2011 104.68 02/11/2010 69.54 30/10/2014 128.17 30/10/2013 135.25 29/10/2012 111.79 31/10/2011 84.13 01/11/2010 69.77 29/10/2014 127.48 29/10/2013 135.49 26/10/2012 111.82 28/10/2011 84.97 29/10/2010 70.28 28/10/2014 127.83 28/10/2013 135.37 25/10/2012 112.21 27/10/2011 84.48 28/10/2010 69.48 27/10/2014 126.59 25/10/2013 137.06 24/10/2012 113.07 26/10/2011 83.94 27/10/2010 68.57 24/10/2014 128.73 24/10/2013 137.05 23/10/2012 113.41 25/10/2011 83.19 26/10/2010 69.21 23/10/2014 129.03 23/10/2013 137.62 22/10/2012 113.51 24/10/2011 82.52 25/10/2010 68.02 22/10/2014 129.88 22/10/2013 135.81 19/10/2012 113.74 21/10/2011 81.26 22/10/2010 68.21 21/10/2014 129.79 21/10/2013 136.38 18/10/2012 113.77 20/10/2011 81.89 21/10/2010 60.79 20/10/2014 129.78 18/10/2013 136.81 17/10/2012 113.37 19/10/2011 82.23 20/10/2010 60.44 17/10/2014 129.09 17/10/2013 136.14 16/10/2012 114.69 18/10/2011 83.01 19/10/2010 61.53 16/10/2014 130.01 16/10/2013 136.83 15/10/2012 112.77 17/10/2011 84.04 18/10/2010 62.16 15/10/2014 131.51 15/10/2013 134.94 12/10/2012 113.43 14/10/2011 86.68 15/10/2010 62.61 14/10/2014 129.92 14/10/2013 134.84 11/10/2012 113.94 13/10/2011 87.85 14/10/2010 62.75 13/10/2014 131.69 11/10/2013 134.84 10/10/2012 113.80 12/10/2011 87.82 13/10/2010 63.02 10/10/2014 131.65 10/10/2013 133.94 09/10/2012 114.02 11/10/2011 88.37 12/10/2010 63.17 09/10/2014 132.40 09/10/2013 134.50 08/10/2012 114.40 10/10/2011 88.99 11/10/2010 64.29 08/10/2014 131.86 08/10/2013 135.96 05/10/2012 113.10 07/10/2011 89.28 08/10/2010 64.40 07/10/2014 132.61 07/10/2013 134.51 04/10/2012 112.07 06/10/2011 88.76 07/10/2010 69.82 06/10/2014 133.07 04/10/2013 133.04 03/10/2012 112.02 05/10/2011 88.58 06/10/2010 70.08 03/10/2014 133.24 03/10/2013 132.13 02/10/2012 111.39 04/10/2011 89.10 05/10/2010 69.61 02/10/2014 133.47 02/10/2013 133.14 01/10/2012 111.70 03/10/2011 89.63 04/10/2010 69.32 01/10/2014 130.88 01/10/2013 132.47 28/09/2012 113.73 30/09/2011 89.78 01/10/2010 69.69 30/09/2014 130.21 30/09/2013 130.34 27/09/2012 114.84 29/09/2011 89.41 30/09/2010 69.70 29/09/2014 130.54 27/09/2013 127.07 26/09/2012 115.55 28/09/2011 89.74 29/09/2010 69.32 26/09/2014 130.83 26/09/2013 126.83 25/09/2012 115.14 27/09/2011 89.20 28/09/2010 69.67 25/09/2014 131.31 25/09/2013 127.28 24/09/2012 114.55 26/09/2011 89.17 27/09/2010 69.22 24/09/2014 131.20 24/09/2013 126.07 21/09/2012 115.71 23/09/2011 89.50 24/09/2010 68.42 23/09/2014 131.84 23/09/2013 125.63 20/09/2012 112.91 22/09/2011 90.66 23/09/2010 68.26 22/09/2014 131.17 20/09/2013 126.40 19/09/2012 116.73 21/09/2011 89.34 22/09/2010 68.06 19/09/2014 130.49 19/09/2013 124.52 18/09/2012 118.94 20/09/2011 88.93 21/09/2010 67.95 18/09/2014 133.01 18/09/2013 124.85 17/09/2012 122.89 19/09/2011 88.57 20/09/2010 68.28 17/09/2014 133.00 17/09/2013 126.89 14/09/2012 119.12 16/09/2011 87.19 17/09/2010 67.55 16/09/2014 133.65 16/09/2013 125.20 13/09/2012 115.87 15/09/2011 87.75 16/09/2010 67.18 15/09/2014 134.87 13/09/2013 123.27 12/09/2012 114.10 14/09/2011 87.88 15/09/2010 67.27 12/09/2014 136.68 12/09/2013 122.93 11/09/2012 113.87 13/09/2011 88.53 14/09/2010 67.17 11/09/2014 136.67 11/09/2013 123.05 10/09/2012 114.03 12/09/2011 88.28 13/09/2010 66.79 10/09/2014 137.03 10/09/2013 122.38 07/09/2012 118.07 09/09/2011 89.71 10/09/2010 66.97 09/09/2014 137.07 09/09/2013 121.23 06/09/2012 117.73 08/09/2011 89.87 09/09/2010 68.39 Trư ờng Đạ i họ c K inh tế H uế 48 08/09/2014 138.95 06/09/2013 124.18 05/09/2012 118.31 07/09/2011 90.37 08/09/2010 67.57 05/09/2014 139.45 05/09/2013 126.23 04/09/2012 118.50 06/09/2011 89.80 07/09/2010 68.13 04/09/2014 138.78 04/09/2013 124.99 31/08/2012 117.47 05/09/2011 90.87 06/09/2010 69.34 03/09/2014 138.51 03/09/2013 125.23 30/08/2012 120.04 01/09/2011 91.01 01/09/2010 68.51 29/08/2014 137.71 30/08/2013 128.07 29/08/2012 118.63 31/08/2011 87.39 31/08/2010 68.55 28/08/2014 134.03 29/08/2013 123.96 28/08/2012 117.78 30/08/2011 86.62 30/08/2010 68.11 27/08/2014 133.77 28/08/2013 126.32 27/08/2012 118.34 29/08/2011 86.96 27/08/2010 65.67 26/08/2014 135.11 27/08/2013 128.03 24/08/2012 123.33 26/08/2011 85.71 26/08/2010 65.20 25/08/2014 133.98 26/08/2013 127.79 23/08/2012 120.07 25/08/2011 85.74 25/08/2010 64.81 22/08/2014 133.16 23/08/2013 128.25 22/08/2012 126.13 24/08/2011 85.33 24/08/2010 65.66 21/08/2014 133.78 22/08/2013 130.04 21/08/2012 129.81 23/08/2011 86.04 23/08/2010 66.65 20/08/2014 132.19 21/08/2013 132.09 20/08/2012 136.42 22/08/2011 85.94 20/08/2010 67.01 19/08/2014 130.63 20/08/2013 131.33 17/08/2012 134.54 19/08/2011 85.49 19/08/2010 66.44 18/08/2014 130.72 19/08/2013 132.13 16/08/2012 133.72 18/08/2011 86.31 18/08/2010 66.96 15/08/2014 131.23 16/08/2013 132.26 15/08/2012 133.99 17/08/2011 85.26 17/08/2010 67.75 14/08/2014 132.25 15/08/2013 132.36 14/08/2012 133.92 16/08/2011 83.96 16/08/2010 67.77 13/08/2014 132.43 14/08/2013 131.36 13/08/2012 132.55 15/08/2011 83.54 13/08/2010 65.99 12/08/2014 131.58 13/08/2013 130.90 10/08/2012 132.19 12/08/2011 83.58 12/08/2010 66.02 11/08/2014 131.75 12/08/2013 131.13 09/08/2012 133.15 11/08/2011 83.48 11/08/2010 67.90 08/08/2014 132.84 09/08/2013 131.69 08/08/2012 132.07 10/08/2011 83.74 10/08/2010 68.12 07/08/2014 134.91 08/08/2013 131.68 07/08/2012 131.70 09/08/2011 87.07 09/08/2010 70.20 06/08/2014 134.75 07/08/2013 132.13 06/08/2012 131.35 08/08/2011 88.05 06/08/2010 71.37 05/08/2014 135.60 06/08/2013 133.05 03/08/2012 130.99 05/08/2011 88.65 05/08/2010 72.28 04/08/2014 134.68 05/08/2013 132.49 02/08/2012 130.92 04/08/2011 88.87 04/08/2010 72.19 01/08/2014 133.93 02/08/2013 132.37 01/08/2012 130.72 03/08/2011 88.48 03/08/2010 72.85 31/07/2014 133.42 01/08/2013 131.82 31/07/2012 132.02 02/08/2011 88.06 02/08/2010 73.11 30/07/2014 133.06 31/07/2013 132.05 30/07/2012 131.80 01/08/2011 86.90 30/07/2010 73.79 29/07/2014 133.76 30/07/2013 133.06 27/07/2012 132.19 29/07/2011 86.81 29/07/2010 73.64 28/07/2014 133.69 29/07/2013 132.26 26/07/2012 132.00 28/07/2011 86.81 28/07/2010 73.96 25/07/2014 128.08 26/07/2013 133.51 25/07/2012 131.54 27/07/2011 86.73 27/07/2010 74.13 24/07/2014 127.76 25/07/2013 133.51 24/07/2012 131.45 26/07/2011 85.89 26/07/2010 74.47 23/07/2014 127.11 24/07/2013 134.08 23/07/2012 133.14 25/07/2011 85.83 23/07/2010 74.77 22/07/2014 127.15 23/07/2013 136.23 20/07/2012 133.27 22/07/2011 86.82 22/07/2010 74.68 21/07/2014 128.28 22/07/2013 134.99 19/07/2012 135.38 21/07/2011 88.12 21/07/2010 74.88 18/07/2014 128.84 19/07/2013 135.44 18/07/2012 132.51 20/07/2011 87.08 20/07/2010 74.97 17/07/2014 127.69 18/07/2013 134.55 17/07/2012 132.23 19/07/2011 85.55 19/07/2010 75.38 16/07/2014 128.20 17/07/2013 135.22 16/07/2012 131.93 18/07/2011 85.45 16/07/2010 75.14 15/07/2014 127.69 16/07/2013 135.09 13/07/2012 132.02 15/07/2011 85.36 15/07/2010 75.03 14/07/2014 127.33 15/07/2013 135.43 12/07/2012 129.81 14/07/2011 86.12 14/07/2010 75.18 11/07/2014 127.36 12/07/2013 135.21 11/07/2012 129.42 13/07/2011 85.64 13/07/2010 75.41 10/07/2014 127.24 11/07/2013 134.31 10/07/2012 128.91 12/07/2011 85.64 12/07/2010 74.19 09/07/2014 128.43 10/07/2013 133.75 09/07/2012 129.56 11/07/2011 85.88 09/07/2010 74.20 Trư ờng Đạ i họ c K inh tế H uế 49 08/07/2014 128.51 09/07/2013 134.97 06/07/2012 131.30 08/07/2011 85.24 08/07/2010 74.54 07/07/2014 129.42 08/07/2013 134.73 05/07/2012 131.25 07/07/2011 84.74 07/07/2010 74.52 04/07/2014 129.33 05/07/2013 132.19 04/07/2012 129.88 06/07/2011 84.14 06/07/2010 80.09 03/07/2014 128.82 04/07/2013 132.08 03/07/2012 129.89 05/07/2011 84.65 05/07/2010 80.91 02/07/2014 128.38 03/07/2013 132.19 02/07/2012 132.87 04/07/2011 84.57 02/07/2010 79.07 01/07/2014 128.69 02/07/2013 133.23 29/06/2012 134.48 01/07/2011 83.83 01/07/2010 79.30 30/06/2014 129.14 01/07/2013 132.10 28/06/2012 132.86 30/06/2011 82.76 30/06/2010 79.32 27/06/2014 129.57 28/06/2013 134.47 27/06/2012 131.93 29/06/2011 83.00 29/06/2010 80.68 26/06/2014 129.95 27/06/2013 133.68 26/06/2012 132.30 28/06/2011 82.89 28/06/2010 79.48 25/06/2014 129.68 26/06/2013 131.19 25/06/2012 133.78 27/06/2011 83.44 25/06/2010 78.85 24/06/2014 128.78 25/06/2013 132.08 22/06/2012 134.75 24/06/2011 83.14 24/06/2010 80.35 23/06/2014 128.56 24/06/2013 137.06 21/06/2012 135.60 23/06/2011 82.77 23/06/2010 80.29 20/06/2014 126.80 21/06/2013 139.79 20/06/2012 135.75 22/06/2011 83.59 22/06/2010 80.61 19/06/2014 127.98 20/06/2013 139.78 19/06/2012 134.44 21/06/2011 83.67 21/06/2010 80.54 18/06/2014 128.91 19/06/2013 139.95 18/06/2012 136.65 20/06/2011 82.81 18/06/2010 80.20 17/06/2014 135.45 18/06/2013 138.72 15/06/2012 134.87 17/06/2011 83.03 17/06/2010 80.48 16/06/2014 135.28 17/06/2013 137.94 14/06/2012 133.93 16/06/2011 84.58 16/06/2010 80.50 13/06/2014 135.72 14/06/2013 138.12 13/06/2012 135.94 15/06/2011 83.54 15/06/2010 79.57 12/06/2014 135.03 13/06/2013 139.37 12/06/2012 136.52 14/06/2011 83.67 14/06/2010 79.59 11/06/2014 133.63 12/06/2013 139.18 11/06/2012 137.41 13/06/2011 83.41 11/06/2010 79.52 10/06/2014 131.93 11/06/2013 141.52 08/06/2012 138.20 10/06/2011 83.92 10/06/2010 79.02 09/06/2014 131.79 10/06/2013 143.12 07/06/2012 138.40 09/06/2011 83.90 09/06/2010 78.54 06/06/2014 131.98 07/06/2013 145.46 06/06/2012 136.64 08/06/2011 83.80 08/06/2010 78.74 05/06/2014 129.92 06/06/2013 141.62 05/06/2012 134.59 07/06/2011 85.01 07/06/2010 78.63 04/06/2014 130.92 05/06/2013 138.43 04/06/2012 132.83 06/06/2011 83.60 04/06/2010 79.96 03/06/2014 131.86 04/06/2013 137.63 01/06/2012 137.40 03/06/2011 84.38 03/06/2010 80.06 02/06/2014 132.09 03/06/2013 140.33 31/05/2012 137.42 02/06/2011 86.23 02/06/2010 80.08 30/05/2014 133.33 31/05/2013 139.92 30/05/2012 139.34 01/06/2011 84.29 01/06/2010 80.41 29/05/2014 132.69 30/05/2013 139.03 29/05/2012 137.70 31/05/2011 82.74 31/05/2010 80.73 28/05/2014 132.70 29/05/2013 136.36 28/05/2012 139.94 30/05/2011 81.70 28/05/2010 81.42 27/05/2014 130.97 28/05/2013 136.70 25/05/2012 140.35 27/05/2011 83.09 27/05/2010 80.32 26/05/2014 127.28 27/05/2013 136.32 24/05/2012 135.19 26/05/2011 81.63 26/05/2010 80.33 23/05/2014 125.89 24/05/2013 133.66 23/05/2012 138.86 25/05/2011 79.97 25/05/2010 80.70 22/05/2014 126.94 23/05/2013 134.34 22/05/2012 143.36 24/05/2011 82.02 24/05/2010 81.11 21/05/2014 128.36 22/05/2013 137.04 21/05/2012 145.45 23/05/2011 83.75 21/05/2010 80.38 20/05/2014 128.08 21/05/2013 137.59 18/05/2012 141.84 20/05/2011 85.60 20/05/2010 83.06 19/05/2014 127.75 20/05/2013 137.35 17/05/2012 144.07 19/05/2011 86.71 19/05/2010 81.09 16/05/2014 127.20 17/05/2013 137.86 16/05/2012 148.55 18/05/2011 87.53 18/05/2010 83.36 15/05/2014 124.93 16/05/2013 139.78 15/05/2012 150.40 17/05/2011 87.26 17/05/2010 83.66 14/05/2014 127.09 15/05/2013 136.38 14/05/2012 264.19 16/05/2011 86.58 14/05/2010 84.77 13/05/2014 121.42 14/05/2013 122.86 11/05/2012 154.96 13/05/2011 85.60 13/05/2010 85.17 12/05/2014 119.94 13/05/2013 124.39 10/05/2012 155.87 12/05/2011 85.60 12/05/2010 85.27 Trư ờng Đạ i họ c K inh tế H uế 50 09/05/2014 126.02 10/05/2013 123.84 09/05/2012 155.54 11/05/2011 85.55 11/05/2010 86.49 08/05/2014 123.43 09/05/2013 124.66 08/05/2012 153.82 10/05/2011 85.61 10/05/2010 86.05 07/05/2014 130.31 08/05/2013 124.81 07/05/2012 149.50 09/05/2011 86.06 07/05/2010 87.53 06/05/2014 128.65 07/05/2013 124.58 04/05/2012 148.16 06/05/2011 86.47 06/05/2010 88.86 05/05/2014 131.16 06/05/2013 125.01 03/05/2012 148.17 05/05/2011 86.05 05/05/2010 89.23 29/04/2014 135.40 03/05/2013 122.42 02/05/2012 150.22 04/05/2011 86.16 04/05/2010 90.21 28/04/2014 134.44 02/05/2013 121.99 27/04/2012 151.01 29/04/2011 85.82 29/04/2010 86.50 25/04/2014 136.12 26/04/2013 122.60 26/04/2012 146.33 28/04/2011 85.12 28/04/2010 86.71 24/04/2014 136.45 25/04/2013 122.29 25/04/2012 147.85 27/04/2011 85.15 27/04/2010 87.26 23/04/2014 136.59 24/04/2013 119.89 24/04/2012 146.84 26/04/2011 85.64 26/04/2010 87.51 22/04/2014 136.27 23/04/2013 120.83 23/04/2012 147.79 25/04/2011 86.56 22/04/2010 87.85 21/04/2014 133.86 22/04/2013 119.64 20/04/2012 148.50 22/04/2011 85.57 21/04/2010 85.57 18/04/2014 135.46 18/04/2013 121.36 19/04/2012 148.25 21/04/2011 86.59 20/04/2010 85.43 17/04/2014 138.00 17/04/2013 123.89 18/04/2012 149.18 20/04/2011 87.09 19/04/2010 86.33 16/04/2014 137.10 16/04/2013 123.27 17/04/2012 149.72 19/04/2011 86.98 16/04/2010 87.47 15/04/2014 140.07 15/04/2013 122.05 16/04/2012 148.47 18/04/2011 86.83 15/04/2010 87.39 14/04/2014 142.62 12/04/2013 126.00 13/04/2012 146.87 15/04/2011 87.29 14/04/2010 87.69 11/04/2014 143.28 11/04/2013 127.81 12/04/2012 149.38 14/04/2011 87.87 13/04/2010 87.81 10/04/2014 144.17 10/04/2013 125.74 11/04/2012 144.40 13/04/2011 88.12 12/04/2010 88.57 08/04/2014 144.49 09/04/2013 132.44 10/04/2012 141.93 08/04/2011 78.34 09/04/2010 88.39 07/04/2014 144.70 08/04/2013 133.48 09/04/2012 141.75 07/04/2011 78.65 08/04/2010 88.23 04/04/2014 144.92 05/04/2013 131.87 06/04/2012 140.91 06/04/2011 78.94 07/04/2010 88.97 03/04/2014 144.88 04/04/2013 133.18 05/04/2012 140.06 05/04/2011 78.21 06/04/2010 89.09 02/04/2014 143.89 03/04/2013 133.53 04/04/2012 138.01 04/04/2011 77.65 05/04/2010 88.96 01/04/2014 143.82 02/04/2013 134.78 03/04/2012 132.40 01/04/2011 78.00 02/04/2010 88.87 31/03/2014 144.74 01/04/2013 133.65 30/03/2012 130.91 31/03/2011 78.59 01/04/2010 90.05 28/03/2014 146.19 29/03/2013 132.34 29/03/2012 135.07 30/03/2011 78.58 31/03/2010 89.78 27/03/2014 144.75 28/03/2013 132.37 28/03/2012 136.04 29/03/2011 78.91 30/03/2010 89.86 26/03/2014 144.52 27/03/2013 133.78 27/03/2012 134.30 28/03/2011 78.93 29/03/2010 89.14 25/03/2014 149.78 26/03/2013 133.08 26/03/2012 137.99 25/03/2011 78.62 26/03/2010 89.96 24/03/2014 150.74 25/03/2013 133.87 23/03/2012 137.54 24/03/2011 78.11 25/03/2010 89.76 21/03/2014 147.45 22/03/2013 133.03 22/03/2012 137.13 23/03/2011 79.13 24/03/2010 90.79 20/03/2014 146.32 21/03/2013 134.70 21/03/2012 138.38 22/03/2011 76.60 23/03/2010 90.68 19/03/2014 146.22 20/03/2013 134.99 20/03/2012 136.80 21/03/2011 77.34 22/03/2010 90.54 18/03/2014 142.85 19/03/2013 134.62 19/03/2012 134.21 18/03/2011 77.45 19/03/2010 90.35 17/03/2014 143.14 18/03/2013 136.12 16/03/2012 133.75 17/03/2011 76.18 18/03/2010 91.20 14/03/2014 144.12 15/03/2013 136.35 15/03/2012 134.36 16/03/2011 75.35 17/03/2010 91.42 13/03/2014 143.92 14/03/2013 134.41 14/03/2012 130.00 15/03/2011 74.89 16/03/2010 92.23 12/03/2014 142.74 13/03/2013 135.23 13/03/2012 128.73 14/03/2011 75.55 15/03/2010 93.78 11/03/2014 144.23 12/03/2013 135.62 12/03/2012 124.85 11/03/2011 76.94 12/03/2010 93.78 10/03/2014 144.18 11/03/2013 135.71 09/03/2012 126.34 10/03/2011 75.60 11/03/2010 93.29 07/03/2014 142.39 08/03/2013 134.78 08/03/2012 129.39 09/03/2011 74.61 10/03/2010 94.02 Trư ờng Đạ i họ c K inh tế H uế 51 06/03/2014 141.60 07/03/2013 133.87 07/03/2012 135.92 08/03/2011 74.75 09/03/2010 94.36 05/03/2014 141.61 06/03/2013 134.86 06/03/2012 140.04 07/03/2011 75.40 08/03/2010 93.82 04/03/2014 141.01 05/03/2013 132.93 05/03/2012 144.51 04/03/2011 74.78 05/03/2010 93.70 03/03/2014 141.66 04/03/2013 133.87 02/03/2012 137.93 03/03/2011 74.64 04/03/2010 94.34 28/02/2014 145.78 01/03/2013 137.10 01/03/2012 133.99 02/03/2011 74.49 03/03/2010 94.95 27/02/2014 145.62 28/02/2013 136.44 29/02/2012 130.64 01/03/2011 76.67 02/03/2010 94.09 26/02/2014 144.47 27/02/2013 132.81 28/02/2012 127.87 28/02/2011 76.90 01/03/2010 95.80 25/02/2014 142.00 26/02/2013 132.70 27/02/2012 127.67 25/02/2011 77.45 26/02/2010 94.00 24/02/2014 140.35 25/02/2013 140.61 24/02/2012 124.68 24/02/2011 75.38 25/02/2010 92.84 21/02/2014 140.01 22/02/2013 138.15 23/02/2012 123.75 23/02/2011 76.50 24/02/2010 93.25 20/02/2014 140.85 21/02/2013 136.70 22/02/2012 122.82 22/02/2011 74.73 23/02/2010 92.74 19/02/2014 140.04 20/02/2013 143.19 21/02/2012 120.18 21/02/2011 75.96 22/02/2010 94.13 18/02/2014 139.81 19/02/2013 142.91 20/02/2012 121.00 18/02/2011 79.44 12/02/2010 93.75 17/02/2014 139.35 18/02/2013 144.61 17/02/2012 115.91 17/02/2011 80.45 11/02/2010 92.97 14/02/2014 140.50 08/02/2013 145.06 16/02/2012 113.45 16/02/2011 80.09 10/02/2010 90.18 13/02/2014 139.76 07/02/2013 144.29 15/02/2012 114.72 15/02/2011 80.73 09/02/2010 89.57 12/02/2014 139.56 06/02/2013 144.69 14/02/2012 117.32 14/02/2011 80.93 08/02/2010 91.25 11/02/2014 137.99 05/02/2013 142.02 13/02/2012 116.70 11/02/2011 82.10 05/02/2010 89.75 10/02/2014 138.70 04/02/2013 142.49 10/02/2012 122.00 10/02/2011 82.84 04/02/2010 90.79 07/02/2014 136.80 01/02/2013 144.33 09/02/2012 120.29 09/02/2011 82.99 03/02/2010 89.91 06/02/2014 139.35 31/01/2013 143.70 08/02/2012 118.22 08/02/2011 82.12 02/02/2010 89.65 27/01/2014 141.43 30/01/2013 145.25 07/02/2012 113.91 28/01/2011 80.85 01/02/2010 89.35 24/01/2014 192.56 29/01/2013 145.20 06/02/2012 112.84 27/01/2011 80.16 29/01/2010 89.29 23/01/2014 143.18 28/01/2013 141.39 03/02/2012 113.40 26/01/2011 79.90 28/01/2010 89.80 22/01/2014 142.89 25/01/2013 138.57 02/02/2012 113.63 25/01/2011 79.16 27/01/2010 91.32 21/01/2014 142.70 24/01/2013 133.82 01/02/2012 110.04 24/01/2011 79.72 26/01/2010 93.20 20/01/2014 140.21 23/01/2013 131.88 31/01/2012 110.12 21/01/2011 79.62 25/01/2010 89.64 17/01/2014 136.72 22/01/2013 132.38 30/01/2012 108.78 20/01/2011 78.27 22/01/2010 89.68 16/01/2014 132.74 21/01/2013 134.53 20/01/2012 105.34 19/01/2011 77.82 21/01/2010 90.16 15/01/2014 132.31 18/01/2013 136.42 19/01/2012 104.96 18/01/2011 77.83 20/01/2010 91.31 14/01/2014 132.32 17/01/2013 135.87 18/01/2012 102.00 17/01/2011 78.12 19/01/2010 92.34 13/01/2014 131.64 16/01/2013 138.08 17/01/2012 101.19 14/01/2011 77.85 18/01/2010 91.02 10/01/2014 132.43 15/01/2013 137.36 16/01/2012 88.66 13/01/2011 77.71 15/01/2010 93.42 09/01/2014 134.03 14/01/2013 136.55 13/01/2012 88.94 12/01/2011 77.19 14/01/2010 94.26 08/01/2014 133.71 11/01/2013 137.70 12/01/2012 88.17 11/01/2011 76.43 13/01/2010 94.85 07/01/2014 132.94 10/01/2013 139.52 11/01/2012 89.90 10/01/2011 77.70 12/01/2010 93.68 06/01/2014 130.51 09/01/2013 136.30 10/01/2012 88.14 07/01/2011 78.03 11/01/2010 97.26 03/01/2014 130.87 08/01/2013 135.56 09/01/2012 86.12 06/01/2011 78.56 08/01/2010 97.92 02/01/2014 129.76 07/01/2013 130.83 06/01/2012 84.47 05/01/2011 77.82 07/01/2010 98.22 04/01/2013 128.12 05/01/2012 79.62 04/01/2011 79.12 06/01/2010 100.18 03/01/2013 126.08 04/01/2012 80.63 05/01/2010 102.87 02/01/2013 124.65 03/01/2012 79.18 04/01/2010 100.00 Trư ờng Đạ i họ c K inh tế H uế 52 Phụ lục 2:Tính dừng của các biến số Null Hypothesis: R_HSB has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.244240 0.0000 Test critical values: 1% level -3.546099 5% level -2.911730 10% level -2.593551 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(R_HSB) Method: Least Squares Date: 05/05/15 Time: 10:03 Sample (adjusted): 2 60 Included observations: 59 after adjustments Variable Coefficient Std. Error t-Statistic Prob. R_HSB(-1) -0.825643 0.132225 -6.244240 0.0000 C 0.006065 0.011240 0.539563 0.5916 R-squared 0.406191 Mean dependent var -0.002739 Adjusted R-squared 0.395774 S.D. dependent var 0.110190 S.E. of regression 0.085653 Akaike info criterion -2.043716 Sum squared resid 0.418176 Schwarz criterion -1.973291 Log likelihood 62.28962 Hannan-Quinn criter. -2.016225 F-statistic 38.99053 Durbin-Watson stat 1.939102 Prob(F-statistic) 0.000000 Phục lục 2.1. Tính dừng R_HSB Trư ờng Đạ i họ c K inh tế H uế 53 Null Hypothesis: R_CPI has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.124718 0.0301 Test critical values: 1% level -3.546099 5% level -2.911730 10% level -2.593551 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(R_CPI) Method: Least Squares Date: 05/05/15 Time: 09:40 Sample (adjusted): 2 60 Included observations: 59 after adjustments Variable Coefficient Std. Error t-Statistic Prob. R_CPI(-1) -0.299103 0.095721 -3.124718 0.0028 C 0.001889 0.001012 1.866348 0.0671 R-squared 0.146245 Mean dependent var -0.000271 Adjusted R-squared 0.131267 S.D. dependent var 0.006094 S.E. of regression 0.005680 Akaike info criterion -7.470486 Sum squared resid 0.001839 Schwarz criterion -7.400061 Log likelihood 222.3793 Hannan-Quinn criter. -7.442995 F-statistic 9.763865 Durbin-Watson stat 1.827116 Prob(F-statistic) 0.002798 Phục lục 2.2. Tính dừng R_CPI Trư ờng Đạ i họ c K inh tế H uế 54 Null Hypothesis: R_EX has a unit root Exogenous: Constant Lag Length: 2 (Automatic based on SIC, MAXLAG=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.880057 0.0540 Test critical values: 1% level -3.550396 5% level -2.913549 10% level -2.594521 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(R_EX) Method: Least Squares Date: 05/05/15 Time: 09:44 Sample (adjusted): 4 60 Included observations: 57 after adjustments Variable Coefficient Std. Error t-Statistic Prob. R_EX(-1) -0.525821 0.182573 -2.880057 0.0057 D(R_EX(-1)) -0.169653 0.157551 -1.076813 0.2864 D(R_EX(-2)) -0.298261 0.128684 -2.317785 0.0244 C 0.000978 0.001081 0.904540 0.3698 R-squared 0.427819 Mean dependent var -0.000163 Adjusted R-squared 0.395431 S.D. dependent var 0.009791 S.E. of regression 0.007613 Akaike info criterion -6.850260 Sum squared resid 0.003072 Schwarz criterion -6.706888 Log likelihood 199.2324 Hannan-Quinn criter. -6.794541 F-statistic 13.20933 Durbin-Watson stat 1.835237 Prob(F-statistic) 0.000001 Phục lục 2.3. Tính dừng R_EX Trư ờng Đạ i họ c K inh tế H uế 55 Null Hypothesis: R_GOLD has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.002659 0.0001 Test critical values: 1% level -3.546099 5% level -2.911730 10% level -2.593551 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(R_GOLD) Method: Least Squares Date: 05/05/15 Time: 10:02 Sample (adjusted): 2 60 Included observations: 59 after adjustments Variable Coefficient Std. Error t-Statistic Prob. R_GOLD(-1) -0.602894 0.120515 -5.002659 0.0000 C 0.002557 0.004315 0.592516 0.5558 R-squared 0.305103 Mean dependent var 0.000492 Adjusted R-squared 0.292912 S.D. dependent var 0.039235 S.E. of regression 0.032992 Akaike info criterion -3.951794 Sum squared resid 0.062043 Schwarz criterion -3.881369 Log likelihood 118.5779 Hannan-Quinn criter. -3.924303 F-statistic 25.02660 Durbin-Watson stat 1.963778 Prob(F-statistic) 0.000006 Phục lục 2.4. Tính dừng R_GOLD Trư ờng Đạ i họ c K inh tế H uế 56 Null Hypothesis: R_M2 has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.377024 0.0000 Test critical values: 1% level -3.546099 5% level -2.911730 10% level -2.593551 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(R_M2) Method: Least Squares Date: 05/05/15 Time: 10:03 Sample (adjusted): 2 60 Included observations: 59 after adjustments Variable Coefficient Std. Error t-Statistic Prob. R_M2(-1) -0.683821 0.127175 -5.377024 0.0000 C 0.011722 0.003159 3.710840 0.0005 R-squared 0.336533 Mean dependent var 0.000632 Adjusted R-squared 0.324894 S.D. dependent var 0.022367 S.E. of regression 0.018378 Akaike info criterion -5.122047 Sum squared resid 0.019251 Schwarz criterion -5.051622 Log likelihood 153.1004 Hannan-Quinn criter. -5.094556 F-statistic 28.91239 Durbin-Watson stat 1.829476 Prob(F-statistic) 0.000001 Phục lục 2.5. Tính dừng R_M2 Trư ờng Đạ i họ c K inh tế H uế 57 Null Hypothesis: R_IIP has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -10.05053 0.0000 Test critical values: 1% level -3.546099 5% level -2.911730 10% level -2.593551 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(R_IIP) Method: Least Squares Date: 05/05/15 Time: 21:20 Sample (adjusted): 2 60 Included observations: 59 after adjustments Variable Coefficient Std. Error t-Statistic Prob. R_IIP(-1) -1.278288 0.127186 -10.05053 0.0000 C 0.017838 0.013150 1.356548 0.1803 R-squared 0.639271 Mean dependent var 0.001197 Adjusted R-squared 0.632942 S.D. dependent var 0.165387 S.E. of regression 0.100200 Akaike info criterion -1.729981 Sum squared resid 0.572285 Schwarz criterion -1.659556 Log likelihood 53.03444 Hannan-Quinn criter. -1.702490 F-statistic 101.0132 Durbin-Watson stat 1.991931 Prob(F-statistic) 0.000000 Phục lục 2.6. Tính dừng R_IIP Trư ờng Đạ i họ c K inh tế H uế 58 Null Hypothesis: R_TP has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.225335 0.0000 Test critical values: 1% level -3.546099 5% level -2.911730 10% level -2.593551 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(R_TP) Method: Least Squares Date: 05/05/15 Time: 21:20 Sample (adjusted): 2 60 Included observations: 59 after adjustments Variable Coefficient Std. Error t-Statistic Prob. R_TP(-1) -0.810949 0.130266 -6.225335 0.0000 C -0.009840 0.008365 -1.176349 0.2443 R-squared 0.404730 Mean dependent var -0.001198 Adjusted R-squared 0.394286 S.D. dependent var 0.081410 S.E. of regression 0.063359 Akaike info criterion -2.646686 Sum squared resid 0.228819 Schwarz criterion -2.576261 Log likelihood 80.07725 Hannan-Quinn criter. -2.619195 F-statistic 38.75480 Durbin-Watson stat 1.959100 Prob(F-statistic) 0.000000 Phục lục 2.7. Tính dừng R_TP Trư ờng Đạ i họ c K inh tế H uế 59 Null Hypothesis: R_VNI has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -7.667126 0.0000 Test critical values: 1% level -3.546099 5% level -2.911730 10% level -2.593551 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(R_VNI) Method: Least Squares Date: 05/05/15 Time: 21:20 Sample (adjusted): 2 60 Included observations: 59 after adjustments Variable Coefficient Std. Error t-Statistic Prob. R_VNI(-1) -1.020095 0.133048 -7.667126 0.0000 C 0.003438 0.007942 0.432847 0.6668 R-squared 0.507707 Mean dependent var -0.000319 Adjusted R-squared 0.499071 S.D. dependent var 0.086024 S.E. of regression 0.060885 Akaike info criterion -2.726358 Sum squared resid 0.211296 Schwarz criterion -2.655933 Log likelihood 82.42756 Hannan-Quinn criter. -2.698867 F-statistic 58.78482 Durbin-Watson stat 1.986503 Prob(F-statistic) 0.000000 Phục lục 2.8. Tính dừng R_VNI Trư ờng Đạ i họ c K inh tế H uế 60 Null Hypothesis: DEX has a unit root Exogenous: Constant Lag Length: 1 (Automatic based on SIC, MAXLAG=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -10.54373 0.0000 Test critical values: 1% level -3.550396 5% level -2.913549 10% level -2.594521 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(DEX) Method: Least Squares Date: 05/05/15 Time: 21:44 Sample (adjusted): 4 60 Included observations: 57 after adjustments Variable Coefficient Std. Error t-Statistic Prob. DEX(-1) -1.993237 0.189045 -10.54373 0.0000 D(DEX(-1)) 0.496012 0.115953 4.277701 0.0001 C -0.000147 0.001074 -0.136494 0.8919 R-squared 0.754720 Mean dependent var -0.000146 Adjusted R-squared 0.745635 S.D. dependent var 0.016083 S.E. of regression 0.008111 Akaike info criterion -6.739946 Sum squared resid 0.003553 Schwarz criterion -6.632417 Log likelihood 195.0885 Hannan-Quinn criter. -6.698156 F-statistic 83.07810 Durbin-Watson stat 1.915575 Prob(F-statistic) 0.000000 Phục lục 2.9. Tính dừng D_R_EX Trư ờng Đạ i họ c K inh tế H uế 61 Phụ lục 3: Kết quả hồi quy bằng Eviews Dependent Variable: R_HSB Method: Least Squares Date: 05/18/15 Time: 08:37 Sample: 1 60 Included observations: 60 Variable Coefficient Std. Error t-Statistic Prob. R_CPI 2.180751 1.409073 1.547650 0.1271 C -0.006693 0.014785 -0.452729 0.6524 R-squared 0.039659 Mean dependent var 0.008710 Adjusted R-squared 0.023102 S.D. dependent var 0.085680 S.E. of regression 0.084684 Akaike info criterion -2.067005 Sum squared resid 0.415944 Schwarz criterion -1.997193 Log likelihood 64.01014 Hannan-Quinn criter. -2.039698 F-statistic 2.395221 Durbin-Watson stat 1.644808 Prob(F-statistic) 0.127146 Phụ lục 3.1. Hồi quy R_HSB với R_CPI Dependent Variable: R_HSB Method: Least Squares Date: 05/18/15 Time: 08:39 Sample: 1 60 Included observations: 60 Variable Coefficient Std. Error t-Statistic Prob. R_EX -0.183456 1.400011 -0.131039 0.8962 C 0.009102 0.011548 0.788157 0.4338 R-squared 0.000296 Mean dependent var 0.008710 Adjusted R-squared -0.016940 S.D. dependent var 0.085680 S.E. of regression 0.086403 Akaike info criterion -2.026834 Sum squared resid 0.432993 Schwarz criterion -1.957022 Log likelihood 62.80501 Hannan-Quinn criter. -1.999527 F-statistic 0.017171 Durbin-Watson stat 1.628194 Prob(F-statistic) 0.896198 Phụ lục 3.2. Hồi quy R_HSB với R_EX Trư ờng Đạ i họ c K inh tế H uế 62 Dependent Variable: R_HSB Method: Least Squares Date: 05/18/15 Time: 08:40 Sample: 1 60 Included observations: 60 Variable Coefficient Std. Error t-Statistic Prob. R_GOLD -0.036432 0.315594 -0.115439 0.9085 C 0.008832 0.011205 0.788244 0.4338 R-squared 0.000230 Mean dependent var 0.008710 Adjusted R-squared -0.017008 S.D. dependent var 0.085680 S.E. of regression 0.086405 Akaike info criterion -2.026767 Sum squared resid 0.433022 Schwarz criterion -1.956956 Log likelihood 62.80302 Hannan-Quinn criter. -1.999460 F-statistic 0.013326 Durbin-Watson stat 1.625047 Prob(F-statistic) 0.908496 Phụ lục 3.3. Hồi quy R_HSB với R_GOLD Dependent Variable: R_HSB Method: Least Squares Date: 05/18/15 Time: 08:40 Sample: 1 60 Included observations: 60 Variable Coefficient Std. Error t-Statistic Prob. R_M2 0.189432 0.588807 0.321722 0.7488 C 0.005559 0.014838 0.374623 0.7093 R-squared 0.001781 Mean dependent var 0.008710 Adjusted R-squared -0.015429 S.D. dependent var 0.085680 S.E. of regression 0.086338 Akaike info criterion -2.028321 Sum squared resid 0.432350 Schwarz criterion -1.958509 Log likelihood 62.84962 Hannan-Quinn criter. -2.001014 F-statistic 0.103505 Durbin-Watson stat 1.639124 Prob(F-statistic) 0.748820 Phụ lục 3.4. Hồi quy R_HSB với R_M2 Trư ờng Đạ i họ c K inh tế H uế 63 Dependent Variable: R_HSB Method: Least Squares Date: 05/18/15 Time: 08:41 Sample: 1 60 Included observations: 60 Variable Coefficient Std. Error t-Statistic Prob. R_IIP -0.097014 0.108847 -0.891289 0.3765 C 0.010027 0.011179 0.897011 0.3734 R-squared 0.013511 Mean dependent var 0.008710 Adjusted R-squared -0.003497 S.D. dependent var 0.085680 S.E. of regression 0.085830 Akaike info criterion -2.040141 Sum squared resid 0.427269 Schwarz criterion -1.970330 Log likelihood 63.20424 Hannan-Quinn criter. -2.012834 F-statistic 0.794395 Durbin-Watson stat 1.635073 Prob(F-statistic) 0.376457 Phụ lục 3.5. Hồi quy R_HSB với R_IIP Dependent Variable: R_HSB Method: Least Squares Date: 05/18/15 Time: 08:41 Sample: 1 60 Included observations: 60 Variable Coefficient Std. Error t-Statistic Prob. R_TP -0.259048 0.173756 -1.490877 0.1414 C 0.005773 0.011124 0.518943 0.6058 R-squared 0.036908 Mean dependent var 0.008710 Adjusted R-squared 0.020303 S.D. dependent var 0.085680 S.E. of regression 0.084806 Akaike info criterion -2.064144 Sum squared resid 0.417136 Schwarz criterion -1.994333 Log likelihood 63.92433 Hannan-Quinn criter. -2.036837 F-statistic 2.222715 Durbin-Watson stat 1.672730 Prob(F-statistic) 0.141413 Phụ lục 3.6. Hồi quy R_HSB với R_TP Trư ờng Đại học Kin h tế Hu ế 64 Dependent Variable: R_HSB Method: Least Squares Date: 05/18/15 Time: 08:42 Sample: 1 60 Included observations: 60 Variable Coefficient Std. Error t-Statistic Prob. R_VNI 1.049090 0.126742 8.277379 0.0000 C 0.005932 0.007561 0.784494 0.0059 R-squared 0.541556 Mean dependent var 0.008710 Adjusted R-squared 0.533652 S.D. dependent var 0.085680 S.E. of regression 0.058511 Akaike info criterion -2.806456 Sum squared resid 0.198562 Schwarz criterion -2.736644 Log likelihood 86.19367 Hannan-Quinn criter. -2.779148 F-statistic 68.51501 Durbin-Watson stat 1.267312 Prob(F-statistic) 0.000000 Phụ lục 3.7. Hồi quy R_HSB với R_VNI Dependent Variable: R_HSB1 Method: Least Squares Date: 05/18/15 Time: 14:16 Sample: 1 59 Included observations: 59 Variable Coefficient Std. Error t-Statistic Prob. R_VNI1 1.022674 0.111857 9.142728 0.0000 C 0.005221 0.007151 0.730013 0.4684 R-squared 0.594564 Mean dependent var 0.007729 Adjusted R-squared 0.587451 S.D. dependent var 0.085460 S.E. of regression 0.054891 Akaike info criterion -2.933623 Sum squared resid 0.171742 Schwarz criterion -2.863198 Log likelihood 88.54188 Hannan-Quinn criter. -2.906132 F-statistic 83.58948 Durbin-Watson stat 1.939450 Prob(F-statistic) 0.000000 Phụ lục 3.8. Hồi quy đơn biến của sai phân R_HSB và sai phân R_VNI Trư ờng Đạ i họ c K inh tế H uế 65 Phụ lục 3.9. Hồi quy đa biến Dependent Variable: R_HSB Method: Least Squares Date: 05/18/15 Time: 08:43 Sample: 1 60 Included observations: 60 Variable Coefficient Std. Error t-Statistic Prob. R_CPI 1.749314 1.237541 1.413540 0.1635 R_EX 0.385162 1.082671 0.355752 0.7235 R_GOLD -0.162769 0.251280 -0.647759 0.5200 R_M2 -0.048414 0.454212 -0.106588 0.9155 R_IIP -0.072762 0.082758 -0.879222 0.3833 R_TP -0.088978 0.142759 -0.623274 0.5358 R_VNI 1.019331 0.134875 7.557596 0.0000 C -0.005836 0.015092 -0.386719 0.7005 R-squared 0.580768 Mean dependent var 0.008710 Adjusted R-squared 0.524333 S.D. dependent var 0.085680 S.E. of regression 0.059092 Akaike info criterion -2.695868 Sum squared resid 0.181578 Schwarz criterion -2.416622 Log likelihood 88.87605 Hannan-Quinn criter. -2.586640 F-statistic 10.29090 Durbin-Watson stat 1.192794 Prob(F-statistic) 0.000000 Trư ờng Đạ i họ c K h tế Hu ế 66 Dependent Variable: R_HSB1 Method: Least Squares Date: 05/19/15 Time: 07:02 Sample: 1 59 Included observations: 59 Weighting series: WT2 Variable Coefficient Std. Error t-Statistic Prob. R_VNI1 0.876426 0.093337 9.389947 0.0000 C 0.004378 0.006921 0.632609 0.5295 Weighted Statistics R-squared 0.607360 Mean dependent var -0.009527 Adjusted R-squared 0.600471 S.D. dependent var 0.081565 S.E. of regression 0.048716 Akaike info criterion -3.172292 Sum squared resid 0.135277 Schwarz criterion -3.101867 Log likelihood 95.58260 Hannan-Quinn criter. -3.144801 F-statistic 88.17110 Durbin-Watson stat 1.972083 Prob(F-statistic) 0.000000 Unweighted Statistics R-squared 0.582204 Mean dependent var 0.007729 Adjusted R-squared 0.574874 S.D. dependent var 0.085460 S.E. of regression 0.055721 Sum squared resid 0.176978 Durbin-Watson stat 1.916639 Phụ lục 3.10. Hồi quy đơn biến của sai phân R_HSB và sai phân R_VNI có trọng số Trư ờng Đạ i họ c K inh tế H uế 67 Phụ lục 4: Kiểm định khuyết tât của mô hình Breusch-Godfrey Serial Correlation LM Test: F-statistic 4.151032 Prob. F(2,56) 0.0208 Obs*R-squared 7.746622 Prob. Chi-Square(2) 0.0208 Test Equation: Dependent Variable: RESID Method: Least Squares Date: 05/18/15 Time: 14:14 Sample: 1 60 Included observations: 60 Presample missing value lagged residuals set to zero. Variable Coefficient Std. Error t-Statistic Prob. R_VNI -0.095618 0.124951 -0.765244 0.4473 C 0.000833 0.007191 0.115860 0.9082 RESID(-1) 0.379657 0.139304 2.725384 0.0086 RESID(-2) 0.003361 0.135962 0.024720 0.9804 R-squared 0.129110 Mean dependent var -2.78E-18 Adjusted R-squared 0.082456 S.D. dependent var 0.058013 S.E. of regression 0.055569 Akaike info criterion -2.878029 Sum squared resid 0.172925 Schwarz criterion -2.738406 Log likelihood 90.34087 Hannan-Quinn criter. -2.823415 F-statistic 2.767354 Durbin-Watson stat 2.002067 Prob(F-statistic) 0.050123 Phu lục 4.1. Kiểm định BG về hiện tƣợng tự tƣơng quan Trư ờng Đạ i họ c K inh tế H uế 68 Heteroskedasticity Test: White F-statistic 6.908665 Prob. F(1,58) 0.0110 Obs*R-squared 6.386203 Prob. Chi-Square(1) 0.0115 Scaled explained SS 21.97811 Prob. Chi-Square(1) 0.0000 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 05/18/15 Time: 14:15 Sample: 1 60 Included observations: 60 Variable Coefficient Std. Error t-Statistic Prob. C 0.000938 0.001434 0.653792 0.5158 R_VNI^2 0.666380 0.253527 2.628434 0.0110 R-squared 0.106437 Mean dependent var 0.003309 Adjusted R-squared 0.091030 S.D. dependent var 0.009057 S.E. of regression 0.008635 Akaike info criterion -6.633136 Sum squared resid 0.004325 Schwarz criterion -6.563324 Log likelihood 200.9941 Hannan-Quinn criter. -6.605829 F-statistic 6.908665 Durbin-Watson stat 1.642391 Prob(F-statistic) 0.010960 Phu lục 4.2. Kiểm định White về hiện tƣợng phƣơng sai sai số thay đổi Trư ờng Đạ i họ c K inh tế H uế 69 Heteroskedasticity Test: ARCH F-statistic 3.487589 Prob. F(1,57) 0.0670 Obs*R-squared 3.401818 Prob. Chi-Square(1) 0.0651 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 05/18/15 Time: 14:15 Sample (adjusted): 2 60 Included observations: 59 after adjustments Variable Coefficient Std. Error t-Statistic Prob. C 0.002544 0.001237 2.057323 0.0442 RESID^2(-1) 0.240713 0.128895 1.867509 0.0670 R-squared 0.057658 Mean dependent var 0.003321 Adjusted R-squared 0.041126 S.D. dependent var 0.009135 S.E. of regression 0.008945 Akaike info criterion -6.562142 Sum squared resid 0.004561 Schwarz criterion -6.491717 Log likelihood 195.5832 Hannan-Quinn criter. -6.534651 F-statistic 3.487589 Durbin-Watson stat 1.966624 Prob(F-statistic) 0.066975 Phu lục 4.3. Kiểm định tính ARCH Trư ờng Đạ i họ c K inh tế H uế 70 Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.340094 Prob. F(2,55) 0.7132 Obs*R-squared 0.720743 Prob. Chi-Square(2) 0.6974 Test Equation: Dependent Variable: RESID Method: Least Squares Date: 05/19/15 Time: 07:32 Sample: 1 59 Included observations: 59 Presample missing value lagged residuals set to zero. Weight series: WT2 Variable Coefficient Std. Error t-Statistic Prob. R_VNI1 0.000428 0.095907 0.004457 0.9965 C -0.000128 0.007004 -0.018257 0.9855 RESID(-1) -0.094685 0.118806 -0.796974 0.4289 RESID(-2) 0.015856 0.117780 0.134628 0.8934 Weighted Statistics R-squared 0.012216 Mean dependent var 6.59E-18 Adjusted R-squared -0.041663 S.D. dependent var 0.048295 S.E. of regression 0.049290 Akaike info criterion -3.116786 Sum squared resid 0.133625 Schwarz criterion -2.975936 Log likelihood 95.94520 Hannan-Quinn criter. -3.061804 F-statistic 0.226729 Durbin-Watson stat 1.796696 Prob(F-statistic) 0.877404 Unweighted Statistics R-squared -0.014595 Mean dependent var 0.001201 Adjusted R-squared -0.069937 S.D. dependent var 0.055226 S.E. of regression 0.057124 Sum squared resid 0.179475 Durbin-Watson stat 1.337698 Phu lục 4.4. Kiểm định BG về hiện tƣợng tự tƣơng quan sau khi điều chỉnh Trư ờng Đạ i họ c K inh tế H uế 71 Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.340094 Prob. F(2,55) 0.7132 Obs*R-squared 0.720743 Prob. Chi-Square(2) 0.6974 Test Equation: Dependent Variable: RESID Method: Least Squares Date: 05/19/15 Time: 07:32 Sample: 1 59 Included observations: 59 Presample missing value lagged residuals set to zero. Weight series: WT2 Variable Coefficient Std. Error t-Statistic Prob. R_VNI1 0.000428 0.095907 0.004457 0.9965 C -0.000128 0.007004 -0.018257 0.9855 RESID(-1) -0.094685 0.118806 -0.796974 0.4289 RESID(-2) 0.015856 0.117780 0.134628 0.8934 Weighted Statistics R-squared 0.012216 Mean dependent var 6.59E-18 Adjusted R-squared -0.041663 S.D. dependent var 0.048295 S.E. of regression 0.049290 Akaike info criterion -3.116786 Sum squared resid 0.133625 Schwarz criterion -2.975936 Log likelihood 95.94520 Hannan-Quinn criter. -3.061804 F-statistic 0.226729 Durbin-Watson stat 1.796696 Prob(F-statistic) 0.877404 Unweighted Statistics R-squared -0.014595 Mean dependent var 0.001201 Adjusted R-squared -0.069937 S.D. dependent var 0.055226 S.E. of regression 0.057124 Sum squared resid 0.179475 Durbin-Watson stat 1.337698 Phu lục 4.5. Kiểm định White về hiện tƣợng phƣơng sai sai số thay đổi sau khi điều chỉnh Trư ờng Đạ i họ c K inh tế H uế