B GIÁO D O I H C KINH T TP H CHÍ MINH LÊ TH H NG H NH M I LIÊN H GI A T GIÁ H M TS TH C PHI U NG M I N I C A CHÂU Á LU TP H CHÍ MINH - B GIÁO D O I H C KINH T TP H CHÍ MINH LÊ TH H NG H NH M I LIÊN H GI A T GIÁ H M TS TH C PHI U NG M I N I C A CHÂU Á Chuyên ngành: Tài - Ngân hàng Mã s : 60340201 LU ng d n khoa h c: PGS.TS TR N TH THÙY LINH TP H CHÍ MINH - L tài nghiên c u s th i liên h gi a t giá h ng m i n m t tài nghiên c u tác gi th c hi tài th c hi n thông qua vi c v n d ng ki n th s t phi u c, nhi u tài li u tham kh o ng d n c a cô PGS TS TR N TH THÙY LINH Lu b t k m t nghiên c u khác ng l th t TP H Chí Minh, Ngày tháng Tác gi Lê Th H ng H nh M CL C TRANG PH BÌA L M CL C DANH M C CH VI T T T DANH M C B NG BI U DANH M C HÌNH V , BI TĨM T T I THI U 1.1 Tính c p thi t c i tài ng ph m vi nghiên c u 1.3 M c tiêu nghiên c u câu h i nghiên c u .4 u 1.5 K t c tài T VÀ CÁC NGHIÊN C 2.1 Khung lý thuy t 2.1.1 M i liên h gi a t giá h phi u 2.1.2 Lãi su t giá c phi u 2.2 Các nghiên c 2.3 Tóm t t k t qu nghiên c u th c nghi m .14 LI U 18 3.1 D li u nghiên c u 18 3.2 Mô t bi n .19 3.3 Mơ hình nghiên c xu t 24 nh mô hình 24 3.4.1 Th ng kê mô t (Descriptive Statistic) .26 3.4.2 Ki nh nghi 3.4.3 Ki (Unit root tests) 26 ng liên k t (Cointegration Test) 28 u ch nh sai s (VECM) .29 3.4.5 Mơ hình t h i quy phân ph i tr (ARDL) 30 3.4.6 Ki nh m i quan h nhân qu Granger ( Granger Causility Tests) 31 3.4.7 Hàm ph n y ( Impulse Reponse Function) 32 T QU NGHIÊN C U 33 4.1 Phân tích th ng kê mô t d li u Vi t Nam 33 an t ng th 2005 2014 33 4.1.2 Th ng kê mô t d li u 35 4.2 K t qu h i quy d li u Vi t Nam 36 4.2.1 K t qu h i quy d li n 2005 2014 36 4.2.1.1 Ki m tra tính d ng c a chu i d li u 36 4.2.1.2 Ki ng liên k tr t a ch i v i toàn b m u d li u 39 ng m i quan h dài h n ng n h n gi a nhân t iv i ch s giá ch ng khoán 40 4.2.1.4 Ki nh ph a mơ hình 44 4.2.1.5 Ki nh tính v ng ch c c a mơ hình 45 4.2.2 K t qu h i quy d li c kh ng ho ng (t n tháng 12/2007) 46 4.2.2.1 Ki m tra tính d ng c a chu i d li u 46 4.2.2.2 Ti n hành l a ch tr t a mơ hình 47 4.2.2.3 Ki nh m i quan h dài h n gi a bi n 48 ng m i quan h ng n h n gi a ch s ch ng khoán bi n kinh t 49 4.2.2.5 Ki nh ph 4.2.3 K t qu h c a mơ hình 49 n kh ng ho ng (t n tháng 5/2014) .50 4.2.3.1 Ki m tra tính d ng c a chu i d li u 50 4.2.3.2 Ti n hành l a ch 4.2.3.3 Ki tr t a mô hình 50 nh m i quan h dài h n gi a bi n 50 ng m i quan h ng n h n dài h n gi a ch s ch ng khoán bi n kinh t 4.2.3.5 Ki 51 nh ph a mơ hình 53 4.3 K t qu ki nh m t s c m i n i ASEAN 54 4.4 K t qu ki nh nhân qu Granger 58 4.5 Phân tích hàm ph n y 60 4.6 Th o lu n k t qu nghiên c u 61 T LU N VÀ NG Ý CHÍNH SÁCH 64 5.1 K t lu n 64 5.2 Ng ý sách 64 5.3 H n ch c ng nghiên c u ti p theo 66 DANH M C TÀI LI U THAM KH O PH L C ADF : Augmented Dickey Fuller p Dickey Fuller b sung ARDL : Autoregressive Distributed Lag Estimates Phân ph i tr t h i quy CPI : Consumer Price Index DN : Doanh nghi p ECM : Error correction model Ch s giá tiêu dùng Mơ hình hi u ch nh sai s HNX Index : Ch s ch ng khoán sàn HNX IFS : International Financial Statistics IMF : International Monetary M2 : Quasy Money cung ti n m r ng MSCI : Morgan Stanley Capital International th Th ng kê tài qu c t Qu ti n t qu c t Ch s ch ng khoán cho ng qu c gia qu c t TTCK : Th ng ch ng khoán UBCK : y ban ch ng khoán VAR : Vector Autoregession VECM : Vector error correction model: Mơ hình vector hi u ch nh sai s VND : Vi ng T h i quy vector B ng 2.1: Tóm t t k t qu nghiên c u th c nghi m B ng 3.1: B ng tóm t t d li u nghiên c u B ng 4.1: B ng k t qu th ng kê mô t cho d li u Vi t Nam t tháng 8/2005 n tháng 5/2014 B ng 4.2: Ki m tra tính d ng cho chu i d li u t Vi n tháng 5/2014 theo mơ hình A v B ng 4.3: Ki m tra tính d ng cho chu i d li u t m gãy Vi n tháng 5/2014 theo mơ hình C v B ng 4.4: K t qu ki B ng 4.5: L a ch n n m gãy ng liên k t Vi t Nam tr t a Vi t Nam giai n 2005 - 2014 B ng 4.6: M i quan h gi a bi n dài h n t i Vi nt 2005 - 2014 B ng 4.7: K t qu h ng m i quan h gi a giá ch ng khoán nhân t ng n h n B ng 4.8: Ki Vi nh tính d ng c a ph n 2005 a mơ hình 2014 Vi t Nam t 2005 2017 B ng 4.9: Ki kh ng ho ng i v i h s dài h Vi t Nam B ng 4.10: K t qu h i quy ARDL Vi t Nam giai B ng 4.11: Ki m tra tính d ng cho chu i d li u t c n tháng 2014 c kh ng ho ng Vi n B ng 4.12: Ki i v i h s dài h n 2008 2014 c a chu i d li u Vi t Nam B ng 4.13: K t qu h B ng 4.14: K t qu n 2008 - 2014 c a d li u Vi t Nam ng dài h B ng 4.15: B ng tóm t t k t qu n 2008 2014 c a Vi t Nam ng ng n h n dài h n t i Vi t Nam, Thái Lan, Indonesia, Hàn Qu c B ng 4.16: Tóm t t k t qu ki khác nh nhân qu c c m n Hình 3: Hình 4.1: Quan h t giá h Hình 4.2: Ki nh tính Index nh c a mơ hình C(13) - C(18) C(14) - C(18) C(15) - C(18) C(16) - C(18) C(17) - C(18) 0.172309 0.407241 4.204369 -0.395954 -0.461984 Restrictions are linear in coefficients Ph l c 4.9: K t qu ki nh ph 0.309574 0.539773 0.972737 0.127499 0.338277 c kh ng ho ng ADF test -5.895599*** u Ph l c 4.10: K t qu ki PP test -7.587813*** nh LM test c kh ng ho ng Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared Ph l c 4.11 K t qu 2.379925 Prob F(6,2) 22.80581 Prob Chi-Square(6) 0.3251 0.0009 n kh ng ho ng Dài h n Autoregressive Distributed Lag Estimates ARDL(3,2,2,3,3,0) selected based on Akaike Information Criterion ******************************************************************************* Dependent variable is LSP 74 observations used for estimation from 2008M4 to 2014M5 ******************************************************************************* Regressor Coefficient Standard Error T-Ratio[Prob] LSP(-1) 50457 11765 4.2886[.000] LSP(-2) 024490 13904 17614[.861] LSP(-3) 33759 11494 2.9372[.005] LEX 36588 18185 2.0120[.049] LEX(-1) 24460 25302 96672[.338] LEX(-2) -.54915 17791 -3.0866[.003] INT 054576 024637 2.2152[.031] INT(-1) -.084275 031429 -2.6814[.010] INT(-2) 028124 022454 1.2525[.216] LFR 050687 25684 19735[.844] LFR(-1) 11237 32910 34143[.734] LFR(-2) -.66830 33096 -2.0193[.048] LFR(-3) 49013 21233 2.3084[.025] LAS 76260 072406 10.5323[.000] LAS(-1) -.21559 12562 -1.7161[.092] LAS(-2) -.062165 13246 -.46931[.641] LAS(-3) -.32703 10899 -3.0005[.004] LOIL -.3182E-3 043681 -.0072857[.994] ******************************************************************************* R-Squared 98420 R-Bar-Squared 97940 S.E of Regression 024931 F-stat F( 17, 56) 205.1719[.000] Mean of Dependent Variable 7.4760 S.D of Dependent Variable 17371 Residual Sum of Squares 034807 Equation Log-likelihood 178.4922 Akaike Info Criterion 160.4922 Schwarz Bayesian Criterion 139.7556 DW-statistic 2.2700 ******************************************************************************* Diagnostic Tests ******************************************************************************* * Test Statistics * LM Version * F Version * ******************************************************************************* * A:Serial Correlation *CHSQ( 12)= 14.7516[.255] *F( 12, 44)= 91292[.542] * * B:Functional Form *CHSQ( 1)= 5.6736[.017] *F( 1, 55)= 4.5670[.037] * * C:Normality *CHSQ( 2)= 43091[.806] * Not applicable * * D:Heteroscedasticity*CHSQ( 1)= 5.4006[.020] *F( 1, 72)= 5.6683[.020] * ******************************************************************************* A:Lagrange multiplier test of residual serial correlation B:Ramsey's RESET test using the square of the fitted values C:Based on a test of skewness and kurtosis of residuals D:Based on the regression of squared residuals on squared fitted values Ng n h n Error Correction Representation for the Selected ARDL Model ARDL(3,2,2,3,3,0) selected based on Akaike Information Criterion ******************************************************************************* Dependent variable is dLSP 74 observations used for estimation from 2008M4 to 2014M5 ******************************************************************************* Regressor Coefficient Standard Error T-Ratio[Prob] dLSP1 -.36208 12028 -3.0103[.004] dLSP2 -.33759 11494 -2.9372[.005] dLEX 36588 18185 2.0120[.049] dLEX1 54915 17791 3.0866[.003] dINT 054576 024637 2.2152[.031] dINT1 -.028124 022454 -1.2525[.215] dLFR 050687 25684 19735[.844] dLFR1 17817 24794 71861[.475] dLFR2 -.49013 21233 -2.3084[.024] dLAS 76260 072406 10.5323[.000] dLAS1 38920 12237 3.1804[.002] dLAS2 32703 10899 3.0005[.004] dLOIL -.3182E-3 043681 -.0072857[.994] ecm(-1) -.13335 077974 -1.7102[.092] ******************************************************************************* List of additional temporary variables created: dLSP = LSP-LSP(-1) dLSP1 = LSP(-1)-LSP(-2) dLSP2 = LSP(-2)-LSP(-3) dLEX = LEX-LEX(-1) dLEX1 = LEX(-1)-LEX(-2) dINT = INT-INT(-1) dINT1 = INT(-1)-INT(-2) dLFR = LFR-LFR(-1) dLFR1= LFR(-1)-LFR(-2) dLFR = LFR(-2)-LFR(-3) dLAS = LAS-LAS(-1) dLAS = LAS(-1)-LAS(-2) dLAS2 = LAS(-2)-LAS(-3) dLOIL = LOIL-LOIL(-1) ecm = LSP -.45991*LEX + 011805*INT + 11339*LFR -1.1835*LAS +.0023866*LOIL ******************************************************************************* R-Squared 86428 R-Bar-Squared 82308 S.E of Regression 024931 F-stat F( 13, 60) 27.4323[.000] Mean of Dependent Variable 0021304 S.D of Dependent Variable 059273 Residual Sum of Squares 034807 Equation Log-likelihood 178.4922 Akaike Info Criterion 160.4922 Schwarz Bayesian Criterion 139.7556 DW-statistic 2.2700 ******************************************************************************* R-Squared and R-Bar-Squared measures refer to the dependent variable dLSP and in cases where the error correction model is highly restricted, these measures could become negative Ph l c 4.12: K t qu ki n kh ng ho ng Wald Test: Equation: EQ01 Test Statistic F-statistic Chi-square Value df Probability 1.594055 7.970273 (5, 54) 0.1775 0.1579 Null Hypothesis: C(15)=C(16)=C(17)=C(18)=C(19)=C(20) Null Hypothesis Summary: Normalized Restriction (= 0) Value -0.405211 0.453678 0.211445 0.039777 0.414920 C(15) - C(20) C(16) - C(20) C(17) - C(20) C(18) - C(20) C(19) - C(20) Std Err 0.169438 0.217484 0.136583 0.055807 0.162152 Restrictions are linear in coefficients Ph l c 4.13: K t qu ki nh ph n kh ng ho ng ADF test u Ph l c 4.14: K t qu ki PP test -9.098811*** -9.126925*** nh LM Test c n kh ng ho ng Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.902940 Prob F(6,48) 0.5007 Obs*R-squared 7.505115 Prob Chi-Square(6) 0.2766 : 5.1 Vi t Nam 5.1.1 T ng th Pairwise Granger Causality Tests Date: 10/11/14 Time: 00:43 Sample: 2005M08 2014M05 Lags: Null Hypothesis: Obs F-Statistic Prob DLOIL does not Granger Cause DLSP DLSP does not Granger Cause DLOIL 103 3.52409 0.26983 0.0333 0.7641 DLFR does not Granger Cause DLSP DLSP does not Granger Cause DLFR 103 0.29396 1.18342 0.7460 0.3106 DLEX does not Granger Cause DLSP DLSP does not Granger Cause DLEX 103 0.34469 0.82973 0.7093 0.4392 DLAS does not Granger Cause DLSP DLSP does not Granger Cause DLAS 103 1.95103 1.50819 0.1476 0.2264 DINT does not Granger Cause DLSP DLSP does not Granger Cause DINT 103 0.17318 0.89164 0.8412 0.4133 Null Hypothesis: Obs F-Statistic Prob DLOIL does not Granger Cause DLSP DLSP does not Granger Cause DLOIL 26 0.68212 0.07885 0.5164 0.9245 DLFR does not Granger Cause DLSP DLSP does not Granger Cause DLFR 26 1.27601 0.86255 0.2999 0.4365 DLEX does not Granger Cause DLSP DLSP does not Granger Cause DLEX 26 0.32407 1.81182 0.7268 0.1880 DLAS does not Granger Cause DLSP DLSP does not Granger Cause DLAS 26 0.93360 1.15660 0.4089 0.3338 DINT does not Granger Cause DLSP DLSP does not Granger Cause DINT 26 0.07749 2.08963 0.9257 0.1487 5.1.2 c kh ng ho ng Pairwise Granger Causality Tests Date: 10/11/14 Time: 00:37 Sample: 2005M08 2007M12 Lags: 5.1.3 n kh ng ho ng Pairwise Granger Causality Tests Date: 10/11/14 Time: 00:16 Sample: 2008M01 2014M05 IF RESIDNA Lags: Null Hypothesis: Obs F-Statistic Prob DLEX does not Granger Cause DLSP DLSP does not Granger Cause DLEX 72 0.00297 1.35725 0.9567 0.2480 DINT does not Granger Cause DLSP DLSP does not Granger Cause DINT 72 1.82465 2.47635 0.1812 0.1201 DLFR does not Granger Cause DLSP DLSP does not Granger Cause DLFR 72 1.42205 0.19474 0.2372 0.6604 DLAS does not Granger Cause DLSP DLSP does not Granger Cause DLAS 72 6.32678 0.33341 0.0142 0.5655 DLOIL does not Granger Cause DLSP DLSP does not Granger Cause DLOIL 72 1.08939 0.05831 0.3002 0.8099 Null Hypothesis: Obs F-Statistic Prob DLOIL does not Granger Cause DLSP DLSP does not Granger Cause DLOIL 103 0.51679 0.61235 0.5980 0.5441 DLFR does not Granger Cause DLSP DLSP does not Granger Cause DLFR 103 0.54031 1.35633 0.5843 0.2624 DLEX does not Granger Cause DLSP DLSP does not Granger Cause DLEX 103 0.30212 8.00637 0.7399 0.0006 DLAS does not Granger Cause DLSP DLSP does not Granger Cause DLAS 103 3.26577 0.28957 0.0424 0.7492 DINT does not Granger Cause DLSP DLSP does not Granger Cause DINT 103 3.65156 5.77115 0.0295 0.0043 5.2 Thái Lan 5.2.1 T ng th Pairwise Granger Causality Tests Date: 10/11/14 Time: 00:45 Sample: 2005M08 2014M05 Lags: 5.2.2 c kh ng ho ng Pairwise Granger Causality Tests Date: 10/11/14 Time: 00:50 Sample: 2005M08 2007M12 Lags: Null Hypothesis: Obs F-Statistic Prob DLOIL does not Granger Cause DLSP DLSP does not Granger Cause DLOIL 26 1.61748 0.15897 0.2222 0.8540 DLFR does not Granger Cause DLSP DLSP does not Granger Cause DLFR 26 1.33606 0.82318 0.2843 0.4527 DLEX does not Granger Cause DLSP DLSP does not Granger Cause DLEX 26 4.12236 1.07797 0.0309 0.3584 DLAS does not Granger Cause DLSP DLSP does not Granger Cause DLAS 26 0.15512 0.51582 0.8573 0.6044 DINT does not Granger Cause DLSP DLSP does not Granger Cause DINT 26 3.96253 0.03808 0.0347 0.9627 Null Hypothesis: Obs F-Statistic Prob DLOIL does not Granger Cause DLSP DLSP does not Granger Cause DLOIL 74 0.65847 1.00633 0.5209 0.3709 DLFR does not Granger Cause DLSP DLSP does not Granger Cause DLFR 74 1.77382 1.04210 0.1773 0.3582 DLEX does not Granger Cause DLSP DLSP does not Granger Cause DLEX 74 0.90442 6.99891 0.4095 0.0017 DLAS does not Granger Cause DLSP DLSP does not Granger Cause DLAS 74 3.98533 0.52066 0.0230 0.5964 DINT does not Granger Cause DLSP DLSP does not Granger Cause DINT 74 2.32134 7.10211 0.1058 0.0016 5.2.3 n kh ng ho ng Pairwise Granger Causality Tests Date: 10/11/14 Time: 00:49 Sample: 2008M01 2014M05 Lags: 5.3 Hàn Qu c 5.3.1 T ng th Pairwise Granger Causality Tests Date: 10/11/14 Time: 00:54 Sample: 2005M08 2014M05 Lags: Null Hypothesis: Obs F-Statistic Prob DLOIL does not Granger Cause DLSP DLSP does not Granger Cause DLOIL 103 0.04836 1.91986 0.9528 0.1521 DLFR does not Granger Cause DLSP DLSP does not Granger Cause DLFR 103 0.30630 3.91065 0.7369 0.0232 DLEX does not Granger Cause DLSP DLSP does not Granger Cause DLEX 103 0.02240 2.48693 0.9779 0.0884 DLAS does not Granger Cause DLSP DLSP does not Granger Cause DLAS 103 2.54883 0.65171 0.0833 0.5234 DINT does not Granger Cause DLSP DLSP does not Granger Cause DINT 103 0.69313 3.54884 0.5024 0.0325 5.3.2 c kh ng ho ng Pairwise Granger Causality Tests Date: 10/11/14 Time: 00:53 Sample: 2005M08 2007M12 Lags: Null Hypothesis: Obs F-Statistic Prob DLOIL does not Granger Cause DLSP DLSP does not Granger Cause DLOIL 26 5.23106 0.39764 0.0143 0.6769 DLFR does not Granger Cause DLSP DLSP does not Granger Cause DLFR 26 7.02964 0.40652 0.0046 0.6711 DLEX does not Granger Cause DLSP DLSP does not Granger Cause DLEX 26 7.44926 0.56380 0.0036 0.5774 DLAS does not Granger Cause DLSP DLSP does not Granger Cause DLAS 26 8.92146 6.05132 0.0016 0.0084 DINT does not Granger Cause DLSP DLSP does not Granger Cause DINT 26 0.03267 0.11915 0.9679 0.8883 5.3.3 n kh ng ho ng Pairwise Granger Causality Tests Date: 10/11/14 Time: 00:55 Sample: 2008M01 2014M05 Lags: Null Hypothesis: Obs F-Statistic Prob DLOIL does not Granger Cause DLSP DLSP does not Granger Cause DLOIL 74 1.49769 2.00883 0.2308 0.1419 DLFR does not Granger Cause DLSP DLSP does not Granger Cause DLFR 74 1.55452 3.84866 0.2186 0.0260 DLEX does not Granger Cause DLSP DLSP does not Granger Cause DLEX 74 0.61451 2.63833 0.5438 0.0787 DLAS does not Granger Cause DLSP DLSP does not Granger Cause DLAS 74 5.19261 0.55591 0.0079 0.5761 DINT does not Granger Cause DLSP DLSP does not Granger Cause DINT 74 0.70136 4.08914 0.4994 0.0210 Null Hypothesis: Obs F-Statistic Prob DLOIL does not Granger Cause DLSP DLSP does not Granger Cause DLOIL 103 0.27110 1.33007 0.7631 0.2692 DLFR does not Granger Cause DLSP DLSP does not Granger Cause DLFR 103 0.16285 2.96474 0.8499 0.0562 DLEX does not Granger Cause DLSP DLSP does not Granger Cause DLEX 103 1.66407 26.0104 0.1947 9.E-10 DLAS does not Granger Cause DLSP DLSP does not Granger Cause DLAS 103 1.93461 0.58672 0.1500 0.5581 DINT does not Granger Cause DLSP DLSP does not Granger Cause DINT 103 0.75493 2.96314 0.4728 0.0563 5.4 Indonesia 5.4.1 T ng th Pairwise Granger Causality Tests Date: 10/11/14 Time: 00:59 Sample: 2005M08 2014M05 Lags: 5.4.2 c kh ng ho ng Pairwise Granger Causality Tests Date: 10/11/14 Time: 00:58 Sample: 2005M08 2007M12 Lags: Null Hypothesis: Obs F-Statistic Prob DLOIL does not Granger Cause DLSP DLSP does not Granger Cause DLOIL 26 1.62897 2.55923 0.2200 0.1012 DLFR does not Granger Cause DLSP DLSP does not Granger Cause DLFR 26 1.68446 0.36944 0.2097 0.6955 DLAS does not Granger Cause DLSP DLSP does not Granger Cause DLAS 26 0.23154 1.14542 0.7953 0.3372 DLEX does not Granger Cause DLSP DLSP does not Granger Cause DLEX 26 0.49453 2.73278 0.6168 0.0881 DINT does not Granger Cause DLSP DLSP does not Granger Cause DINT 26 0.15473 2.90264 0.8576 0.0771 Null Hypothesis: Obs F-Statistic Prob DLOIL does not Granger Cause DLSP DLSP does not Granger Cause DLOIL 74 0.80658 1.72507 0.4505 0.1858 DLFR does not Granger Cause DLSP DLSP does not Granger Cause DLFR 74 1.03390 2.42624 0.3611 0.0959 DLEX does not Granger Cause DLSP DLSP does not Granger Cause DLEX 74 1.23614 30.8132 0.2969 3.E-10 DLAS does not Granger Cause DLSP DLSP does not Granger Cause DLAS 74 0.74112 0.35361 0.4803 0.7034 DINT does not Granger Cause DLSP DLSP does not Granger Cause DINT 74 3.23125 1.04237 0.0456 0.3581 5.4.3 n kh ng ho ng Pairwise Granger Causality Tests Date: 10/11/14 Time: 00:56 Sample: 2008M01 2014M05 Lags: : Hàm p : : Indonesia: : Thái Lan: : B ng 4.4: K t qu ki ng liên k t Vi t Nam Series: LSP LEX INT LFR LAS LOIL Lags interval (in first differences): to Unrestricted Cointegration Rank Test (Trace) Hypothesized Trace 0.05 No of CE(s) Eigenvalue Statistic Critical Value Prob.** None * 0.349457 111.6339 95.75366 0.0026 At most 0.267988 66.91929 69.81889 0.0833 At most 0.134828 34.47561 47.85613 0.4760 At most 0.115760 19.41355 29.79707 0.4635 At most 0.052611 6.618791 15.49471 0.6223 At most 0.009551 0.998063 3.841466 0.3178 Trace test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Ghi chú: Gi thi t Ho có t d li u M i quan h ng kê s d ng ki B ng 4.10: K t qu h i quy ARDL Vi ng liên k t gi a chu i nh c a Johansen 5% c kh ng ho ng DLSP Coefficient p-value C 2.912895 0.9801 DLEX 4.418922 0.7755 DINT -0.029404 0.3913 DLFR 1.406963 0.1783 DLFR(-1) 1.757288 0.1605 DLAS 1.744044 0.1029 DLOIL -0.49429 0.3156 DLOIL(-1) -1.061948 0.0574* LSP(-1) -0.081736 0.6895 LEX(-1) 1.26687 0.915 INT(-1) -0.05936 0.2336 LFR(-1) -1.131484 0.1029 LAS(-1) 1.756438 0.0599* LOIL(-1) 0.322906 0.5302 Ngu n: K t qu t ng h p t ph n m m th ng kê B ng 4.11: Ki m tra tính d ng cho chu i d li u n tháng 2014 Vi Augumented Dickey Phillips Fuller (ADF) test nt Perron (PP) test -3.895000** -3.978465** 2.888575 2.888575 DLEX -6.498281*** -6.493373*** LFR -1.324313 -0.780765 DLFR -5.862648*** -5.845369*** INT -1.167591 -1.184231 DINT -8.590014*** -8.595351*** LAS -2.266741 -2.653049 DLAS -7.005601*** -7.130601*** LOIL -1.725534 -2.41383 DLOIL khoán châu Á LSP LEX khoán VN-Index -5.953284*** -5.962397*** Ghi chú: L kí hi u sau l y logarithm cho chu i d li u D kí hi u cho sai phân b c c a chu i d li ng, vi t t t I(1) - Gi thuy t Ho: Chu i d li u có nghi v (t c khơng có tính d ng) m gãy c u trúc Ký hi u ***, **, * cho bi t m % ho c 10% Các giá tr t Augumented Dickey c ti n hành theo ki Fuller (ADF) test Phillips B ng 4.13: K t qu h i quy ARDL n 2008 - 2014 c a d li u Vi t Nam Coefficient p-value C 2.409208 0.3119 D(LSP(-1)) 0.244723 0.0268 D(LSP(-2)) 0.094537 0.3999 D(LSP(-4)) 0.08889 0.3441 DLEX -1.492093 0.0442 DINT -0.002274 1.00115 DLFR 0.294462 0.0752 DLFR(-1) -0.098742 0.5483 DLFR(-2) -0.189294 0.2606 0.421674 0.0164 DLAS(-1) -0.041786 0.8037 DLAS(-2) -0.526983 0.0023 0.113414 0.415 DLOIL(-1) -0.057101 0.6049 DLOIL(-2) 0.375111 0.0027 LSP(-1) -0.358341 0.0001 LEX(-1) -0.540601 0.0019 INT(-1) 0.000682 0.8698 LFR(-1) 0.104149 0.0602 DLOIL nh c a Perron (PP) test DLSP DLAS t 1%, LAS(-1) 0.559719 0.0006 LOIL(-1) -0.180329 0.1051 ECM(-1) -0.358849 0.0001 Ngu n: K t qu t ng h p t ph n m m th ng kê B ng 4.14: K t qu ng dài h n 2008 2014 c a Vi t Nam LSP Coefficient p-value LEX -1.50862 0.0019 INT 0.00190 0.8698 LFR 0.29064 0.0602 LAS 1.56197 0.0006 LOIL -0.50323 0.1051 Ngu n: K t qu t ng h p t ph n m m th ng kê ... nghi p, giá d i, t giá h i n giá ch ng khoán c a Hàn Qu c b ng d li u tháng t tháng 01 K t qu nghiên c u cho th y, lãi su t giá d u s giá ch ng khoán; t giá h ng tích c ng tiêu c n ch n giá ch ng... giá d u t i Iran v i d li u tháng t a bi n ch s giá ch ng khoán, t giá h m phát giá d u K t qu cho th y t n t i m i quan h nhân qu hai chi u gi a ch s giá ch ng khoán t giá h chi Iran, t giá. .. bán b t nh ng tài s s d c ngồi mà hi n t i h p d n h ng ti nh giá cao hay t giá gi m (vì t giá nh giá c a m khác u ngo i t c tính theo giá c a m ng ti n c), v y m i quan h c a giá ch ng khoán