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DANH MỤC TÀI LIỆU THAM KHẢO

DANH MỤC TÀI LIỆU THAM KHẢO

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10. Farna, E.F. & Schwert, G.W, 1977. Asset return and inflation. Journal of
Financial Economics, Vol. 5, pp. 115- 146.

11 . Gan, C. Et al., 2006. Macroeconomics Variables and Stock Market
Interactions: New Zealand Evidence.

Investment Management and

Financial Innovations, Vol. 3, Issue 4, pp. 89- 101.

12. Goswami, G. & Jung, S.-C., 1997. Stock Market and Economic Forces:
Evidence From Korea.
13. Hoai, N.T. & Khuyen N.H.B., 2009. Stock Prices and Macroeconomic
Variables in Vietnam: An Empirical Analysis.
14. Humpe, A. & Macmillan, P., 2007. Can macroeconomic variables explain
long term stock market movements? A comparison of the US and Japan.
Centre for dynamic Macroeconomic Variables Analysis - Working paper
Series.
15. Ibrahim, M.H. & Yusoff, W., 2001. Macroeconomic Variables, Exchange
Rate And Stock Price: A Malaysian Perspective.

!fUM Journal of

Economics and Management 9, No.2, pp. 141 - 163.

16. Islam, S.M.N., et al., 2004. A time series analysis and modelling of the Thai
stock market. International Business Management Conference.
17. Kraft, J. & Kraft, A., 1977. Determinants of common stock prices: a time
series analysis. The journal offinance, Vol. XXXII, No.2, pp. 417- 424.
18. Maysami, R.C, et al., (2004). Co-movement among sectoral stock market
indices and cointegration among dually listed companies. Jurnal
Pengurusan, Vol. 23, pp. 33-52.

19. Mohamed, A. et al., 2009. Effects of Macroeconomic Variables on Stock
Prices in Malaysia: An Approach of Error Correction Model. MPRA Paper,
No. 20970.
20. Mohammad, S.D. et al., 2009. Impact of Macroeconomics Variables on
Stock Prices: Emperical Evidance in Case of KSE (Karachi Stock

Exchange). European Journal of Scientific Research, ISSN 1450-216X
Vol.38, No.I, pp. 96-103.
21. Mukherjee, T.K. & Naka, A., 1995. Dynamic Relations between
Macroeconomic variables and the Japanese Stock Market: An Application
of a Vector Error Correction Model. The Journal of Financial Research,
Vol.XVIII, No.2, pp. 223 - 237.
22. Nkoro, E. & Uko, A.K., 2013. A Generalized Autoregressive Conditional
Heteroskedasticity Model of the Impact of Macroeconomic Factors on
Stock Returns: Empirical Evidence from the Nigerian Stock Market.
International Journal ofFinancial Research, Vol. 4, No.4, pp. 38 - 51.

23. Nozar, H. & Taylor, P., 1988. Stock prices, money supply, and interest
rates: the question of causality. Applied Economics, Vol. 20, 1603- 1611.
24. Pearce, D.K. & Roley, V.V., 1984. Stock prices and economic news. NBER
working paper series, No. 1296.

25. Singh, T. et al., 2011. Macroeconomic factors and stock returns: Evidence
from Taiwan. Journal ofEconomics and International Finance, Vol. 2(4),
pp. 217- 227.
26. Tangjitprom, N., 2011. Macroeconomic Factors ofEmerging Stock market:
The Evidence from Thailand. Martin de Tours School of Management of
Economics.

Cac trang web:
www.cophieu68. vn
www.gso.gov. vn
www.im[org
www.sbv.gov. vn
www. sggp. org. vn/tigiangoaite
www. tapchitaichinh. vn

PHVLTJC


1. Ph1} l1Jc 1: Dfr li~u thfing ke
Thiri di~m
2008ml
2008m2
2008m3
2008m4
2008m5
2008m6
2008m7
2008m8
2008m9
2008m10
2008m11
2008m12
2009m1
2009m2
2009m3
2009m4
2009m5
2009m6
2009m7
2009m8
2009m9
2009m10
2009m11
2009m12
2010ml
2010m2
201 0m3
2010m4
20 10m5
20 10m6

VNI
%
(8.9428)
(21.4193)
(22.0715)
1.0640
(20.7312)
(3.5499)
13.0195
19.4284
(15.2847)
(23.9982)
(9.3345)
0.2860
(3.9290)
(18.9644)
14.2450
14.5707
27.9851
8.9164
4.1267
17.1380
6.2363
1.0673
(14.1373)
(1.8449)
(2.5869)
3.0913
0.4629
8.6538
(6.4528)
(0.0591)

CPI
%
2.3800
3.5600
2.9900
2.2000
3.9100
2.1400
1.1300
1.5600
0.1800
{0.1900)
(0.7600)
(0.6800)
0.3200
1.1700
(0.1700)
0.3500
0.4400
0.5500
0.5200
0.2400
0.6200
0.3700
0.5500
1.3800
1.3600
1.9600
0.7500
0.1400
0.2700
0.2200

M2
log10
3.1116
3.1074
3.1140
3.1067
3.1133
3.1124
3.1141
3.1149
3.1295
3.1358
3.1445
3.1800
3.1935
3.2013
3.2162
3.2288
3.2400
3.2494
3.2555
3.2568
3.2654
3.2709
3.2751
3.2812
3.2815
3.2896
3.2972
3.3060
3.3173
3.3358

llP
%
(5.4000)
(9.3713)
24.7146
(8.8116)
0.2257
2.6181
(0.1463)
(0.6736)
(2.6695)
0.4085
(6.0983)
8.6702
(13.6768)
8.3983
3.6993
3.2681
2.2376
1.6340
1.1798
3.9056
3.0123
(0.3839)
1.2847
4.3712
(4.1122)
(19.7142)
18.8642
4.5519
(0.0556)
5.3046

I

rolnam
7.2000
8.9700
11.1900
11.5200
13.2500
16.6350
16.8900
17.1600
16.9200
15.2400
10.0200
8.4150
8.1550
7.2500
7.3550
7.4150
7.7050
7.7550
7.8050
8.0650
8.4500
8.7000
9.2250
5.2450
5.2500
5.2750
5.2950
5.6100
5.6900
5.8500

EX
%
(0.1438)
(0.2504)
1.1800
0.0434
0.7441
3.6745
(0.3206)
(1.1316)
0.1205
1.2635
0.9923
2.8770
(0.0114)
(0.0229)
1.8421
(0.1011)
0.0056
0.0900
0.0786
0.0449
0.1010
0.1177
3.5438
(0.0865)

3.3606

(0.5236)
0.0526
0.4471

ThOi cli~m

2010m7
2010m8
2010m9
2010m10
2010mll
2010m12
2011m1
201lm2
2011m3
20llm4
2011m5
2011m6
2011m7
201lm8
2011m9
2011m10
2011mll
2011m12
2012m1
2012m2
2012m3
2012m4
2012m5
2012m6
2012m7
2012m8
2012m9
2012ml0
2012ml1
2012m12
2013ml
2013m2
2013m3
2013m4
2013m5

VNI
%
(2.6030)
(7.8558)
(0.1318)
(0.4180)
(0.2209)
7.3295
5.3435
(9.6357)
(0.0650)
4.1206
(12.2266)
2.6341
(6.1965)
4.6833
0.6828
(1.5903)
(9.5295)
(7.6438)
10.3527
9.1753
4.1076
7.4376
(9.4133)
(1.5843)
(1.8703)
(4.4632)
(0.8586)
(1.0698)
(2.7291)
9.5024
15.9778
(1.0838)
3.4555
(3.3605)
9.2518

CPI
%
0.0600
0.2300
1.3100
1.0500
1.8600
1.9800
1.7400
2.0900
2.1700
3.3200
2.2100
1.0900
1.1700
0.9300
0.8200
0.3600
0.3900
0.5300
1.0000
1.3700
0.1600
0.0500
0.1800
(0.2600)
(0.2900)
0.6300
2.2000
0.8500
0.4700
0.2700
1.2500
1.3200
(0.1900)
0.0200
(0.0600)

M2
liP
%
log1o
3.3373
3.2557
3.3536
0.8387
3.3664
1.2128
3.3691
3.4129
3.3727
1.2473
3.3942
3.4305
3.3952
(2.5143)
3.4002
(23.3087)
3.3971
21.2444
3.3952
3.0246
3.3954
4.2041
4.6000
3.4056
3.4117
6.1000
3.4348
4.3000
3.4271
2.1000
3.4208
5.2000
3.4236
5.0000
3.4432
4.8000
(12.9000)
3.4436
3.4431
10.0000
3.4514
10.2000
3.4575
1.5000
3.4656
4.4000
3.4752
2.0000
3.4804
3.2000
3.4891
4.1000
3.4983
4.6000
3.5011
5.8000
3.5131
4.8000
3.5385 .
4.9000
3.5504
(3.2000)
(21.3000)
3.5558
3.5647
31.9000
3.5662
1.6000
3.5706
4.6000

I
?/olniim
5.9350
5.9400
6.0600
5.9450
6.7500
8.1400
8.2200
8.8400
8.8350
8.9000
8.9100
8.9200
8.9200
8.9200
8.9250
8.9250
8.9900
8.9900
8.9850
8.9850
8.0000
7.0000
5.9750
8.9950
8.9950
8.9950
8.9950
8.9950
8.9950
8.0000
7.9900
7.9900
7.4900
7.4750
7.3500

EX
%
0.0262
2.0942



-

-

7.0769
0.1437
(0.9087)
(0.5792)
0.0971
(0.0485)
1.0869

0.8496

0.1190

(0.7891)
(0.0479)
0.3356
(0.1911)
0.1436
(0.1673)
(0.0239)
0.0958
(0.1675)
0.0240
(0.0719)
0.0480
0.5512
(0.0953)

0.3340

..

ThOi di~m
2013m6
2013m7
2013m8
2013m9
2013m10
2013m11
2013m12

VNI
%
(7.1952)
2.2449
(3.9032)
4.2099
0.9744
2.0909
(0.6302)

CPI

M2

%

IOKJO

0.0500
0.2700
0.8300
1.0600
0.4900
0.3400
0.5100

3.5796
3.5814
3.5873
3.5923
3.5973
3.5973
3.5973

IIP
%
1.9000
3.4000
2.1000
0.5000
6.7000
2.6000
4.4000

I

9/olnam
7.3500
6.8800
6.8950
6.9100
6.9100
6.9250
6.9200

EX
%
0.8084
(0.0472)
(0.0472)
(0.1889)
(0.0946)

0.0237

2. Ph1}11}c 2: K~t qua ki~m djnh tinh thOi V1}
Bi~n 1:
D 8.A

F-tests for seasonalit y

Test f or t he presence of seasonal ity assuming stabi l ity.
Sum of
Squares
2856.0316
4819 . 1409
7675.1725

Between months
Resi dual
Total

Dgrs . of
Freedom
11

60

Mean
Squa re
259.63924
80 . 31901

F-Value
3 . 233*

71

* No evidence of stable seasonality at the 0.1 per cent level.
Nonparametric Test for the Presence of Seasonality Assuming Stability
Kruskal-Wallis
Statis.tic
33.6309

Degrees of
Freedom

Probability
Level
0 . 042%

11

Seasonality present at the one percent level .

Tinh thiri V\) xuit hi~n i1 muc y nghia 1°/o.
Moving Seasonality Test
Sum of
Squares
1661.1015
1981.2448

Between Years
Error

Dgrs.of
Freedom
5
55

Mean
Square
332 . 220305
36.022633

F-value
9 . 223**

**Moving s eas ona lity present at the one per cen t level .

Thay ttAi theo mua xuit hi~n iJ muc y nghia 1°/o.

Bi~n M2:
D B.A

F-tests for seasonality

Test for the presence of seasonality assuming stability.

Between months
Residual
Total

Sum of
Squares
0. 5715
0.8332
1.4047

Dgrs . of
Freedom
11

60
71

Mean
Square
0.05195
0.01389

F-Value
3. 741**

**Seasonality present at the 0.1 per cent level.

Tinh thO'i V t} xuit hi~n i1 muc y nghia 0.1 °/o.
Nonparametric Test for the Presence of Seasonality Assuming Stability
Kruskal-Wallis
Statist ic

Degrees of
Freedom

Probability
Level

32.4132

11

0.065%

Seasonality present at the one percent level.

Tinh thiri vy. xu~t hi~n iY mfrc y nghia 1°/o.
Moving Seasonality Test
Between Years
Error

Sum of
Squares
0 . 0767
0.3290

Dgrs .of
Freedom
5
55

Mean
Square
0.015338
0.005981

F-value
2 . 564

Moving seasonality present at the five percent level .

Tinh thiri V\( xu~t hi~n {y mfrc y nghia 5°/o.



..

3. Phl}ll}C 3: DB thj thAng ke ctia cac bi~n theo thOi gian
VNI



2008

2009

2010

2011

2012

2013

CPI



2008

2009

2010

2011

2012

2013

I SA

2008

2009

2010

2011

2012

2013

2012

2013

M2_SA

2008

2009

2010

2011

DM2_SA

.025
.020
.015
.010
.005
.000
-.005
-.010
-.015
2008

2009

2010

2011

2012

2013

EX

2008

2009

2010

2011

2012

2013

liP
40~------------------------------------.

30
20

10
0

-10
-20
-30+-~~~,-~~~,-~~~,-~~~,-~~

2008

2009

2010

2011

2012

2013