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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



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