Ảnh hưởng của biến động lãi suất và tỷ giá đến tỷ suất sinh lợi và biến động tỷ suất sinh lợi cổ phiếu tại ngân hàng thương mại Việt Nam

DANH MỤC TÀI LIỆU THAM KHẢO

Danh mục tài liệu Tiếng Việt

1. Huỳnh Thế Nguyễn và Nguyễn Quyết, 2013. Mối quan hệ giữa tỷ giá hối đoái, lãi suất và giá cổ phiếu tại Thành phố Hồ Chí Minh. Tạp chí phát triển và hội nhập, số 11 (21), trang 37-41.

2. Nguyễn Thị Ngọc Trang, 2007. Quản trị rủi ro tài chính. Nhà xuất bản thống kê.

3. Nguyễn Thị Ngọc Trang và Nguyễn Hữu Tuấn, 2014. Minh bạch chính sách tiền tệ và truyền dẫn lãi suất bán lẻ ở Việt Nam. Tạp chí phát triển và hội nhập, số 15 (25).

4. Trần Ngọc Thơ và cộng sự, 2005. Tài chính doanh nghiệp hiện đại. Thành phố Hồ Chí Minh: Nhà xuất bản thống kê.

5. Trương Đông Lộc, 2014. Các nhân tố ảnh hưởng đến sự thay đổi giá của cổ phiếu: các bằng chứng từ Sở giao dịch chứng khoán Thành phố Hồ Chí Minh. Tạp chí khoa học trường Đại học Cần Thơ, số 33 (2014), trang 72 – 78.

Danh mục tài liệu tiếng Anh

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3. Bollerslev, T., 1986. Generalized autoregressive conditional heteroskedasticity.

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4. Booth, J., Officer, D.T., 1985. Expectations, interest rates, and commercial bank stocks. Journal of Financial Research, 8:51–58.

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11. Elyasiani, E., Mansur, I., 1998. Sensitivity of bank stock returns distribution to changes in the level of volatility of interest rate: a GARCH-M model. Journal of Banking & Finance, 22:535–563.

12. Elyasiani, E., Mansur, I., 2003. International spillover of risk and return among major banking institutions: a bivariate GARCH model. Journal of Accounting, Auditing, and Finance, 23:303–330.

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38. Yourougou, P., 1990. Interest rate and the pricing of depository financial intermediary common stock: empirical evidence. Journal of Banking & Finance, 14:803–820.

PHỤ LỤC: KẾT QUẢ CHẠY MÔ HÌNH HỒI QUY

KẾT QUẢ CHẠY THỐNG KÊ MÔ TẢ VÀ KIỂM ĐỊNH ADF

ACB

CTG

MBB

70 0

60 0

? 0 0

40 0

300

Mean	-0.003991
Median	0.000000
Maximum	9.531018
Minimum	-10.53605
Std. Dev.	3.408486
Skewness	0.057135
Kurtosis	4.380374
Jarque-Bera	121.4245
Probability	0.000000


	t-Statistic	Prob '
.éuomented DickeY-Fuller test statistic	-49.23271	0.0001
Test critical values: 1% level	-3.434451
5% level	-2863238
10 % level	-2.567722

Coefficient	Std. Error t-Statistic	P rob.
RNVB(-1)	-1.230845	0.025001 -49.23271	0.0000
c	-0.005497	0.085179 -0.064533	0.9486
R-squared	0.615215	flean dependent var	0.002518
.Pdjusted R-squared	0.614961	S.D. dependent var	5.348281
S.E. of regression	3.318690	.4kaike info criterion	5.238334
Sum squared resid	16696.77	Schwarz criterion	5.245350
Log likelihood	-3973.895	Hannan-Quinn criter.	5.240946
F-statistic	2423.860	Durb in-'.Watson stat	2.02 9732
Prob(F-statistic)	0.000000