Các yếu tố tác động đến tỷ suất sinh lợi của các ngân hàng TMCP tại Việt Nam

tương quan giữa các sai số và hiện tượng phương sai sai số thay đổi. Hiện tượng này sẽ làm cho các ước lượng thu được bằng các phương pháp hồi quy thông trường trên dữ liệu bảng không hiệu quả, các kiểm định hệ số hồi qui không còn đáng tin cậy.

3.4. Kết quả kiểm định độ phù hợp của các biến giải thích trong mô hình nghiên cứu 02

Khắc phục hiện tượng tự tương quan bằng phương pháp bình phương bé nhất tổng quát khả thi – FGLS

xtgls roe size loan cap llr cosr liq inf, panel(het) corr(ar1) Cross-sectional time-series FGLS regression

Coefficients: generalized least squares

Panels: heteroskedastic


Correlation: common AR(1) coefficient Estimated covariances = 22	for	all	panels (0.4301) Number of obs	=	176
Estimated autocorrelations = 1			Number of groups	=	22
Estimated coefficients = 8			Time periods	=	8
			Wald chi2(7)	=	113.04
			Prob > chi2	=	0.0000

Có thể bạn quan tâm!

Xem toàn bộ 123 trang tài liệu này.

------------------------------------------------------------------------------

roe | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

size

\|	.0161713	.0041238	3.92	0.000	.0080889	.0242538
loan	\|	.0627354	.0315185	1.99	0.047	.0009603	.1245104
cap	\|	-.0919416	.0704286	-1.31	0.192	-.2299791	.0460959
llr	\|	1.604741	.4645769	3.45	0.001	.6941873	2.515295
cosr	\|	-.0399807	.0085919	-4.65	0.000	-.0568204	-.023141
liq	\|	.1396701	.0396737	3.52	0.000	.0619111	.2174291
inf	\|	.0730921	.0367083	1.99	0.046	.0011452	.145039
_cons	\|	-.482126	.1385806	-3.48	0.001	-.7537389	-.210513

------------------------------------------------------------------------------

Với biến phụ thuộc là ROEit, sau khi sử dụng phương pháp bình phương bé nhất tổng quát khả thi FGLS để khắc phục hiện tượng tự tương quan và hiện tượng

nên kết quả mô hình phù hợp và có thể sử dụng được.

Phụ lục 4: Cơ sở dữ liệu của 22 ngân hàng TMCP tại Việt Nam giai đoạn 2008-2015

Tên ngân hàng

BANK	YEAR	ROA	ROE	TaiSan	LOAN	CAP	LLR	COSR	LIQ	INF	SIZE
Ngân hàng TMCP Á Châu	1	2008	0.020993	0.284644	105,306	0.330776	0.073751	0.007187	0.583121	0.357222	0.2312	32.2879
	1	2009	0.013112	0.217805	167,881	0.371441	0.060199	0.014412	0.646115	0.269224	0.0705	32.7543
	1	2010	0.011384	0.205225	205,103	0.425128	0.055469	0.011493	0.518765	0.232860	0.0886	32.9545
	1	2011	0.011415	0.268234	281,019	0.365844	0.042556	0.011313	0.476343	0.338268	0.1868	33.2694
	1	2012	0.004447	0.062105	176,308	0.583156	0.071605	0.014610	0.621555	0.196459	0.0909	32.8033
	1	2013	0.004961	0.066097	166,599	0.643401	0.075056	0.015056	0.857055	0.073976	0.0659	32.7466
	1	2014	0.005299	0.076775	179,610	0.647649	0.069024	0.014729	0.810723	0.057976	0.0409	32.8218
	1	2015	0.005104	0.080409	201,457	0.665312	0.063475	0.013246	0.683550	0.087051	0.0063	32.9366
Ngân hàng TMCP Đông Nam Á	2	2008	0.007767	0.042929	22,268	0.340658	0.180929	0.007148	0.308710	0.422891	0.2312	30.7342
	2	2009	0.015028	0.083883	30,597	0.314603	0.179150	0.021229	0.369504	0.525427	0.0705	31.0519
	2	2010	0.011389	0.109547	55,242	0.371318	0.103968	0.033578	0.397565	0.269636	0.0886	31.6427
	2	2011	0.001247	0.022771	101,093	0.194288	0.010888	0.015993	0.692919	0.610376	0.1868	32.2471
	2	2012	0.000703	0.009449	75,067	0.222395	0.074362	0.023643	0.819587	0.520964	0.0909	31.9494
	2	2013	0.001899	0.026491	79,864	0.262054	0.071701	0.015056	0.929286	0.414847	0.0659	32.0114
	2	2014	0.001083	0.015290	80,184	0.399908	0.070863	0.014729	1.077179	0.374814	0.0409	32.0153
	2	2015	0.001084	0.015928	84,757	0.505040	0.068064	0.013246	0.844197	0.218755	0.0063	32.0708

Tên ngân hàng

BANK	YEAR	ROA	ROE	TaiSan	LOAN	CAP	LLR	COSR	LIQ	INF	SIZE
Ngân hàng TMCP An Bình	3	2008	0.003683	0.012564	13,494	0.484580	0.293129	0.011844	0.909769	0.238093	0.2312	30.2333
	3	2009	0.011752	0.069418	26,518	0.485818	0.169297	0.021786	0.509785	0.349089	0.0705	30.9089
	3	2010	0.013051	0.106648	38,016	0.522860	0.122376	0.016407	0.487273	0.253078	0.0886	31.2690
	3	2011	0.007391	0.065010	41,542	0.479407	0.113694	0.015991	0.462601	0.222200	0.1868	31.3577
	3	2012	0.008678	0.081484	46,014	0.407613	0.106495	0.020768	0.641960	0.287378	0.0909	31.4600
	3	2013	0.002439	0.024469	57,628	0.410336	0.099683	0.034841	0.848733	0.311367	0.0659	31.6850
	3	2014	0.001734	0.020466	67,465	0.384929	0.084716	0.020031	0.744353	0.306923	0.0409	31.8426
	3	2015	0.001418	0.015764	64,375	0.480240	0.089946	0.014818	0.722458	0.215977	0.0063	31.7957
Ngân hàng TMCP Hàng Hải Việt Nam	4	2008	0.009705	0.169027	32,626	0.343583	0.057420	0.013116	0.401473	0.505874	0.2312	31.1161
	4	2009	0.012099	0.217503	63,882	0.373683	0.055625	0.015444	0.398233	0.414286	0.0705	31.7881
	4	2010	0.010033	0.182869	115,336	0.275972	0.054862	0.012902	0.481382	0.276004	0.0886	32.3789
	4	2011	0.006971	0.083932	114,375	0.330080	0.083059	0.011452	0.806371	0.270572	0.1868	32.3705
	4	2012	0.002060	0.024908	109,923	0.263307	0.082694	0.019882	0.923082	0.313606	0.0909	32.3308
	4	2013	0.003080	0.035046	107,115	0.255887	0.087873	0.025333	1.046470	0.245260	0.0659	32.3049
	4	2014	0.001368	0.015113	104,369	0.225254	0.090503	0.019808	1.237685	0.191004	0.0409	32.2790
	4	2015	0.001115	0.008539	104,311	0.269303	0.130535	0.025571	1.139858	0.145691	0.0063	32.2784
Ngân hàng TMCP Kỹ Thương Việt Nam	5	2008	0.020019	0.210311	59,099	0.445744	0.095186	0.016380	0.517117	0.330118	0.2312	31.7102
	5	2009	0.018364	0.232142	92,582	0.454656	0.079107	0.019451	0.473543	0.334427	0.0705	32.1591
	5	2010	0.013792	0.220760	150,291	0.352169	0.062473	0.014515	0.498610	0.358639	0.0886	32.6436

Tên ngân hàng

BANK	YEAR	ROA	ROE	TaiSan	LOAN	CAP	LLR	COSR	LIQ	INF	SIZE
Ngân hàng TMCP Kỹ Thương Việt Nam	5	2011	0.017469	0.251983	180,531	0.351471	0.069328	0.016798	0.396197	0.292312	0.1868	32.8269
	5	2012	0.004255	0.057616	179,934	0.379370	0.073858	0.017732	0.643924	0.230118	0.0909	32.8236
	5	2013	0.004148	0.047347	158,897	0.442268	0.087605	0.017378	0.773969	0.129286	0.0659	32.6993
	5	2014	0.006150	0.072191	175,902	0.456548	0.085196	0.013657	0.594364	0.129699	0.0409	32.8010
	5	2015	0.007965	0.092917	191,994	0.581404	0.085719	0.014499	0.510906	0.105181	0.0063	32.8885
Ngân hàng TMCP Kiên Long	6	2008	0.012675	0.035571	2,939	0.746976	0.356339	0.008582	0.646704	0.171746	0.2312	28.7091
	6	2009	0.012249	0.082033	7,478	0.651790	0.149319	0.013210	0.485623	0.222561	0.0705	29.6431
	6	2010	0.015552	0.060648	12,578	0.557208	0.256425	0.012664	0.364252	0.176241	0.0886	30.1630
	6	2011	0.022108	0.114179	17,849	0.470825	0.193630	0.013526	0.403923	0.288678	0.1868	30.5130
	6	2012	0.018892	0.101898	18,581	0.521149	0.185397	0.016882	0.526568	0.198707	0.0909	30.5532
	6	2013	0.014665	0.090176	21,372	0.567498	0.162628	0.012919	0.568069	0.190192	0.0659	30.6931
	6	2014	0.007614	0.052291	23,104	0.585462	0.145608	0.011254	0.661843	0.181166	0.0409	30.7710
	6	2015	0.006525	0.048983	25,322	0.640464	0.133217	0.010187	0.695296	0.106672	0.0063	30.8627
Ngân hàng TMCP Nam Á	7	2008	0.001648	0.007532	5,891	0.636502	0.127185	0.007334	1.169522	0.197870	0.2312	29.4045
	7	2009	0.005143	0.042089	10,938	0.458299	0.122204	0.006852	0.638779	0.335064	0.0705	30.0233
	7	2010	0.009554	0.063733	14,509	0.365443	0.149902	0.010846	0.650866	0.218932	0.0886	30.3058
	7	2011	0.012634	0.072878	19,038	0.328041	0.173356	0.009936	0.645509	0.218577	0.1868	30.5775
	7	2012	0.011285	0.055128	16,008	0.427789	0.204698	0.011148	0.704092	0.215483	0.0909	30.4041

Tên ngân hàng

BANK	YEAR	ROA	ROE	TaiSan	LOAN	CAP	LLR	COSR	LIQ	INF	SIZE
	7	2013	0.004684	0.041377	28,782	0.401992	0.113213	0.011166	1.038138	0.274961	0.0659	30.9908
	7	2014	0.005019	0.056185	37,293	0.445911	0.089326	0.013376	0.679641	0.414657	0.0409	31.2498
	7	2015	0.005478	0.056899	35,470	0.588284	0.096268	0.011731	0.600667	0.224003	0.0063	31.1997
Ngân hàng TMCP Quốc dân	8	2008	0.005240	0.053101	10,905	0.502010	0.098682	0.005029	0.848443	0.424748	0.2312	30.0203
	8	2009	0.007621	0.122136	18,687	0.532957	0.062397	0.017427	0.700783	0.310399	0.0705	30.5589
	8	2010	0.007839	0.077590	20,016	0.537887	0.101034	0.012814	0.561271	0.274166	0.0886	30.6276
	8	2011	0.007388	0.051679	22,496	0.574087	0.142958	0.014781	0.532872	0.194866	0.1868	30.7444
	8	2012	0.000111	0.000753	21,584	0.596999	0.147523	0.016921	0.888814	0.086129	0.0909	30.7030
	8	2013	0.000635	0.005761	29,074	0.463480	0.110184	0.016229	1.037081	0.213755	0.0659	31.0009
	8	2014	0.000221	0.002533	36,841	0.451682	0.087175	0.014499	1.006576	0.209594	0.0409	31.2377
	8	2015	0.000135	0.002019	48,231	0.423618	0.066663	0.012584	0.858938	0.176651	0.0063	31.5070
Ngân hàng TMCP Việt Nam Thịnh Vượng	9	2008	0.007671	0.059540	18,587	0.690628	0.128838	0.005085	0.691107	0.149810	0.2312	30.5535
	9	2009	0.010658	0.115215	27,543	0.574130	0.092509	0.010162	0.618016	0.308500	0.0705	30.9468
	9	2010	0.008416	0.096705	59,807	0.423424	0.087025	0.014494	0.505371	0.209269	0.0886	31.7222
	9	2011	0.009656	0.133365	82,818	0.352383	0.072403	0.012406	0.636807	0.295884	0.1868	32.0477
	9	2012	0.006272	0.096940	102,576	0.359765	0.064703	0.013027	0.633864	0.282063	0.0909	32.2616
	9	2013	0.008392	0.131702	121,264	0.432725	0.063718	0.016386	0.695114	0.124755	0.0659	32.4290
	9	2014	0.007679	0.139594	163,241	0.480141	0.055012	0.021404	0.696073	0.116295	0.0409	32.7263
	9	2015	0.013346	0.194851	179,518	0.538086	0.068494	0.014891	0.549814	0.105165	0.0063	32.8213

Tên ngân hàng

BANK	YEAR	ROA	ROE	TaiSan	LOAN	CAP	LLR	COSR	LIQ	INF	SIZE
Ngân hàng TMCP Phát Triển Tp.HCM	10	2008	0.006272	0.035839	9,558	0.646104	0.174995	0.004495	1.155874	0.257084	0.2312	29.8884
	10	2009	0.010153	0.108122	19,127	0.430318	0.093905	0.010310	0.854056	0.341799	0.0705	30.5821
	10	2010	0.007834	0.114271	34,389	0.341043	0.068557	0.010307	0.646826	0.293273	0.0886	31.1688
	10	2011	0.009472	0.120220	45,025	0.307555	0.078792	0.011995	0.454300	0.262438	0.1868	31.4383
	10	2012	0.006184	0.060520	52,783	0.400657	0.102188	0.014115	0.937004	0.168334	0.0909	31.5972
	10	2013	0.002524	0.025303	86,227	0.510637	0.099732	0.032983	3.266068	0.157351	0.0659	32.0880
	10	2014	0.004792	0.051841	99,525	0.421932	0.092428	0.010983	1.117235	0.201587	0.0409	32.2314
	10	2015	0.004818	0.052129	106,486	0.531139	0.092422	0.016803	0.742619	0.152217	0.0063	32.2990
Ngân hàng TMCP Quân Ðội	11	2008	0.013184	0.125015	44,346	0.354945	0.105458	0.021530	0.390957	0.381928	0.2312	31.4231
	11	2009	0.017008	0.156591	69,008	0.428759	0.108618	0.028410	0.426567	0.377226	0.0705	31.8653
	11	2010	0.015920	0.179155	109,623	0.445130	0.088860	0.024954	0.356307	0.321711	0.0886	32.3281
	11	2011	0.013796	0.185995	138,831	0.425299	0.074175	0.022390	0.360114	0.350160	0.1868	32.5643
	11	2012	0.013211	0.171475	175,610	0.424114	0.077045	0.022233	1.183385	0.284986	0.0909	32.7993
	11	2013	0.012668	0.145574	180,433	0.486291	0.087021	0.025999	1.250820	0.174247	0.0659	32.8264
	11	2014	0.012484	0.145962	200,489	0.501618	0.085532	0.028068	1.270153	0.143230	0.0409	32.9318
	11	2015	0.011365	0.108361	221,042	0.548985	0.104881	0.019652	1.198583	0.172259	0.0063	33.0294
Ngân hàng TMCP Quốc tế	12	2008	0.004863	0.073649	34,719	0.569558	0.066031	0.011147	0.740226	0.045544	0.2312	31.1783
	12	2009	0.008178	0.157081	56,639	0.482931	0.052065	0.012619	0.763413	0.334789	0.0705	31.6677
	12	2010	0.008430	0.119962	93,827	0.444765	0.070269	0.017304	0.568484	0.298290	0.0886	32.1725

Tên ngân hàng

BANK	YEAR	ROA	ROE	TaiSan	LOAN	CAP	LLR	COSR	LIQ	INF	SIZE
Ngân hàng TMCP Quốc tế	12	2011	0.006591	0.078308	96,950	0.448658	0.084168	0.016476	0.454245	0.316724	0.1868	32.2052
	12	2012	0.008003	0.061689	65,023	0.521154	0.129733	0.013200	0.607709	0.154249	0.0909	31.8058
	12	2013	0.000654	0.006295	76,875	0.458389	0.103839	0.027308	0.806701	0.124943	0.0659	31.9732
	12	2014	0.006480	0.061489	80,661	0.473324	0.105383	0.025234	0.712515	0.120917	0.0409	32.0213
	12	2015	0.006180	0.060513	84,309	0.566691	0.102134	0.019709	0.753052	0.100851	0.0063	32.0655
Ngân hàng TMCP Sài Gòn Công Thương	13	2008	0.014390	0.109709	11,205	0.706481	0.131166	0.009768	0.558366	0.183417	0.2312	30.0474
	13	2009	0.017692	0.108596	11,876	0.818642	0.162914	0.015395	0.433132	0.061816	0.0705	30.1055
	13	2010	0.047289	0.225483	16,812	0.621922	0.209723	0.015013	0.480349	0.142777	0.0886	30.4531
	13	2011	0.019782	0.091969	15,365	0.727799	0.215093	0.022692	0.379748	0.104147	0.1868	30.3631
	13	2012	0.020013	0.083981	14,853	0.731251	0.238307	0.009788	0.396347	0.093852	0.0909	30.3292
	13	2013	0.011765	0.049355	14,685	0.726602	0.238381	0.009346	0.554949	0.073842	0.0659	30.3178
	13	2014	0.011432	0.051891	15,823	0.709853	0.220297	0.008707	0.472361	0.055826	0.0409	30.3925
	13	2015	0.002429	0.012714	17,749	0.654244	0.191053	0.008176	0.606016	0.114877	0.0063	30.5073
Ngân hàng TMCP Sài Gòn Thương Tín	14	2008	0.013951	0.123057	68,439	0.511537	0.113366	0.007116	1.107500	0.273687	0.2312	31.8570
	14	2009	0.016060	0.155013	104,019	0.573519	0.103605	0.014725	0.711596	0.255108	0.0705	32.2756
	14	2010	0.012465	0.129263	152,387	0.541285	0.096432	0.013755	0.559749	0.246127	0.0886	32.6574
	14	2011	0.014108	0.137202	141,469	0.569310	0.102828	0.009856	0.614344	0.171670	0.1868	32.5831
	14	2012	0.006589	0.073172	152,119	0.633285	0.090053	0.017962	0.639391	0.143815	0.0909	32.6557
	14	2013	0.013813	0.130634	161,378	0.685137	0.105738	0.014030	0.634638	0.092945	0.0659	32.7148