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Factors affecting the liquidity of stocks listed on the Vietnamese stock market - 26


8. Model testing results with dependent variable ILLIQ robust, cluster - industry


Fixed-effects (within) regression

Number of obs

=

3862

Group variable: MCT

Number of groups

=

676

R-sq: within = 0.5411

Obs per group: min =

1

between = 0.9106

avg =

5.7

overall = 0.8525

max =

6


F(12,24)

=

269.67

corr(u_i, Xb) = 0.0280

Prob > F

=

0.0000

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Factors affecting the liquidity of stocks listed on the Vietnamese stock market - 26

(Std. Err. adjusted for 25 clusters in NGANH)



ILLIQ


Coef.

Robust Std. Err.


t P>|t|



[95% Conf.


Interval]

FreeFloat

State Pcs


TYPE KH NO TM


VSGR

size LnKLGD RATE

Risk SR

_cons

-.2681394

.1310277

-2.05 0.052


-.5385673

.0022886

.3939544

.2098723

1.88 0.073


-.0392007

.8271095

-1.58905

.3205855

-4.96 0.000


-2.250706

-.9273942


-.2231687


.1040781


-2.14 0.042



-.4379753


-.008362

.2691636

.1028369

2.62 0.015


.0569187

.4814084

.3093153

.0937591

3.30 0.003


.115806

.5028245

-.9809227

.2019476

-4.86 0.000


-1.397722

-.5641234

-.3753317

.0653155

-5.75 0.000


-.5101363

-.2405272

-.7973166

.0524753

-15.19 0.000


-.9056202

-.689013

-.9164651

5.953526

-0.15 0.879


-13.20394

11.37101

68.98475

3.117957

22.12 0.000


62.5496

75.41989

-1.296813

.3713518

-3.49 0.002


-2.063246

-.5303809

7.621156

1.153936

6.60 0.000


5.23955

10.00276

sigma_u

.91489744






sigma_e

.99827556






Rho

.45650155

(fraction

of variance due

big

u_i)



9. Model testing results with dependent variable LM12 robust, cluster - industry


Fixed-effects (within) regression Number of obs = 3859 Group variable: MCT Number of groups = 675

R-sq: within = 0.1375 Obs per group: min = 1

between = 0.6574 avg = 5.7

overall = 0.4922 max = 6

F(12,24) = 52.21

corr(u_i, Xb) = -0.4486 Prob > F = 0.0000

(Std. Err. adjusted for 25 clusters in NGANH)


LM12


Coef.

Robust Std. Err.


t P>|t|



[95% Conf.


Interval]

FreeFloat

State

Pcs


TYPE KH NO TM


VSGR

size LnKLGD

RATE

Risk

SR

_cons

.3524386

.5259737

0.67 0.509


-.7331177

1.437995

.0034769

.7506391

0.00 0.996


-1.545766

1.55272

.0113707

1.109267

0.01 0.992


-2.278044

2.300785


-.0447274


.4021024


-0.11 0.912



-.8746259


.7851711

.2707024

.4329009

0.63 0.538


-.6227611

1.164166

.5093567

.4068075

1.25 0.223


-.3302527

1.348966

1.91076

.801542

2.38 0.025


.2564584

3.565061

-2.08627

.2071324

-10.07 0.000


-2.51377

-1.65877

-.9269869

.0921536

-10.06 0.000


-1.117183

-.7367913

55.9658

20.99963

2.67 0.014


12.6247

99.3069

48.3496

12.0152

4.02 0.000


23.55145

73.14775

-1.27996

1.145831

-1.12 0.275


-3.644839

1.084919

37.22647

3.70895

10.04 0.000


29.57157

44.88137

sigma_u

3.2848237






sigma_e

3.5441043






Rho

.46208667

(fraction

of variance due

big

u_i)



10. Test the difference in dividend payment method affecting ILLIQ TKCCP

(1)

TM

=

0


(2)

CP

=

0

(3)

KO

=

0


F(


3, 675) =

22.35




Prob > F =

0.0000


LM12





(1)

TM

=

0


(2)

CP

=

0


(3)

KO

=

0





chi2( ​​3) =

211.32



Pr

ob > chi2 =

0.0000


11. Testing the nonlinear impact of Pcs – dividend payout ratio on par value ILLIQ

Fixed-effects (within) regression Number of obs = 3,862

Group variable: MCT Number of groups = 676


R-sq: Obs per group:

within = 0.3350 min = 1

between = 0.7989 avg = 5.7

overall = 0.7218 max = 6

F(8,675) = 99.13

corr(u_i, Xb) = 0.4147 Prob > F = 0.0000

(Std. Err. adjusted for 676 clusters in MCT)


ILLIQ


Coef.

Robust Std. Err.


t P>|t|



[95% Conf.


Interval]

Pcs

-3.270177

.5976134

-5.47 0.000


-4.443582

-2.096773

PCS2

1.917236

.9710589

1.97 0.049


.0105766

3.823895

FreeFloat

-.6964272

.1736948

-4.01 0.000


-1.037474

-.3553801

State

-.2463634

.2069748

-1.19 0.234


-.6527552

.1600284

VSGR

-.9049969

.2515636

-3.60 0.000


-1.398938

-.4110556

size

-.9659725

.10101

-9.56 0.000


-1.164304

-.7676409

LnKLGD

-.7958029

.0397934

-20.00 0.000


-.8739366

-.7176691

beta

-.8300882

.0821155

-10.11 0.000


-.9913207

-.6688558

_cons

7.096654

1.386396

5.12 0.000


4.374485

9.818822

sigma_u

1.5238525






sigma_e

1.2009783






Rho

.61685261

(fraction

of variance due

big

u_i)



LM12


Cross-sectional time-series FGLS regression


Coefficients: generalized least squares Panels: heteroskedastic Correlation: no autocorrelation


Estimated covariances =

675

Number of obs =

3,859

Estimated autocorrelations =

0

Number of groups =

675

Estimated coefficients =

11

Obs per group:




min =

1



avg =

5.717037



max =

6



Wald chi2(10) =

14565.09



Prob > chi2 =

0.0000



LM12

Coef.

Std. Err.

z

P>|z|

[95% Conf.

Interval]

FreeFloat

-.8773457

.1469995

-5.97

0.000

-1.165459

-.5892319

State

.5923219

.1273553

4.65

0.000

.3427101

.8419336

Pcs

-.6166716

.5782306

-1.07

0.286

-1.749983

.5166395

PCS2

-.1034406

1.149303

-0.09

0.928

-2.356033

2.149152

VSGR

.2330343

.2666847

0.87

0.382

-.2896581

.7557266

size

-.4366408

.0266636

-16.38

0.000

-.4889005

-.3843811

LnKLGD

-1.243339

.0196751

-63.19

0.000

-1.281901

-1.204776

RATE

59.4233

9.424193

6.31

0.000

40.95222

77.89438

Risk

50.52088

3.052761

16.55

0.000

44.53758

56.50418

SR

-1.976797

.5402467

-3.66

0.000

-3.035661

-.917933

_cons

20.89434

.7142155

29.25

0.000

19.4945

22.29417


12. Single threshold model testing for Pcs variable with dependent variable ILLIQ


Estimating the threshold parameters: 1st ...... Done Boostrap for single threshold

................................................................ + 50

................................................................ + 100

................................................................ + 150

................................................................ + 200

................................................................ + 250

................................................................ + 300


Threshold estimator (level = 95):


model

Threshold

Lower

Upper

Th-1

0.8703

0.8555

0.8827


Threshold effect test (bootstrap = 300):


Threshold

RSS

MSE

Fstat

Prob

Crit10

Crit5

Crit1

Single

3747.1417

1.0676

14.19

0.0533

12.4647

15.5979

21.5468


Fixed-effects (within) regression

Number of obs

=

3516

Group variable: MCT

Number of groups

=

586

R-sq: within

=

0.3793

Obs

per

group:

min

=

6

between

=

0.7935




avg

=

6.0

overall

=

0.7268




max

=

6




F(10,2920)

=

178.43

corr(u_i, Xb)

=

0.3657

Prob > F

=

0.0000



ILLIQ

Coef.

Std. Err.

t P>|t|


[95% Conf.

Interval]

FreeFloat

State VSGR LnKLGD

size RATE

Risk

SR


_cat#c.Pcs

0

1


_cons

-.6325148

.1415128

-4.47 0.000


-.9099897

-.3550398

-.7213717

.1783187

-4.05 0.000


-1.071015

-.3717286

-.6247973

.1903432

-3.28 0.001


-.9980177

-.2515769

-.9868989

.0293269

-33.65 0.000


-1.044402

-.9293954

-1.094661

.0648683

-16.88 0.000


-1.221853

-.9674685

2.523136

6.375393

0.40 0.692


-9.977586

15.02386

-.4565466

.1441941

-3.17 0.002


-.739279

-.1738142

-1.815027

.3010512

-6.03 0.000


-2.405321

-1.224733


-2.267709


.2729404


-8.31 0.000



-2.802884


-1.732534

4.413922

1.949232

2.26 0.024


.5919125

8.235931

8.717621

1.107474

7.87 0.000


6.546111

10.88913

sigma_u

1.5306714






sigma_e

1.1328141






Rho

.64611449

(fraction

of variance due

big

u_i)


F test that all u_i=0: F(585, 2920) = 8.38 Prob > F = 0.0000


13. Testing the two-threshold model for the Pcs variable with the dependent variable ILLIQ


Bootstrap for single threshold

Estimating the threshold parameters: 1st ......

2nd

......

Done

................................................................ +

50



................................................................ +

100



................................................................ +

150



................................................................ +

200



................................................................ +

250



................................................................ +

300



Boostrap for double threshold model:




................................................................ +

50



................................................................ +

100



................................................................ +

150



................................................................ +

200



................................................................ +

250



................................................................ +


Threshold estimator (level = 95):

300




model

Threshold

Lower

Upper

Th-1

0.8671

0.8526

0.8827

Th-21

0.8671

0.8310

0.8827

Th-22

0.7841

0.7796

0.7909


Threshold effect test (bootstrap = 300 300):


Threshold

RSS

MSE

Fstat

Prob

Crit10

Crit5

Crit1

Single

3746.5581

1.0674

14.74

0.0733

13.5999

15.8427

23.7515

Double

3739.9972

1.0655

6.16

0.5300

14.5093

18.2426

25.2653


Fixed-effects (within) regression

Number of

obs

=

3516

Group variable: MCT

Number of

groups

=

586

R-sq: within = 0.3805

Obs per group: min =

6

between = 0.7972

avg =

6.0

overall = 0.7302

max =

6


F(11,2919)

=

162.97

corr(u_i, Xb) = 0.3674

Prob > F

=

0.0000


ILLIQ

Coef.

Std. Err.

t P>|t|


[95% Conf.

Interval]

FreeFloat

State VSGR LnKLGD

size RATE

Risk SR


_cat#c.Pcs

0

1

2


_cons

-.6269454

.1414233

-4.43 0.000


-.904245

-.3496458

-.7499318

.1785733

-4.20 0.000


-1.100074

-.3997894

-.6292217

.190225

-3.31 0.001


-1.002211

-.2562328

-.9847636

.0293197

-33.59 0.000


-1.042253

-.9272742

-1.102972

.0649136

-16.99 0.000


-1.230253

-.9756906

1.993061

6.375005

0.31 0.755


-10.5069

14.49302

-.466514

.1441446

-3.24 0.001


-.7491494

-.1838786

-1.811089

.3007964

-6.02 0.000


-2.400883

-1.221294


-2.348996


.2749841


-8.54 0.000



-2.888179


-1.809814

.0893599

1.077595

0.08 0.934


-2.023564

2.202284

5.18241

1.93185

2.68 0.007


1.394482

8.970338

8.86619

1.108438

8.00 0.000


6.69279

11.03959

sigma_u

1.5180684






sigma_e

1.1319275






Rho

.64268424

(fraction

of variance due

big

u_i)


F test that all u_i=0: F(585, 2919) = 8.11 Prob > F = 0.0000


14. Results of testing the nonlinear impact of State ownership on TKCCP ILLIQ

Fixed-effects (within) regression

Number of obs =

3,862

Group variable: MCT

Number of groups =

676

R-sq:

within = 0.3956

Obs per group:

min =


1

between = 0.8229

avg =

5.7

overall = 0.7533

max =

6


F(12.3174) =

173.10

corr(u_i, Xb) = 0.4153

Prob > F =

0.0000


ILLIQ

Coef.

Std. Err.

t P>|t|


[95% Conf.

Interval]

FreeFloat

State State2

Pcs


TYPE KH NO TM


VSGR

Size LnKLGD RATE

beta

_cons

-.7152112

.1347221

-5.31 0.000


-.9793625

-.4510599

-1.37957

.5222627

-2.64 0.008


-2.403577

-.3555638

1.461757

.8530648

1.71 0.087


-.2108574

3.134371

-1.169707

.303263

-3.86 0.000


-1.764318

-.5750959


-.1804323


.1120728


-1.61 0.108



-.4001747


.0393101

-.0248737

.0940128

-0.26 0.791


-.2092058

.1594583

-.07113

.100436

-0.71 0.479


-.2680561

.1257961

-.564821

.1846644

-3.06 0.002


-.9268946

-.2027473

-1.005451

.0480254

-20.94 0.000


-1.099615

-.9112873

-.6924955

.027826

-24.89 0.000


-.7470543

-.6379367

27.69059

6.23916

4.44 0.000


15.4574

39.92379

-.8879764

.0689269

-12.88 0.000


-1.023122

-.7528306

18.58697

1.442843

12.88 0.000


15.75797

21.41597

sigma_u

1.4285818






sigma_e

1.1457258






Rho

.60856583

(fraction

of variance due

big

u_i)


F test that all u_i=0: F(675, 3174) = 6.01 Prob > F = 0.0000


LM12


Cross-sectional time-series FGLS regression


Coefficients: generalized least squares Panels: heteroskedastic Correlation: no autocorrelation


Estimated covariances =

675

Number of obs

=

3,859

Estimated autocorrelations =

0

Number of groups

=

675

Estimated coefficients =

13

Obs per group:

min


=


1



avg

=

5.717037



max

=

6



Wald chi2(12)

=

14849.77



Prob > chi2

=

0.0000


LM12

Coef.

Std. Err.

z

P>|z|

[95% Conf.

Interval]

FreeFloat

State State2

Pcs


TYPE KH NO TM


VSGR

Size LnKLGD RATE

beta

_cons

-1.177798

.150322

-7.84

0.000

-1.472424

-.8831724

-.482508

.3912019

-1.23

0.217

-1.24925

.2842337

1.52299

.6044916

2.52

0.012

.3382078

2.707771

.4225092

.2995921

1.41

0.158

-.1646804

1.009699


.0395072


.1773937


0.22


0.824


-.3081782


.3871925

.2122154

.1527293

1.39

0.165

-.0871286

.5115593

.0431223

.1532464

0.28

0.778

-.257235

.3434797

.9716444

.2560899

3.79

0.000

.4697175

1.473571

-.5556265

.0263015

-21.13

0.000

-.6071764

-.5040766

-1.120389

.0202516

-55.32

0.000

-1.160081

-1.080696

96.52975

9.198995

10.49

0.000

78.50005

114.5595

-1.38047

.1005029

-13.74

0.000

-1.577452

-1.183488

27.04736

.9627378

28.09

0.000

25.16043

28.93429


15. Single threshold model testing for State variable (SHNN) to ILLIQ


Estimating the threshold parameters: 1st ...... Done Boostrap for single threshold

................................................................ + 50

................................................................ + 100

................................................................ + 150

................................................................ + 200

................................................................ + 250

................................................................ + 300


Threshold estimator (level = 95):


model

Threshold

Lower

Upper

Th-1

0.1172

0.1086

0.1182


Threshold effect test (bootstrap = 300):


Threshold

RSS

MSE

Fstat

Prob

Crit10

Crit5

Crit1

Single

3195.3190

0.9103

18.12

0.0067

12.4859

14.7117

17.3733



Fixed-effects (within) regression

Number of

obs

=

3516

Group variable: MCT

Number of

groups

=

586

R-sq: within

=

0.4707

Obs

per

group:

min

=

6

between

=

0.8831




avg

=

6.0

overall

=

0.8205




max

=

6




F(9.2921)

=

288.62

corr(u_i, Xb)

=

-0.0099

Prob > F

=

0.0000



ILLIQ

Coef.

Std. Err.

t P>|t|


[95% Conf.

Interval]

FreeFloat

Pcs VSGR

Size LnKLGD

RATE

beta


_cat#c.State

0

1


_cons

-.620751

.1304679

-4.76 0.000


-.8765693

-.3649327

-1.230067

.258319

-4.76 0.000


-1.736573

-.723561

-.5557324

.1784122

-3.11 0.002


-.9055587

-.205906

-.8738004

.0448899

-19.47 0.000


-.9618195

-.7857812

-.5738247

.0190805

-30.07 0.000


-.6112373

-.5364122

23.43216

5.920509

3.96 0.000


11.82337

35.04096

-.9494014

.0663996

-14.30 0.000


-1.079596

-.8192067


-.4961964


.1677672


-2.96 0.003



-.8251503


-.1672425

.4756421

.2721826

1.75 0.081


-.0580472

1.009331

23.6156

1.305721

18.09 0.000


21.05537

26.17582

sigma_u

1.0603911






sigma_e

1.0459028






Rho

.50687824

(fraction

of variance due

big

u_i)


F test that all u_i=0: F(585, 2921) = 5.07 Prob > F = 0.0000


16. Results of testing the two-threshold model of the State ownership variable to ILLIQ


Bootstrap for single threshold

Estimating the threshold parameters: 1st ......

2nd

......

Done

................................................................ +

50



................................................................ +

100



................................................................ +

150



................................................................ +

200



................................................................ +

250



................................................................ +

300



Boostrap for double threshold model:




................................................................ +

50



................................................................ +

100



................................................................ +

150



................................................................ +

200



................................................................ +

250



................................................................ +


Threshold estimator (level = 95):

300




model

Threshold

Lower

Upper

Th-1

0.1172

0.1086

0.1182

Th-21

0.1172

0.1068

0.1182

Th-22

0.0753

0.0747

0.0760


Threshold effect test (bootstrap = 300 300):


Threshold

RSS

MSE

Fstat

Prob

Crit10

Crit5

Crit1

Single

3195.3190

0.9103

18.12

0.0300

13.5278

16.4116

21.0258

Double

3190.4297

0.9090

5.38

0.6833

12.8906

15.7972

21.0711


Fixed-effects (within) regression

Number of

obs

=

3516

Group variable: MCT

Number of

groups

=

586

R-sq: within = 0.4715

Obs per group: min =

6

between = 0.8834

avg =

6.0

overall = 0.8209

max =

6


F(10,2920)

=

260.52

corr(u_i, Xb) = -0.0050

Prob > F

=

0.0000


ILLIQ

Coef.

Std. Err.

t P>|t|


[95% Conf.

Interval]

FreeFloat

Pcs VSGR

Size LnKLGD RATE

beta


_cat#c.State

0

1

2


_cons

-.6086557

.1305156

-4.66 0.000


-.8645677

-.3527437

-1.185702

.259016

-4.58 0.000


-1.693574

-.6778293

-.5162092

.1792823

-2.88 0.004


-.8677418

-.1646765

-.870363

.0448927

-19.39 0.000


-.9583875

-.7823385

-.5739863

.0190693

-30.10 0.000


-.6113769

-.5365956

23.72828

5.918646

4.01 0.000


12.12314

35.33342

-.9548297

.0664097

-14.38 0.000


-1.085044

-.8246151


-.3955294


.17429


-2.27 0.023



-.7372731


-.0537857

-.8242331

.2283847

-3.61 0.000


-1.272044

-.3764218

.360816

.2773839

1.30 0.193


-.1830719

.9047038

23.49667

1.306156

17.99 0.000


20.93559

26.05775

sigma_u sigma_e

Rho

1.05896

1.0452813

.5065003


(fraction


of variance due


big


u_i)


F test that all u_i=0: F(585, 2920) = 5.07 Prob > F = 0.0000

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