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Kết Quả Kiểm Định Breusch – Godfrey (Bg)



R-squared

0.351080

Mean dependent var

0.000767

Adjusted R-squared

0.341809

S.D. dependent var

0.076303

S.E. of regression

0.061904

Akaike info criterion

-2.699081

Sum squared resid

0.268247

Schwarz criterion

-2.635840

Log likelihood

99.16691

Hannan-Quinn criter.

-2.673904

F-statistic

37.87148

Durbin-Watson stat

1.878047

Prob(F-statistic)

0.000000



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Kiểm định mô hình tài sản vốn - CAPM trên thị trường chứng khoán Việt Nam - 18


8. Kết quả kiểm định tính dừng chuỗi SM


Null Hypothesis: SM has a unit root Exogenous: Constant

Lag Length: 0 (Automatic - based on SIC, maxlag=11)





t-Statistic


Prob.*


Augmented Dickey-Fuller test statistic


-6.554498


0.0000

Test critical values: 1% level

-3.524233


5% level

-2.902358


10% level

-2.588587


*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(SM)

Method: Least Squares


Date: 12/24/18 Time: 19:27


Sample (adjusted): 2012M08 2018M07 Included observations: 72 after adjustments


Variable

Coefficient

Std. Error

t-Statistic

Prob.


SM(-1)


-0.761412


0.116166


-6.554498


0.0000


C 0.002557 0.004890 0.522950 0.6027



R-squared

0.380320

Mean dependent var

-5.48E-05

Adjusted R-squared

0.371467

S.D. dependent var

0.052168

S.E. of regression

0.041359

Akaike info criterion

-3.505681

Sum squared resid

0.119738

Schwarz criterion

-3.442440

Log likelihood

128.2045

Hannan-Quinn criter.

-3.480505

F-statistic

42.96144

Durbin-Watson stat

1.943164

Prob(F-statistic)

0.000000




9. Kết quả kiểm định tính dừng chuỗi SL


Null Hypothesis: SL has a unit root Exogenous: Constant

Lag Length: 0 (Automatic - based on SIC, maxlag=11)





t-Statistic


Prob.*


Augmented Dickey-Fuller test statistic


-6.428231


0.0000

Test critical values: 1% level

-3.524233


5% level

-2.902358


10% level

-2.588587


*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(SL)

Method: Least Squares


Date: 12/24/18 Time: 19:27


Sample (adjusted): 2012M08 2018M07 Included observations: 72 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.



SL(-1)

-0.746043

0.116057

-6.428231

0.0000

C

0.003878

0.004860

0.797985

0.4276


R-squared


0.371194


Mean dependent var


-0.000303

Adjusted R-squared

0.362211

S.D. dependent var

0.051168

S.E. of regression

0.040864

Akaike info criterion

-3.529757

Sum squared resid

0.116890

Schwarz criterion

-3.466516

Log likelihood

129.0712

Hannan-Quinn criter.

-3.504581

F-statistic

41.32215

Durbin-Watson stat

2.032090

Prob(F-statistic)

0.000000




10. Kết quả kiểm định tính dừng chuỗi BH


Null Hypothesis: BH has a unit root Exogenous: Constant

Lag Length: 1 (Automatic - based on SIC, maxlag=11)





t-Statistic


Prob.*


Augmented Dickey-Fuller test statistic


-7.880366


0.0000

Test critical values: 1% level

-3.525618


5% level

-2.902953


10% level

-2.588902


*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(BH)

Method: Least Squares


Date: 12/24/18 Time: 19:08


Sample (adjusted): 2012M09 2018M07 Included observations: 71 after adjustments


Variable Coefficient Std. Error t-Statistic Prob.



BH(-1)

-1.231986

0.156336

-7.880366

0.0000

D(BH(-1))

0.311513

0.114257

2.726411

0.0081

C

-0.003765

0.016948

-0.222180

0.8248


R-squared


0.525349


Mean dependent var


0.002095

Adjusted R-squared

0.511389

S.D. dependent var

0.204068

S.E. of regression

0.142645

Akaike info criterion

-1.015584

Sum squared resid

1.383632

Schwarz criterion

-0.919978

Log likelihood

39.05323

Hannan-Quinn criter.

-0.977564

F-statistic

37.63162

Durbin-Watson stat

1.973351

Prob(F-statistic)

0.000000




11. Kết quả kiểm định tính dừng chuỗi BM


Null Hypothesis: BM has a unit root Exogenous: Constant

Lag Length: 0 (Automatic - based on SIC, maxlag=11)





t-Statistic


Prob.*


Augmented Dickey-Fuller test statistic


-6.642903


0.0000

Test critical values: 1% level

-3.524233


5% level

-2.902358


10% level

-2.588587


*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(BM)

Method: Least Squares


Date: 12/24/18 Time: 19:18


Sample (adjusted): 2012M08 2018M07


Included observations: 72 after adjustments



Variable

Coefficient

Std. Error t-Statistic

Prob.


BM(-1)


-0.771072


0.116075 -6.642903


0.0000

C

0.000414

0.008193 0.050485

0.9599


R-squared


0.386654


Mean dependent var


0.000684

Adjusted R-squared

0.377892

S.D. dependent var

0.088144

S.E. of regression

0.069522

Akaike info criterion

-2.466949

Sum squared resid

0.338336

Schwarz criterion

-2.403708

Log likelihood

90.81016

Hannan-Quinn criter.

-2.441772

F-statistic

44.12816

Durbin-Watson stat

1.997861

Prob(F-statistic)

0.000000




12. Kết quả kiểm định tính dừng chuỗi BL


Null Hypothesis: BL has a unit root Exogenous: Constant

Lag Length: 0 (Automatic - based on SIC, maxlag=11)





t-Statistic


Prob.*


Augmented Dickey-Fuller test statistic


-7.319946


0.0000

Test critical values: 1% level

-3.524233


5% level

-2.902358


10% level

-2.588587


*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(BL)

Method: Least Squares


Date: 12/24/18 Time: 19:10


Sample (adjusted): 2012M08 2018M07 Included observations: 72 after adjustments


Variable

Coefficient

Std. Error t-Statistic

Prob.


BL(-1)


-0.865279


0.118208 -7.319946


0.0000

C

0.003655

0.005904 0.619034

0.5379


R-squared


0.433573


Mean dependent var


0.000565

Adjusted R-squared

0.425481

S.D. dependent var

0.065925

S.E. of regression

0.049969

Akaike info criterion

-3.127447

Sum squared resid

0.174782

Schwarz criterion

-3.064206

Log likelihood

114.5881

Hannan-Quinn criter.

-3.102270

F-statistic

53.58161

Durbin-Watson stat

2.014602

Prob(F-statistic)

0.000000




Phụ lục 12: Kết quả kiểm định Breusch – Godfrey (BG)


1. Kiểm định BG của danh mục S


Breusch-Godfrey Serial Correlation LM Test:



F-statistic

3.724893

Prob. F(2,69)

0.0291

Obs*R-squared

7.113615

Prob. Chi-Square(2)

0.0285


Test Equation:





Dependent Variable: RESID Method: Least Squares

Date: 12/26/18 Time: 12:32 Sample: 2012M07 2018M07

Included observations: 73


Presample missing value lagged residuals set to zero.



Variable

Coefficient

Std. Error t-Statistic

Prob.


C


-8.82E-06


0.004378 -0.002014


0.9984

RM

0.002626

0.083172 0.031569

0.9749

RESID(-1)

0.324579

0.119485 2.716486

0.0083

RESID(-2)

-0.123888

0.119796 -1.034155

0.3047


R-squared


0.097447


Mean dependent var


-2.35E-18

Adjusted R-squared

0.058205

S.D. dependent var

0.038230

S.E. of regression

0.037101

Akaike info criterion

-3.697117

Sum squared resid

0.094977

Schwarz criterion

-3.571612

Log likelihood

138.9448

Hannan-Quinn criter.

-3.647101

F-statistic

2.483262

Durbin-Watson stat

1.962513

Prob(F-statistic)

0.068021




2. Kiểm định BG của danh mục B


Breusch-Godfrey Serial Correlation LM Test:



F-statistic

0.776378

Prob. F(2,69)

0.4640

Obs*R-squared

1.606616

Prob. Chi-Square(2)

0.4478


Test Equation:





Dependent Variable: RESID Method: Least Squares

Date: 12/26/18 Time: 12:14 Sample: 2012M07 2018M07

Included observations: 73


Presample missing value lagged residuals set to zero.



Variable

Coefficient

Std. Error

t-Statistic

Prob.


C


7.60E-05


0.003005


0.025298


0.9799


RM

-0.002622

0.057163

-0.045872

0.9635

RESID(-1)

0.150238

0.121573

1.235784

0.2207

RESID(-2)

-0.045154

0.123755

-0.364863

0.7163


R-squared


0.022008


Mean dependent var


1.14E-18

Adjusted R-squared

-0.020513

S.D. dependent var

0.025209

S.E. of regression

0.025467

Akaike info criterion

-4.449656

Sum squared resid

0.044750

Schwarz criterion

-4.324152

Log likelihood

166.4125

Hannan-Quinn criter.

-4.399640

F-statistic

0.517585

Durbin-Watson stat

1.956177

Prob(F-statistic)

0.671562




3. Kiểm định BG của danh mục H


Breusch-Godfrey Serial Correlation LM Test:



F-statistic

4.353991

Prob. F(2,69)

0.0166

Obs*R-squared

8.180404

Prob. Chi-Square(2)

0.0167


Test Equation:





Dependent Variable: RESID Method: Least Squares

Date: 12/26/18 Time: 12:26 Sample: 2012M07 2018M07

Included observations: 73


Presample missing value lagged residuals set to zero.



Variable

Coefficient

Std. Error

t-Statistic

Prob.


C


-4.17E-05


0.006522


-0.006398


0.9949

RM

0.012224

0.123987

0.098592

0.9217

RESID(-1)

0.322359

0.117781

2.736934

0.0079

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