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Kiểm định mô hình tài sản vốn - CAPM trên thị trường chứng khoán Việt Nam - 19


RESID(-2) -0.211011 0.117729 -1.792336 0.0775



R-squared

0.112060

Mean dependent var

1.73E-18

Adjusted R-squared

0.073454

S.D. dependent var

0.057432

S.E. of regression

0.055283

Akaike info criterion

-2.899480

Sum squared resid

0.210876

Schwarz criterion

-2.773975

Log likelihood

109.8310

Hannan-Quinn criter.

-2.849464

F-statistic

2.902661

Durbin-Watson stat

1.913080

Prob(F-statistic)

0.040947



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Kiểm định mô hình tài sản vốn - CAPM trên thị trường chứng khoán Việt Nam - 19


4. Kiểm định BG của danh mục M


Breusch-Godfrey Serial Correlation LM Test:



F-statistic

2.278171

Prob. F(2,69)

0.1101

Obs*R-squared

4.521880

Prob. Chi-Square(2)

0.1043


Test Equation:





Dependent Variable: RESID Method: Least Squares

Date: 12/26/18 Time: 12:29 Sample: 2012M07 2018M07

Included observations: 73


Presample missing value lagged residuals set to zero.



Variable

Coefficient

Std. Error

t-Statistic

Prob.


C


-2.59E-05


0.003676


-0.007049


0.9944

RM

-0.001819

0.069938

-0.026007

0.9793

RESID(-1)

0.253473

0.120449

2.104405

0.0390

RESID(-2)

-0.020592

0.121144

-0.169983

0.8655


R-squared


0.061944


Mean dependent var


6.18E-19


Adjusted R-squared

0.021158

S.D. dependent var

0.031480

S.E. of regression

0.031146

Akaike info criterion

-4.047053

Sum squared resid

0.066933

Schwarz criterion

-3.921549

Log likelihood

151.7174

Hannan-Quinn criter.

-3.997038

F-statistic

1.518780

Durbin-Watson stat

1.994922

Prob(F-statistic)

0.217356




5. Kiểm định BG của danh mục L


Breusch-Godfrey Serial Correlation LM Test:



F-statistic

1.645568

Prob. F(2,69)

0.2004

Obs*R-squared

3.323409

Prob. Chi-Square(2)

0.1898


Test Equation:





Dependent Variable: RESID Method: Least Squares

Date: 12/26/18 Time: 12:28 Sample: 2012M07 2018M07

Included observations: 73


Presample missing value lagged residuals set to zero.



Variable

Coefficient

Std. Error

t-Statistic

Prob.


C


-5.04E-05


0.003046


-0.016529


0.9869

RM

-0.000733

0.057985

-0.012639

0.9900

RESID(-1)

0.190715

0.120173

1.587005

0.1171

RESID(-2)

0.065718

0.121510

0.540845

0.5904


R-squared


0.045526


Mean dependent var


-6.65E-19

Adjusted R-squared

0.004027

S.D. dependent var

0.025871

S.E. of regression

0.025819

Akaike info criterion

-4.422214


Sum squared resid

0.045995

Schwarz criterion

-4.296709

Log likelihood

165.4108

Hannan-Quinn criter.

-4.372198

F-statistic

1.097046

Durbin-Watson stat

2.024782

Prob(F-statistic)

0.356348




6. Kiểm định BG của danh mục SH


Breusch-Godfrey Serial Correlation LM Test:



F-statistic

4.464397

Prob. F(2,69)

0.0150

Obs*R-squared

8.364070

Prob. Chi-Square(2)

0.0153


Test Equation:





Dependent Variable: RESID Method: Least Squares

Date: 12/26/18 Time: 12:35 Sample: 2012M07 2018M07

Included observations: 73


Presample missing value lagged residuals set to zero.



Variable

Coefficient

Std. Error t-Statistic

Prob.


C


-4.13E-05


0.006514 -0.006340


0.9950

RM

0.012445

0.123840 0.100492

0.9202

RESID(-1)

0.331226

0.117898 2.809430

0.0065

RESID(-2)

-0.206290

0.117851 -1.750432

0.0845


R-squared


0.114576


Mean dependent var


-2.52E-18

Adjusted R-squared

0.076080

S.D. dependent var

0.057446

S.E. of regression

0.055218

Akaike info criterion

-2.901834

Sum squared resid

0.210380

Schwarz criterion

-2.776330

Log likelihood

109.9170

Hannan-Quinn criter.

-2.851819

F-statistic

2.976264

Durbin-Watson stat

1.916665


Prob(F-statistic) 0.037463



7. Kiểm định BG của danh mục SM


Breusch-Godfrey Serial Correlation LM Test:



F-statistic

2.164318

Prob. F(2,69)

0.1226

Obs*R-squared

4.309236

Prob. Chi-Square(2)

0.1159


Test Equation:





Dependent Variable: RESID Method: Least Squares

Date: 12/26/18 Time: 12:37 Sample: 2012M07 2018M07

Included observations: 73


Presample missing value lagged residuals set to zero.



Variable

Coefficient

Std. Error t-Statistic

Prob.


C


-4.32E-05


0.003778 -0.011431


0.9909

RM

0.000166

0.071840 0.002312

0.9982

RESID(-1)

0.250136

0.120447 2.076733

0.0416

RESID(-2)

-0.044128

0.120982 -0.364748

0.7164


R-squared


0.059031


Mean dependent var


-1.33E-18

Adjusted R-squared

0.018119

S.D. dependent var

0.032312

S.E. of regression

0.032018

Akaike info criterion

-3.991824

Sum squared resid

0.070734

Schwarz criterion

-3.866319

Log likelihood

149.7016

Hannan-Quinn criter.

-3.941808

F-statistic

1.442878

Durbin-Watson stat

1.995789

Prob(F-statistic)

0.237837



8. Kiểm định BG của danh mục SL


Breusch-Godfrey Serial Correlation LM Test:



F-statistic

2.515735

Prob. F(2,69)

0.0882

Obs*R-squared

4.961367

Prob. Chi-Square(2)

0.0837


Test Equation:





Dependent Variable: RESID Method: Least Squares

Date: 12/26/18 Time: 12:34 Sample: 2012M07 2018M07

Included observations: 73


Presample missing value lagged residuals set to zero.



Variable

Coefficient

Std. Error t-Statistic

Prob.


C


-0.000179


0.004013 -0.044543


0.9646

RM

-0.005303

0.076245 -0.069554

0.9447

RESID(-1)

0.189511

0.119321 1.588243

0.1168

RESID(-2)

0.147566

0.120946 1.220104

0.2266


R-squared


0.067964


Mean dependent var


-4.18E-18

Adjusted R-squared

0.027441

S.D. dependent var

0.034477

S.E. of regression

0.034001

Akaike info criterion

-3.871622

Sum squared resid

0.079768

Schwarz criterion

-3.746117

Log likelihood

145.3142

Hannan-Quinn criter.

-3.821606

F-statistic

1.677157

Durbin-Watson stat

2.017634

Prob(F-statistic)

0.179935




9. Kiểm định BG của danh mục BH


Breusch-Godfrey Serial Correlation LM Test:



F-statistic

5.743386

Prob. F(2,69)

0.0049

Obs*R-squared

10.41829

Prob. Chi-Square(2)

0.0055


Test Equation:





Dependent Variable: RESID Method: Least Squares

Date: 12/26/18 Time: 12:17 Sample: 2012M07 2018M07

Included observations: 73


Presample missing value lagged residuals set to zero.



Variable

Coefficient

Std. Error t-Statistic

Prob.


C


-0.000202


0.013155 -0.015393


0.9878

RM

-0.010940

0.250861 -0.043610

0.9653

RESID(-1)

-0.005785

0.111962 -0.051665

0.9589

RESID(-2)

-0.378111

0.111568 -3.389047

0.0012


R-squared


0.142716


Mean dependent var


7.89E-18

Adjusted R-squared

0.105443

S.D. dependent var

0.117892

S.E. of regression

0.111504

Akaike info criterion

-1.496278

Sum squared resid

0.857885

Schwarz criterion

-1.370773

Log likelihood

58.61415

Hannan-Quinn criter.

-1.446262

F-statistic

3.828924

Durbin-Watson stat

1.908306

Prob(F-statistic)

0.013460




10. Kiểm định BG của danh mục BM


Breusch-Godfrey Serial Correlation LM Test:



F-statistic

2.436955

Prob. F(2,69)

0.0949

Obs*R-squared

4.816252

Prob. Chi-Square(2)

0.0900


Test Equation:


Dependent Variable: RESID Method: Least Squares

Date: 12/26/18 Time: 12:21 Sample: 2012M07 2018M07

Included observations: 73


Presample missing value lagged residuals set to zero.



Variable

Coefficient

Std. Error t-Statistic

Prob.


C


0.000157


0.005073 0.031013


0.9753

RM

-0.015381

0.097909 -0.157096

0.8756

RESID(-1)

0.226268

0.121791 1.857838

0.0675

RESID(-2)

0.079941

0.122157 0.654415

0.5150


R-squared


0.065976


Mean dependent var


1.24E-18

Adjusted R-squared

0.025366

S.D. dependent var

0.043534

S.E. of regression

0.042978

Akaike info criterion

-3.403010

Sum squared resid

0.127452

Schwarz criterion

-3.277505

Log likelihood

128.2099

Hannan-Quinn criter.

-3.352994

F-statistic

1.624637

Durbin-Watson stat

2.002347

Prob(F-statistic)

0.191596




11. Kiểm định BG của danh mục BL


Breusch-Godfrey Serial Correlation LM Test:



F-statistic

0.750066

Prob. F(2,69)

0.4761

Obs*R-squared

1.553326

Prob. Chi-Square(2)

0.4599


Test Equation:





Dependent Variable: RESID


Method: Least Squares


Date: 12/26/18 Time: 12:20 Sample: 2012M07 2018M07

Included observations: 73


Presample missing value lagged residuals set to zero.



Variable

Coefficient

Std. SS

0.779307

Prob. Chi-Square(2)

0.6773


Test Equation:





Dependent Variable: RESID^2

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