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

Method: Least Squares

Included observations: 73

Variable

Coefficient

Std. SS

0.660679

Prob. Chi-Square(2)

0.7187

Test Equation:

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Dependent Variable: RESID^2 Method: Least Squares

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

Included observations: 73

Variable

Coefficient

Std. SS

1.765794

Prob. Chi-Square(2)

0.4136

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares

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

Included observations: 73

Variable Coefficient Std. Error t-Statistic Prob.

0.003605	0.000930	3.875117	0.0002
RM^2	-0.151416	0.180975	-0.836666	0.4056
RM	0.010234	0.016131	0.634462	0.5278
R-squared	0.011995	Mean dependent var		0.003253
Adjusted R-squared	-0.016233	S.D. dependent var		0.006764
S.E. of regression	0.006819	Akaike info criterion		-7.098099
Sum squared resid	0.003255	Schwarz criterion		-7.003970
Log likelihood	262.0806	Hannan-Quinn criter.		-7.060587
F-statistic	0.424932	Durbin-Watson stat		1.729941
Prob(F-statistic)	0.655489

4. Kiểm định White của danh mục M

Heteroskedasticity Test: White

F-statistic

0.247844	Prob. F(2,70)	0.7812
Obs*R-squared	0.513297	Prob. Chi-Square(2)	0.7736
Scaled explained SS	0.649382	Prob. Chi-Square(2)	0.7228
Test Equation:

Dependent Variable: RESID^2 Method: Least Squares

Included observations: 73
Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	0.001007	0.000222	4.536096	0.0000
RM^2	-0.016838	0.043176	-0.389999	0.6977
RM	0.002617	0.003848	0.680135	0.4987

Date: 12/26/18 Time: 12:30 Sample: 2012M07 2018M07

R-squared

0.007031	Mean dependent var	0.000977
Adjusted R-squared	-0.021339	S.D. dependent var	0.001610
S.E. of regression	0.001627	Akaike info criterion	-9.964264
Sum squared resid	0.000185	Schwarz criterion	-9.870136
Log likelihood	366.6956	Hannan-Quinn criter.	-9.926752
F-statistic	0.247844	Durbin-Watson stat	1.949522
Prob(F-statistic)	0.781164

5. Kiểm định White của danh mục L

Heteroskedasticity Test: White

F-statistic

0.105464	Prob. F(2,70)	0.9000
Obs*R-squared	0.219306	Prob. Chi-Square(2)	0.8961
Scaled explained SS	0.200295	Prob. Chi-Square(2)	0.9047
Test Equation:

Dependent Variable: RESID^2 Method: Least Squares

Included observations: 73
Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	0.000671	0.000128	5.254601	0.0000
RM^2	-0.001602	0.024825	-0.064514	0.9487
RM	-0.000908	0.002213	-0.410168	0.6829
R-squared	0.003004	Mean dependent var		0.000660
Adjusted R-squared	-0.025481	S.D. dependent var		0.000924
S.E. of regression	0.000935	Akaike info criterion		-11.07108

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

Sum squared resid

6.12E-05	Schwarz criterion	-10.97695
Log likelihood	407.0944	Hannan-Quinn criter.	-11.03357
F-statistic	0.105464	Durbin-Watson stat	2.159603
Prob(F-statistic)	0.900050

6. Kiểm định White của danh mục SH

Heteroskedasticity Test: White

F-statistic

0.432838	Prob. F(2,70)	0.6504
Obs*R-squared	0.891749	Prob. Chi-Square(2)	0.6403
Scaled explained SS	1.849521	Prob. Chi-Square(2)	0.3966
Test Equation:

Dependent Variable: RESID^2 Method: Least Squares

Included observations: 73
Variable	Coefficient	Std. Error t-Statistic	Prob.
C	0.003615	0.000944 3.830010	0.0003
RM^2	-0.154994	0.183605 -0.844170	0.4015
RM	0.010486	0.016365 0.640757	0.5238
R-squared	0.012216	Mean dependent var	0.003255
Adjusted R-squared	-0.016007	S.D. dependent var	0.006863
S.E. of regression	0.006918	Akaike info criterion	-7.069241
Sum squared resid	0.003350	Schwarz criterion	-6.975113
Log likelihood	261.0273	Hannan-Quinn criter.	-7.031729
F-statistic	0.432838	Durbin-Watson stat	1.732355
Prob(F-statistic)	0.650390

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

7. Kiểm định White của danh mục SM

Heteroskedasticity Test: White

F-statistic

0.248343	Prob. F(2,70)	0.7808
Obs*R-squared	0.514323	Prob. Chi-Square(2)	0.7732
Scaled explained SS	0.638663	Prob. Chi-Square(2)	0.7266
Test Equation:

Dependent Variable: RESID^2 Method: Least Squares

Included observations: 73
Variable	Coefficient	Std. Error t-Statistic	Prob.
C	0.001078	0.000232 4.654073	0.0000
RM^2	-0.023389	0.045064 -0.519030	0.6054
RM	0.002481	0.004017 0.617760	0.5387
R-squared	0.007046	Mean dependent var	0.001030
Adjusted R-squared	-0.021325	S.D. dependent var	0.001680
S.E. of regression	0.001698	Akaike info criterion	-9.878661
Sum squared resid	0.000202	Schwarz criterion	-9.784532
Log likelihood	363.5711	Hannan-Quinn criter.	-9.841149
F-statistic	0.248343	Durbin-Watson stat	1.913293
Prob(F-statistic)	0.780777

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

8. Kiểm định White của danh mục SL

Heteroskedasticity Test: White

F-statistic

1.463537	Prob. F(2,70)	0.2384
Obs*R-squared	2.930000	Prob. Chi-Square(2)	0.2311
Scaled explained SS	2.385683	Prob. Chi-Square(2)	0.3034
Test Equation:

Dependent Variable: RESID^2 Method: Least Squares

Included observations: 73
Variable	Coefficient	Std. Error t-Statistic	Prob.
C	0.001062	0.000210 5.055306	0.0000
RM^2	0.029200	0.040848 0.714850	0.4771
RM	0.004529	0.003641 1.243931	0.2177
R-squared	0.040137	Mean dependent var	0.001172
Adjusted R-squared	0.012712	S.D. dependent var	0.001549
S.E. of regression	0.001539	Akaike info criterion	-10.07511
Sum squared resid	0.000166	Schwarz criterion	-9.980986
Log likelihood	370.7417	Hannan-Quinn criter.	-10.03760
F-statistic	1.463537	Durbin-Watson stat	2.104901
Prob(F-statistic)	0.238410

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

9. Kiểm định White của danh mục BH

Heteroskedasticity Test: White

F-statistic

19.07433	Prob. F(2,70)	0.0000
Obs*R-squared	25.75023	Prob. Chi-Square(2)	0.0000

Scaled explained SS 81.41881 Prob. Chi-Square(2) 0.0000

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares

Included observations: 73

Variable

Coefficient

Std. SS

1.875360

Prob. Chi-Square(2)

0.3915

Test Equation:

Dependent Variable: RESID^2