8. Kết quả kiểm định mô hình với biến phụ thuộc ILLIQ robust, cluster - ngành
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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(Std. Err. adjusted for 25 clusters in NGANH)
Coef. | Robust Std. Err. | t P>|t| | [95% Conf. | Interval] | ||
FreeFloat State Pcs TYPE KH KO 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 | to | u_i) |
9. Kết quả kiểm định mô hình với biến phụ thuộc LM12 robust, cluster - ngành
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)
Coef. | Robust Std. Err. | t P>|t| | [95% Conf. | Interval] | ||
FreeFloat State Pcs TYPE KH KO 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 | to | u_i) |
10. Kiểm định sự khác biệt của hình thức trả cổ tức tác động tới TKCCP ILLIQ
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. Kiểm định tác động phi tuyến của Pcs – tỷ lệ chi trả cổ tức trên mệnh giá 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)
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 | to | u_i) |
LM12
Cross-sectional time-series FGLS regression
Coefficients: generalized least squares Panels: heteroskedastic Correlation: no autocorrelation
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 |
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. Kiểm định mô hình đơn ngưỡng cho biến Pcs với biến phụ thuộc ILLIQ
Estimating the threshold parameters: 1st ...... Done Boostrap for single threshold
.................................................. + 50
.................................................. + 100
.................................................. + 150
.................................................. + 200
.................................................. + 250
.................................................. + 300
Threshold estimator (level = 95):
Threshold | Lower | Upper | |
Th-1 | 0.8703 | 0.8555 | 0.8827 |
Threshold effect test (bootstrap = 300):
RSS | MSE | Fstat | Prob | Crit10 | Crit5 | Crit1 | |
Single | 3747.1417 | 1.0676 | 14.19 | 0.0533 | 12.4647 | 15.5979 | 21.5468 |
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 |
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 | to | u_i) |
F test that all u_i=0: F(585, 2920) = 8.38 Prob > F = 0.0000
13. Kiểm định mô hình hai ngưỡng cho biến Pcs với biến phụ thuộc ILLIQ
2nd | ...... | Done | |
.................................................. + | 50 | ||
.................................................. + | 100 | ||
.................................................. + | 150 | ||
.................................................. + | 200 | ||
.................................................. + | 250 | ||
.................................................. + | 300 | ||
Boostrap for double threshold model: | |||
.................................................. + | 50 | ||
.................................................. + | 100 | ||
.................................................. + | 150 | ||
.................................................. + | 200 | ||
.................................................. + | 250 | ||
.................................................. + Threshold estimator (level = 95): | 300 |
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):
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 |
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 |
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 | to | u_i) |
F test that all u_i=0: F(585, 2919) = 8.11 Prob > F = 0.0000
14. Kết quả kiểm định tác động phi tuyến của sở hữu Nhà nước đến TKCCP ILLIQ
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 |
Coef. | Std. Err. | t P>|t| | [95% Conf. | Interval] | ||
FreeFloat State State2 Pcs TYPE KH KO 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 | to | 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
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 |
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
FreeFloat State State2 Pcs TYPE KH KO 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. Kiểm định mô hình đơn ngưỡng cho biến State (SHNN) đến ILLIQ
Estimating the threshold parameters: 1st ...... Done Boostrap for single threshold
.................................................. + 50
.................................................. + 100
.................................................. + 150
.................................................. + 200
.................................................. + 250
.................................................. + 300
Threshold estimator (level = 95):
Threshold | Lower | Upper | |
Th-1 | 0.1172 | 0.1086 | 0.1182 |
Threshold effect test (bootstrap = 300):
RSS | MSE | Fstat | Prob | Crit10 | Crit5 | Crit1 | |
Single | 3195.3190 | 0.9103 | 18.12 | 0.0067 | 12.4859 | 14.7117 | 17.3733 |
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 |
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 | to | u_i) |
F test that all u_i=0: F(585, 2921) = 5.07 Prob > F = 0.0000
16. Kết quả kiểm định mô hình hai ngưỡng của biến sở hữu Nhà nước đến ILLIQ
2nd | ...... | Done | |
.................................................. + | 50 | ||
.................................................. + | 100 | ||
.................................................. + | 150 | ||
.................................................. + | 200 | ||
.................................................. + | 250 | ||
.................................................. + | 300 | ||
Boostrap for double threshold model: | |||
.................................................. + | 50 | ||
.................................................. + | 100 | ||
.................................................. + | 150 | ||
.................................................. + | 200 | ||
.................................................. + | 250 | ||
.................................................. + Threshold estimator (level = 95): | 300 |
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):
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 |
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 |
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 | to | u_i) |
F test that all u_i=0: F(585, 2920) = 5.07 Prob > F = 0.0000