Phát triển thị trường vốn Việt Nam - 24

i

i

SS(res)

Ri1

Ri2

Ri3

Rm1

Rm2

Rm3

ARi1

ARi2

ARi3

VAR(res)

CARi

VAR(CAR)

VNM

1

1.2085

0.00138

0.032964

-0.0056

-0.028

0.0465

0.0212

-0.0074

0.026717

-0.0326

-

0.0207

0.0128

0.000568

2

0.8415

-0.00244

0.024559

0.04082

0.049

0.0467

-

0.0009

-0.017

-0.02771

0.04399

0.0657

0.0725

0.000423

3

0.7775

-0.00044

0.010666

0.04734

0

-0.017

0.046

0.02076

-0.02242

0.01199

- 0.0157

0.0009

0.000184

4

1.073

0.00449

0.014998

-0.0235

0.0181

0

-

0.0129

0.00694

-0.00372

-0.0142

0.0061

-5E-04

0.000259

AR(bquan)

0.00231

0.0089

0.0214

0.0326

0.0002689

STB

VAR(bquan)

9E-05

9E-05

9E-05

5

0.7444

-0.00084

0.017107

-0.0156

-0.035

0.0164

0.0052

-0.0306

0.009682

-0.0186

-

0.0112

0.01

0.000295

6

1.124

0.0033

0.023717

-0.0278

0.0444

0.0304

-0.019

0.02031

0.015033

-0.0097

0.0183

0.0102

0.000409

7

1.0797

0.00203

0.020677

0.02538

0.0396

0.0476

0.0064

0.01875

0.046669

0.0164

0.0173

-0.005

0.000357

8

1.1072

-0.00085

0.011341

0.00606

-0.024

0

-

0.0089

-0.029

0.01375

0.01681

0.0089

-0.014

0.000196

AR(bquan)

0.00124

0.0083

0.0003

0.0098

0.0002355

DPM

VAR(bquan)

7.8E-05

8E-05

8E-05

9

0.969

-0.0047

0.010637

0.04691

-0.038

-

0.0123

0.0335

-0.0012

-0.03747

0.01915

-

0.0319

0.0288

0.000183

10

1.0867

-0.00223

0.01428

-0.05

0

0

-

0.0143

-0.0107

-0.01338

-0.0322

0.0138

0.0168

0.000246

11

1.3074

6.1E-05

0.008639

0.01671

0.0493

0.0496

0.0188

0.04667

0.043607

-0.0079

-

0.0118

-0.007

0.000149

12

1.2099

-0.00349

0.018575

-0.0351

-0.039

-

0.0063

-

0.0188

-0.0297

-0.00894

-0.0089

9E-06

0.008

0.00032

AR(bquan)

-0.0075

-

0.0075

0.0115

-

0.0034

0.0001685

HPG

VAR(bquan)

5.6E-05

6E-05

6E-05

1.0827

-0.00154

0.014219

0.02041

0.02

0.0458

0.0156

0.00308

0.009087

0.00506

0.0182

0.0375

0.000245

14

1.1003

0.00012

0.016252

0.00935

0.0185

0.0364

0.0086

0.00732

0.035091

-0.0002

0.0103

-0.002

0.00028

15

1.2588

0.00195

0.011026

-0.0462

0.0484

0.0487

-

0.0456

-0.0192

0.029063

0.00936

0.0706

0.0102

0.00019

16

1.2663

0.00109

0.010926

-0.02

-0.034

-

0.0387

-

0.0297

-0.0089

-0.02901

0.0165

-

0.0238

-0.003

0.000188

AR(bquan)

0.00767

0.0188

0.0105

0.0371

0.0001695

PVD

VAR(bquan)

5.6E-05

6E-05

6E-05

17

0.7207

-0.0004

0.023929

0.02174

-0.021

0.0544

0.0052

-0.0306

0.009682

0.01842

0.0012

0.0478

0.000413

18

0.8247

-0.00145

0.032664

0.01325

0.0458

0.0375

0.0351

0.04724

0.032988

-0.0142

0.0082

0.0117

0.000563

19

1.0619

-0.00227

0.01737

-0.0075

-0.045

0.0476

- 0.0207

-0.0168

0.01223

0.01672

- 0.0253

0.0369

0.000299

20

0.8897

0.00101

0.034114

-0.0142

0

-

0.0072

-

0.0297

-0.0089

-0.02901

0.01122

0.0069

0.0176

0.000588

AR(bquan)

0.00803

-

0.0022

0.0285

0.0343

0.0003494

FPT

VAR(bquan)

0.00012

0.0001

0.0001

21

0.7004

-9.2E-05

0.010229

0

0.0061

0.0422

-

0.0013

0.00552

0.026067

0.00102

0.0023

0.024

0.000176

22

0.9779

0.0007

0.017831

0

-0.021

0.0213

-

0.0111

-0.0368

0.008598

0.01013

0.0145

0.0122

0.000307

23

1.2652

0.00075

0.012529

0.00909

0.045

0.0431

0.0188

0.04667

0.043607

-0.0154

-

0.0148

-0.013

0.000216

24

1.798

-0.00089

0.083615

-0.0396

-0.039

0.0193

-

0.0188

-0.0297

-0.00894

-0.005

0.0151

0.0363

0.001442

AR(bquan)

-0.0023

0.0043

0.0149

0.0169

0.0004015

SSI

VAR(bquan)

0.00013

0.0001

0.0001

25

0.9959

0.00289

0.021771

0.04615

0.049

- 0.0467

0.0031

0.00909

-0.01349

0.04019

0.0371

-0.036

0.000375

26

1.2715

0.00057

0.031573

0.02564

0

-0.025

0.0203

0.01503

-0.01107

-0.0008

-

0.0197

-0.011

0.000544

27

1.2167

0.00514

0.026327

-0.0476

-0.045

-

0.0496

0.0291

-0.0207

-0.01681

-0.0881

-

0.0247

-0.034

0.000454

28

1.3864

0.00263

0.029553

0

-0.014

-

0.0034

-

0.0037

-0.007

-0.00931

0.00253

-

0.0066

0.0068

0.00051

AR(bquan)

-0.0115

-

0.0035

-0.019

-

0.0338

0.0003531

VAR(bquan)

0.00012

0.0001

0.0001

29

0.7253

-0.00376

0.011283

0.04906

0.0468

0.0481

0.0267

0.01937

-0.0127

0.03344

0.0365

0.0611

0.000195

30

0.9426

-0.00585

0.02643

0

0.0182

-

0.0179

-

0.0134

0.03286

0.002507

0.01846

-

0.0069

-0.014

0.000456

31

1.0765

0.00595

0.02887

-0.0468

0.0316

-

0.0476

-

0.0224

0.01353

-0.02832

-0.0286

0.0111

-0.023

0.000498

32

1.3738

0.00018

0.032222

0.00575

0.0171

-

0.0225

-

0.0057

-0.008

-0.03393

0.01343

0.028

0.024

0.000556

AR(bquan)

0.00917

0.0171

0.0119

0.0382

0.0003194

ITA

VAR(bquan)

0.00011

0.0001

0.0001

33

1.3486

-0.00048

0.035886

-0.0477

0.0475

0.0479

-

0.0039

0.03351

-0.00119

-0.042

0.0028

0.0499

0.000619

34

1.1398

0.00216

0.055109

0.04899

-0.014

-

0.0028

0.0329

0.00251

0.018507

0.00938

-

0.0188

-0.026

0.00095

35

1.1217

0.00395

0.056946

0.04762

0.0101

0.05

0.0392

0.00651

0.018377

-0.0003

-

0.0012

0.0254

0.000982

36

1.3494

0.00005

0.017909

-0.041

0.0085

-

0.0339

-

0.0297

-0.0089

-0.02901

-0.001

0.0206

0.0052

0.000309

AR(bquan)

-0.0085

0.0009

0.0136

0.006

0.0005362

VPL

VAR(bquan)

0.00018

0.0002

0.0002

37

0.6348

-0.00411

0.023278

-0.0435

0.0455

0.0435

-

0.0206

0.00516

-0.03062

-0.0263

0.0463

0.067

0.000401

38

0.9023

4.9E-05

0.043699

0.04965

-0.041

0.0423

-

0.0143

-0.0107

-0.01338

0.06253

-0.031

0.0543

0.000753

39

0.9303

-0.00201

0.036011

0.04208

-0.05

0.0324

0.0122

0.00644

0.018751

0.03271

-0.054

0.017

0.000621

40

0.5256

-0.00714

0.04789

-0.044

-0.048

-

0.0484

-

0.0188

-0.0297

-0.00894

-0.027

-

0.0254

-0.037

0.000826

AR(bquan)

0.01049

-0.016

0.0254

0.0199

0.0004878

VIC

VAR(bquan)

0.00016

0.0002

0.0002

41

0.9222

0.00387

0.030081

0

-0.024

0.0241

0.0052

-0.0306

0.009682

-0.0086

0.0008

0.0113

0.000519

42

0.9224

0.00565

0.046543

0.04839

0.0481

0.0183

0.033

-0.0143

-0.01067

0.01231

0.0556

0.0225

0.000802

43

1.1558

-0.01147

0.045695

0.05

-0.013

-

0.0254

0.0291

-0.0207

-0.01681

0.02788

0.0229

0.0055

0.000788

44

0.6335

0.00246

0.01867

0.0125

-0.037

-

0.0449

-

0.0188

-0.0299

-0.00894

0.02193

-

0.0206

-0.042

0.000322

AR(bquan)

0.01337

0.0147

-6E-04

0.0275

0.0004558

VSH

VAR(bquan)

0.00015

0.0002

0.0002

0.9854

-0.00272

0.031608

-0.0103

0

-

0.0234

-

0.0135

-0.0103

-0.02061

0.00573

0.0129

-4E-04

0.000545

46

0.965

-0.0022

0.029769

0.04748

0.0198

-

0.0278

0.0472

0.03299

-0.01433

0.00409

-

0.0098

-0.012

0.000513

47

0.7138

0.00075

0.026307

0.01014

0.0468

0.0479

0.0188

0.04667

0.043607

-0.004

0.0128

0.016

0.000454

48

0.9801

0.00192

0.018158

0.02837

-0.034

-

0.0143

-

0.0188

-0.0297

-0.00894

0.04485

-

0.0073

-0.007

0.000313

AR(bquan)

0.01267

0.0021

-9E-04

0.0139

0.0003422

SJS

VAR(bquan)

0.00011

0.0001

0.0001

49

0.8468

0.00662

0.057456

0.0051

0

0.0051

-

0.0103

-0.0206

0.005161

0.00721

0.0108

-0.006

0.000991

50

0.8516

0.00623

0.053196

0

-0.009

0.0467

-

0.0107

-0.0134

0.032861

0.00286

-

0.0041

0.0125

0.000917

51

1.2696

-0.0014

0.013613

0.02703

0.0439

0.042

0.0188

0.04667

0.043607

0.00462

-0.014

-0.012

0.000235

52

1.236

0.00247

0.049374

-0.0455

-0.038

-

0.0139

-

0.0188

-0.0297

-0.00894

-0.0247

-

0.0039

-0.005

0.000851

AR(bquan)

-0.0025

-

0.0028

-0.003

-0.008

0.0005613

KDC

VAR(bquan)

0.00019

0.0002

0.0002

53

0.6733

0.00951

0.043358

-0.0099

-0.05

-

0.0105

0.0091

-0.0135

-0.02061

-0.0255

-

0.0504

-0.006

0.000748

54

1.0207

0.00102

0.023249

0.00211

0.0316

-

0.0389

-

0.0143

-0.0107

-0.01338

0.01572

0.0415

-0.026

0.000401

55

0.7624

0.00184

0.045346

0.02034

0.0498

0.0411

0.0188

0.04667

0.043607

0.00421

0.0124

0.0061

0.000782

56

0.8332

-0.00207

0.040929

-0.0476

-0.036

-

0.0472

-

0.0057

-0.008

-0.03393

-0.0408

-

0.0276

-0.017

0.000706

AR(bquan)

-0.0116

-0.006

-0.011

-

0.0284

0.0004942

REE

VAR(bquan)

0.00016

0.0002

0.0002

57

1.1823

-0.00055

0.031852

-0.0261

-0.018

-

0.0364

-

0.0206

0.00516

-0.03062

-0.0012

-

0.0234

0.0004

0.000549

58

1.2389

-0.00182

0.024928

0.0485

-0.007

-

0.0244

-

0.0143

-0.0107

-0.01338

0.06807

0.0084

-0.006

0.00043

59

1.1805

0.00404

0.035905

0.04682

0.0479

0.0488

0.0188

0.04667

0.043607

0.02064

-

0.0112

-0.007

0.000619

60

1.1685

-0.00026

0.018268

-0.0455

-0.038

0.0099

-

0.0188

-0.0297

-0.00894

-0.0233

-

0.0032

0.0206

0.000315

AR(bquan)

0.01607

-

0.0073

0.0021

0.0108

0.0003587

GMD

VAR(bquan)

0.00012

0.0001

0.0001

61

1.0088

0.0059

0.055668

-0.0266

-0.027

- 0.0112

- 0.0206

0.00516

-0.03062

-0.0117

- 0.0384

0.0137

0.00096

62

1.1142

-0.001

0.031686

0.04464

0.0171

-

0.0336

0.0185

0.00986

0.000312

0.02502

0.0071

-0.033

0.000546

63

1.1744

0.00206

0.04233

0.0483

0.0488

0.0491

0.0188

0.04667

0.043607

0.02421

-

0.0081

-0.004

0.00073

64

1.3278

-0.00211

0.027425

-0.05

0.0474

-0.005

-

0.0349

0.0375

-0.00737

-0.0015

-

0.0003

0.0069

0.000473

AR(bquan)

0.009

-

0.0099

-0.004

-

0.0051

0.0005079

PVT

VAR(bquan)

0.00017

0.0002

0.0002

65

1.0635

-0.00398

0.034575

-0.0274

-0.042

-

0.0392

-

0.0135

-0.0103

-0.02061

-0.0091

-

0.0273

-0.013

0.000596

66

1.0312

-0.00204

0.044061

-0.0398

0

-

0.0415

-

0.0134

0.03286

0.002507

-0.024

-

0.0318

-0.042

0.00076

67

1.2345

-0.00109

0.020677

0.02532

0.0494

0.0471

0.0188

0.04667

0.043607

0.00326

-

0.0071

-0.006

0.000357

68

1.2459

0.00312

0.019228

0

-0.007

-

0.0397

-

0.0057

-0.008

-0.03393

0.00401

0.0003

-6E-04

0.000332

AR(bquan)

-0.0064

-

0.0165

-0.015

-

0.0383

0.0003832

DHG

VAR(bquan)

0.00013

0.0001

0.0001

69

0.4882

0.00412

0.033217

0

0.0242

-

0.0296

-

0.0206

0.00516

-0.03062

0.00594

0.0176

-0.019

0.000573

70

0.7505

-0.00221

0.03479

-0.0252

0

-

0.0086

-

0.0143

-0.0107

-0.01338

-0.0122

0.0102

0.0036

0.0006

71

0.6324

-0.0031

0.032184

0

0.0455

0.0435

0.0018

0.02571

0.023647

0.00198

0.0323

0.0316

0.000555

72

0.6977

0.00284

0.030516

0

-0.009

0

-

0.0089

-0.029

0.01375

0.00339

0.0084

-0.012

0.000526

AR(bquan)

-0.0002

0.0171

0.001

0.0179

0.0004225

BMI

VAR(bquan)

0.00014

0.0001

0.0001

73

1.2222

-0.00441

0.028471

0.01931

0.0227

-

0.0444

0.0041

-0.0046

0.002529

0.01872

0.0327

-0.043

0.000491

74

1.2599

-0.00046

0.044302

0.04727

0.0486

0.0232

0.0472

0.03299

-0.01433

-0.0118

0.0075

0.0417

0.000764

1.027

0.00405

0.044604

-0.0244

0.025

0.0488

0.0122

0.00644

0.018751

-0.041

0.0143

0.0255

0.000769

76

1.1731

-0.00155

0.035274

0

0

0.0424

-

0.0074

0.01324

0.007813

0.0102

-0.014

0.0348

0.000608

AR(bquan)

-0.006

0.0102

0.0147

0.0189

0.0004935

DPR

VAR(bquan)

0.00016

0.0002

0.0002

77

1.1386

-0.00032

0.022606

-0.0303

0.0469

0.0448

0.0031

0.00909

-0.01349

-0.0335

0.0368

0.0605

0.00039

78

1.0772

-0.00054

0.031927

-0.0398

0.0244

0.031

-

0.0368

0.0086

0.007324

0.0004

0.0157

0.0236

0.00055

79

1.0413

0.00038

0.036585

0.04965

-0.032

0.0488

-

0.0097

-0.004

0.035594

0.0594

-

0.0278

0.0114

0.000631

80

0.8862

-0.00183

0.047707

-0.0097

0.0098

-0.029

0.0069

-0.0188

-0.02968

-0.014

0.0282

-9E-04

0.000823

AR(bquan)

0.00308

0.0132

0.0236

0.04

0.0004488

MPC

VAR(bquan)

0.00015

0.0001

0.0001

81

1.3965

0.00538

0.046416

0.04816

0.0378

-

0.0495

0.0335

-0.0012

-0.03747

-0.004

0.0341

-0.003

0.0008

82

0.9011

0.00341

0.036417

-0.0297

0.0153

0.0038

0.0129

0.00677

-0.01363

-0.0448

0.0058

0.0126

0.000628

83

0.6943

0.00438

0.034256

0.03125

0.0485

0.0462

0.0184

0.02419

-0.00974

0.01411

0.0273

0.0486

0.000591

84

0.9459

0.0023

0.029228

-0.0192

-0.02

0.02

-

0.0339

-0.0303

-0.00094

0.01056

0.0068

0.0186

0.000504

AR(bquan)

-0.006

0.0185

0.0193

0.0318

0.000473

SAM

VAR(bquan)

0.00016

0.0002

0.0002

85

1.0929

-0.00134

0.030696

-0.0389

-0.041

-

0.0422

-

0.0135

-0.0103

-0.02061

-0.0228

-

0.0279

-0.018

0.000529

86

1.1356

2.3E-05

0.047148

0.04912

0.0468

0.0479

0.0351

0.04724

0.032988

0.00925

-

0.0068

0.0104

0.000813

87

1.0085

0.00688

0.033721

-0.0463

-0.049

0.0459

-

0.0168

0.01223

0.006439

-0.0362

-

0.0678

0.0325

0.000581

88

1.2746

9.1E-05

0.010042

-0.0472

0.0083

0.0082

-

0.0005

-0.0057

-0.00801

-0.0467

0.0155

0.0183

0.000173

AR(bquan)

-0.0241

-

0.0218

0.0107

-

0.0352

0.0003931

CII

VAR(bquan)

0.00013

0.0001

0.0001

89

0.7902

0.00504

0.034258

0.04615

0.0441

0

0.0212

-0.0074

0.026717

0.0244

0.0449

-0.026

0.000591

90

1.1771

-0.00173

0.030372

-0.0361

-0.003

-

0.0075

-

0.0143

-0.0107

-0.01338

-0.0175

0.0118

0.01

0.000524

91

1.1881

0.00166

0.033967

0.02333

0.0489

0.0497

0.0188

0.04667

0.043607

-0.0006

-

0.0083

-0.004

0.000586

1.0129

0.00333

0.028095

-0.0485

0.0392

0.0189

-

0.0129

0.00694

-0.00372

-0.0388

0.0289

0.0193

0.000484

AR(bquan)

-0.0081

0.0193

-2E-04

0.011

0.0004096

TDH

VAR(bquan)

0.00014

0.0001

0.0001

93

1.1718

0.0026

0.038449

0

-0.017

-

0.0437

0.0031

0.00909

-0.01349

-0.0062

-

0.0305

-0.03

0.000663

94

1.1224

0.00197

0.016869

0.04861

-0.033

-

0.0137

0.033

-0.0143

-0.01067

0.00962

-0.019

-0.004

0.000291

95

1.0808

0.00444

0.015579

0.01896

0.0233

0.0136

0.0122

0.00644

0.018751

0.0013

0.0119

-0.011

0.000269

96

1.2719

0.00449

0.034249

0.00946

-0.006

-

0.0063

0.0036

0.00694

-0.01877

0.0004

-

0.0196

0.0131

0.000591

AR(bquan)

0.00127

-

0.0143

-0.008

-

0.0211

0.0003399

TRC

VAR(bquan)

0.00011

0.0001

0.0001

97

1.0119

0.00205

0.029126

0.03597

0.0347

0

0.0178

0.02115

-0.00742

0.01596

0.0113

0.0055

0.000502

98

0.8855

0.00342

0.036931

-0.0192

-0.02

0

-

0.0143

-0.0107

-0.01338

-0.01

-

0.0136

0.0084

0.000637

99

0.9871

0.00281

0.037196

-0.0276

0.0496

0.0101

-

0.0168

0.01223

0.006439

-0.0138

0.0348

0.001

0.000641

100

1.2115

-0.00288

0.049476

-0.0043

-0.013

0.0173

0.0069

-0.0188

-0.02968

-0.0098

0.0128

0.0562

0.000853

AR(bquan)

-0.0044

0.0113

0.0178

0.0247

0.0004937

VAR(bquan)