Đề tài Mối quan hệ giữa lí thuyết bất cân xứng thông tin và lí thuyết thị trường hiệu quả trên thị trường chứng khoán Việt Nam
MỤC LỤC CHưƠNG 1: GIỚI THIỆU . 6 1. Vấn đề nghiên cứu . 6 2. Mục tiêu - câu hỏi nghiên cứu . 8 3. Phạm vi nghiên cứu . 10 CHưƠNG 2 : SƠ LưỢC CÁC LÍ THUYẾT VÀ MÔ HÌNH TRONG QUÁ KHỨ . 11 1. Thị trường hiệu quả . 11 1.1.Khái niệm thị trường hiệu quả . 11 1.2. Phân loại thị trường hiệu quả . 11 2. Bất cân xứng thông tin (Asymetric information) . 12 2.1. Khái niệm về thông tin bất cân xứng . 12 2.2. Hệ quả bất cân xứng thông tin . 13 2.2.1. Chi phí lựa chọn bất lợi . 13 2.2.2. Tâm lí ỷ lại . 14 3. Các mô hình kiểm định . 14 3.1 Thị trường hiệu quả . 14 3.1.1. Các giả định của giáo sư Fama trong nghiên cứu thị trường hiệu quả . 14 3.1.2. Mô hình hóa lí thuyết thị trường hiệu quả . 15 3.1.3. Phương pháp kiểm định thị trường hiệu quả dạng yếu. 16 3.1.4. Kiểm định thị trường hiệu quả dạng vừa . 18 3.1.5. Kiểm định thị trường hiệu quả dạng mạnh . 19 4.2. Các nghiên cứu đo lường thông tin bất cân xứng . 20 4.2.1 Mô hình Glosten và Harris (1988). 20 4.2.2 Mô hình George Kaul và Nimalendran (1991) . 21 4.2.3 Mô hình Roger D.Huang và Hans R.Stoll (1997) . 21 4.2.4. Ness, B.F.V., Ness, R.A.V., và R.A. Warr (2001) . 23 CHưƠNG 3: THỰC TRẠNG CÔNG BỐ THÔNG TIN TRÊN THỊ TRưỜNG CHỨNG KHOÁN VÀ TÍNH HIỆU QUẢ CỦA THỊ TRưỜNG TẠI VIỆT NAM . 25 1. Lỗ hổng trong công bố thông tin . 25 1.1. Hệ thống hỗ trợ trong việc công bố thông tin . 25 1.1.1. Hệ thống pháp luật qui định . 25 1.1.2. Các kênh cung cấp thông tin ra công chúng . 26 1.2. Thực tế về thông tin trên thị trường . 26 2. Tính kém hiệu quả của thị trường . 27 CHưƠNG 4: KIỂM ĐỊNH THỰC NGHIỆM . 29 1. Mô hình lựa chọn . 29 1.1. Mô hình đo lường chi phí lựa chọn bất lợi . 29 1.2. Mô hình kiểm định thị trường hiệu quả . 30 1.3. Một số giả định trong khi tiến hành hành ước lượng chi phí lựa chọn bất lợi và kiểm định thị trường hiệu quả trên thị trường Việt Nam . 31 2. Các bước tiến hành ước lượng chi phí lựa chọn bất lợi và kiểm định thị trường hiệu quả. 31 2.1. ước lượng chi phí lựa chọn bất lợi . 31 2.2. Kiểm định thị trường hiệu quả . 33 3. Kết quả và giải thích kết quả . 34 3.1. Đo lường chi phí lựa chọn bất lợi . 34 3.2. Kiểm định thị trường hiệu quả với 9 chứng khoán . 36 4. Các biện pháp hạn chế bất cân xứng thông tin. 37 CHưƠNG 5: KẾT LUẬN . 39 PHỤ LỤC
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832 -0.026734 0.9787
DMC1 0.063994 0.022197 2.883023 0.0043
DMC2 1.93E-08 7.85E-08 0.245978 0.8059
DMC3 0.481090 0.031458 15.29307 0.0000
DMC4 5.42E-07 1.30E-07 4.173901 0.0000
R-squared 0.723519 Mean dependent var 0.026693
Adjusted R-squared 0.719023 S.D. dependent var 0.640722
S.E. of regression 0.339629 Akaike info criterion 0.697793
Sum squared resid 28.37557 Schwarz criterion 0.768022
Log likelihood -82.57308 F-statistic 160.9384
Durbin-Watson stat 1.574060 Prob(F-statistic) 0.000000
Dependent Variable: DPM
Method: Least Squares
Date: 06/14/10 Time: 16:06
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
46
C -0.018787 0.041427 -0.453494 0.6506
DPM1 0.054587 0.042315 1.290015 0.1983
DPM2 1.03E-07 4.88E-08 2.104899 0.0363
DPM3 0.515764 0.074467 6.926089 0.0000
DPM4 4.71E-07 9.27E-08 5.082664 0.0000
R-squared 0.666320 Mean dependent var -0.001992
Adjusted R-squared 0.660894 S.D. dependent var 1.110656
S.E. of regression 0.646766 Akaike info criterion 1.986055
Sum squared resid 102.9034 Schwarz criterion 2.056283
Log likelihood -244.2499 F-statistic 122.8081
Durbin-Watson stat 1.985916 Prob(F-statistic) 0.000000
Dependent Variable: DPR
Method: Least Squares
Date: 06/14/10 Time: 16:06
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.017785 0.051571 -0.344863 0.7305
DPR1 0.129815 0.051923 2.500131 0.0131
DPR2 6.35E-07 4.47E-07 1.419921 0.1569
DPR3 0.901324 0.087336 10.32017 0.0000
DPR4 3.69E-06 7.31E-07 5.041146 0.0000
R-squared 0.703771 Mean dependent var 0.117131
Adjusted R-squared 0.698954 S.D. dependent var 1.454093
S.E. of regression 0.797827 Akaike info criterion 2.405869
Sum squared resid 156.5858 Schwarz criterion 2.476097
Log likelihood -296.9365 F-statistic 146.1094
Durbin-Watson stat 1.911493 Prob(F-statistic) 0.000000
Dependent Variable: DQC
Method: Least Squares
Date: 06/14/10 Time: 16:06
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C 0.010422 0.031488 0.330993 0.7409
DQC1 0.093074 0.033515 2.777096 0.0059
DQC2 6.85E-08 7.43E-08 0.921785 0.3575
DQC3 0.656317 0.045967 14.27808 0.0000
DQC4 3.39E-07 1.31E-07 2.585413 0.0103
R-squared 0.690869 Mean dependent var 0.072112
Adjusted R-squared 0.685842 S.D. dependent var 0.870275
S.E. of regression 0.487787 Akaike info criterion 1.421844
Sum squared resid 58.53235 Schwarz criterion 1.492073
Log likelihood -173.4415 F-statistic 137.4447
Durbin-Watson stat 1.306723 Prob(F-statistic) 0.000000
Dependent Variable: DRC
Method: Least Squares
Date: 06/14/10 Time: 16:07
Sample: 1 251
Included observations: 251
47
Variable Coefficient Std. Error t-Statistic Prob.
C -0.214121 0.129572 -1.652523 0.0997
DRC1 0.488739 0.135044 3.619111 0.0004
DRC2 -1.85E-07 3.86E-07 -0.479808 0.6318
DRC3 1.575854 0.203369 7.748746 0.0000
DRC4 4.50E-06 6.61E-07 6.804440 0.0000
R-squared 0.625076 Mean dependent var 0.418725
Adjusted R-squared 0.618979 S.D. dependent var 3.168420
S.E. of regression 1.955767 Akaike info criterion 4.199161
Sum squared resid 940.9557 Schwarz criterion 4.269389
Log likelihood -521.9947 F-statistic 102.5331
Durbin-Watson stat 1.483282 Prob(F-statistic) 0.000000
Dependent Variable: DTT
Method: Least Squares
Date: 06/14/10 Time: 16:07
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.017034 0.018582 -0.916709 0.3602
DTT1 -0.002239 0.018960 -0.118100 0.9061
DTT2 6.95E-08 2.67E-07 0.259982 0.7951
DTT3 0.279883 0.027543 10.16178 0.0000
DTT4 2.05E-06 4.02E-07 5.096108 0.0000
R-squared 0.647539 Mean dependent var 0.006375
Adjusted R-squared 0.641808 S.D. dependent var 0.484189
S.E. of regression 0.289783 Akaike info criterion 0.380351
Sum squared resid 20.65767 Schwarz criterion 0.450580
Log likelihood -42.73411 F-statistic 112.9874
Durbin-Watson stat 2.141783 Prob(F-statistic) 0.000000
Dependent Variable: DXV
Method: Least Squares
Date: 06/14/10 Time: 16:07
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C 0.010796 0.012689 0.850822 0.3957
DXV1 0.021620 0.012488 1.731215 0.0847
DXV2 2.40E-07 1.02E-07 2.361725 0.0190
DXV3 0.244680 0.018829 12.99478 0.0000
DXV4 5.21E-07 1.59E-07 3.287188 0.0012
R-squared 0.702171 Mean dependent var 0.011952
Adjusted R-squared 0.697328 S.D. dependent var 0.351933
S.E. of regression 0.193618 Akaike info criterion -0.426140
Sum squared resid 9.222027 Schwarz criterion -0.355912
Log likelihood 58.48062 F-statistic 144.9942
Durbin-Watson stat 1.774358 Prob(F-statistic) 0.000000
Dependent Variable: FBT
Method: Least Squares
Date: 06/14/10 Time: 16:08
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.033973 0.020104 -1.689879 0.0923
48
FBT1 0.016834 0.021177 0.794951 0.4274
FBT2 -1.27E-07 2.31E-07 -0.552082 0.5814
FBT3 0.349532 0.030593 11.42510 0.0000
FBT4 1.62E-06 3.08E-07 5.263591 0.0000
R-squared 0.668617 Mean dependent var -0.016733
Adjusted R-squared 0.663228 S.D. dependent var 0.546808
S.E. of regression 0.317324 Akaike info criterion 0.561931
Sum squared resid 24.77082 Schwarz criterion 0.632159
Log likelihood -65.52237 F-statistic 124.0856
Durbin-Watson stat 1.576700 Prob(F-statistic) 0.000000
Dependent Variable: FMC
Method: Least Squares
Date: 06/14/10 Time: 16:08
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.058975 0.019384 -3.042454 0.0026
FMC1 0.065617 0.019217 3.414439 0.0007
FMC2 6.09E-09 2.20E-07 0.027607 0.9780
FMC3 0.361327 0.029492 12.25172 0.0000
FMC4 2.39E-06 2.94E-07 8.129390 0.0000
R-squared 0.724365 Mean dependent var 0.015936
Adjusted R-squared 0.719883 S.D. dependent var 0.560772
S.E. of regression 0.296795 Akaike info criterion 0.428167
Sum squared resid 21.66943 Schwarz criterion 0.498395
Log likelihood -48.73497 F-statistic 161.6208
Durbin-Watson stat 1.414837 Prob(F-statistic) 0.000000
Dependent Variable: FPT
Method: Least Squares
Date: 06/14/10 Time: 16:09
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C 0.021419 0.066911 0.320121 0.7491
FPT1 0.030861 0.071943 0.428965 0.6683
FPT2 3.16E-07 1.09E-07 2.907446 0.0040
FPT3 1.137270 0.116943 9.725027 0.0000
FPT4 3.29E-07 1.96E-07 1.677022 0.0948
R-squared 0.650696 Mean dependent var 0.115538
Adjusted R-squared 0.645017 S.D. dependent var 1.770751
S.E. of regression 1.055022 Akaike info criterion 2.964719
Sum squared resid 273.8154 Schwarz criterion 3.034947
Log likelihood -367.0722 F-statistic 114.5646
Durbin-Watson stat 1.810103 Prob(F-statistic) 0.000000
Dependent Variable: GIL
Method: Least Squares
Date: 06/14/10 Time: 16:09
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.005437 0.030857 -0.176200 0.8603
GIL1 0.034379 0.031739 1.083170 0.2798
GIL2 -7.73E-08 1.82E-07 -0.424983 0.6712
GIL3 0.390404 0.049599 7.871127 0.0000
49
GIL4 2.08E-06 2.98E-07 6.988569 0.0000
R-squared 0.658711 Mean dependent var 0.082470
Adjusted R-squared 0.653162 S.D. dependent var 0.813985
S.E. of regression 0.479380 Akaike info criterion 1.387072
Sum squared resid 56.53204 Schwarz criterion 1.457300
Log likelihood -169.0776 F-statistic 118.6994
Durbin-Watson stat 1.871756 Prob(F-statistic) 0.000000
Dependent Variable: GMC
Method: Least Squares
Date: 06/14/10 Time: 16:09
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.133845 0.081263 -1.647063 0.1008
GMC1 0.006035 0.085169 0.070858 0.9436
GMC2 -1.21E-07 4.39E-07 -0.275459 0.7832
GMC3 0.725523 0.109151 6.646978 0.0000
GMC4 1.38E-06 6.10E-07 2.253937 0.0251
R-squared 0.340669 Mean dependent var 0.056972
Adjusted R-squared 0.329948 S.D. dependent var 1.492616
S.E. of regression 1.221806 Akaike info criterion 3.258256
Sum squared resid 367.2311 Schwarz criterion 3.328484
Log likelihood -403.9112 F-statistic 31.77635
Durbin-Watson stat 1.849605 Prob(F-statistic) 0.000000
Dependent Variable: GMD
Method: Least Squares
Date: 06/14/10 Time: 16:10
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.037694 0.067195 -0.560961 0.5753
GMD1 0.213953 0.069201 3.091761 0.0022
GMD2 2.64E-08 8.54E-08 0.309166 0.7575
GMD3 1.140170 0.106326 10.72329 0.0000
GMD4 1.36E-06 1.45E-07 9.341488 0.0000
R-squared 0.772719 Mean dependent var 0.187251
Adjusted R-squared 0.769024 S.D. dependent var 2.188423
S.E. of regression 1.051756 Akaike info criterion 2.958518
Sum squared resid 272.1228 Schwarz criterion 3.028746
Log likelihood -366.2940 F-statistic 209.0907
Durbin-Watson stat 1.633083 Prob(F-statistic) 0.000000
Dependent Variable: GTA
Method: Least Squares
Date: 06/14/10 Time: 16:10
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.037318 0.013060 -2.857400 0.0046
GTA1 0.023005 0.013184 1.744882 0.0823
GTA2 3.01E-07 1.63E-07 1.848312 0.0658
GTA3 0.275709 0.019711 13.98763 0.0000
50
GTA4 1.01E-06 2.26E-07 4.496755 0.0000
R-squared 0.730383 Mean dependent var 0.008765
Adjusted R-squared 0.725999 S.D. dependent var 0.383879
S.E. of regression 0.200942 Akaike info criterion -0.351883
Sum squared resid 9.932895 Schwarz criterion -0.281655
Log likelihood 49.16135 F-statistic 166.6011
Durbin-Watson stat 1.690774 Prob(F-statistic) 0.000000
Dependent Variable: HAG
Method: Least Squares
Date: 06/14/10 Time: 16:10
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.227331 0.150202 -1.513499 0.1314
HAG1 0.244842 0.152957 1.600731 0.1107
HAG2 2.40E-07 1.58E-07 1.519295 0.1300
HAG3 1.134959 0.245803 4.617357 0.0000
HAG4 1.26E-06 2.66E-07 4.755084 0.0000
R-squared 0.478582 Mean dependent var 0.071713
Adjusted R-squared 0.470104 S.D. dependent var 3.195114
S.E. of regression 2.325850 Akaike info criterion 4.545768
Sum squared resid 1330.756 Schwarz criterion 4.615996
Log likelihood -565.4938 F-statistic 56.44767
Durbin-Watson stat 1.899278 Prob(F-statistic) 0.000000
Dependent Variable: HAI
Method: Least Squares
Date: 06/14/10 Time: 16:11
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.024612 0.043374 -0.567447 0.5709
HAI1 0.058759 0.042441 1.384501 0.1675
HAI2 1.48E-06 7.27E-07 2.034426 0.0430
HAI3 0.666002 0.058776 11.33119 0.0000
HAI4 3.69E-06 1.07E-06 3.456327 0.0006
R-squared 0.579444 Mean dependent var 0.077291
Adjusted R-squared 0.572606 S.D. dependent var 1.017685
S.E. of regression 0.665315 Akaike info criterion 2.042608
Sum squared resid 108.8905 Schwarz criterion 2.112836
Log likelihood -251.3472 F-statistic 84.73512
Durbin-Watson stat 1.757889 Prob(F-statistic) 0.000000
Dependent Variable: HAP
Method: Least Squares
Date: 06/14/10 Time: 16:11
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.034002 0.025446 -1.336252 0.1827
HAP1 0.032556 0.025331 1.285229 0.1999
HAP2 2.61E-08 9.06E-08 0.287962 0.7736
HAP3 0.371687 0.041891 8.872604 0.0000
HAP4 1.07E-06 1.50E-07 7.171959 0.0000
51
R-squared 0.720887 Mean dependent var 0.023904
Adjusted R-squared 0.716348 S.D. dependent var 0.726902
S.E. of regression 0.387140 Akaike info criterion 0.959661
Sum squared resid 36.86993 Schwarz criterion 1.029889
Log likelihood -115.4375 F-statistic 158.8405
Durbin-Watson stat 1.606119 Prob(F-statistic) 0.000000
Dependent Variable: HAS
Method: Least Squares
Date: 06/14/10 Time: 16:11
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.000569 0.031840 -0.017862 0.9858
HAS1 0.035084 0.032434 1.081721 0.2804
HAS2 -9.13E-08 4.25E-07 -0.215091 0.8299
HAS3 0.429443 0.049167 8.734312 0.0000
HAS4 1.81E-06 5.97E-07 3.035730 0.0027
R-squared 0.517325 Mean dependent var 0.011952
Adjusted R-squared 0.509476 S.D. dependent var 0.707175
S.E. of regression 0.495287 Akaike info criterion 1.452360
Sum squared resid 60.34605 Schwarz criterion 1.522588
Log likelihood -177.2712 F-statistic 65.91489
Durbin-Watson stat 1.555526 Prob(F-statistic) 0.000000
Dependent Variable: HAX
Method: Least Squares
Date: 06/14/10 Time: 16:12
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.021769 0.075623 -0.287865 0.7737
HAX1 0.142121 0.076013 1.869701 0.0627
HAX2 5.24E-06 1.71E-06 3.073936 0.0024
HAX3 0.701159 0.118870 5.898531 0.0000
HAX4 2.05E-06 2.65E-06 0.772746 0.4404
R-squared 0.339512 Mean dependent var 0.011952
Adjusted R-squared 0.328773 S.D. dependent var 1.442975
S.E. of regression 1.182207 Akaike info criterion 3.192363
Sum squared resid 343.8130 Schwarz criterion 3.262591
Log likelihood -395.6415 F-statistic 31.61302
Durbin-Watson stat 1.886224 Prob(F-statistic) 0.000000
Dependent Variable: HBC
Method: Least Squares
Date: 06/14/10 Time: 16:12
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.047031 0.033935 -1.385910 0.1670
HBC1 0.067408 0.034522 1.952621 0.0520
HBC2 -1.36E-07 1.15E-07 -1.188690 0.2357
HBC3 0.598038 0.053313 11.21755 0.0000
52
HBC4 1.44E-06 1.92E-07 7.516190 0.0000
R-squared 0.738757 Mean dependent var 0.070120
Adjusted R-squared 0.734509 S.D. dependent var 1.017420
S.E. of regression 0.524234 Akaike info criterion 1.565963
Sum squared resid 67.60610 Schwarz criterion 1.636191
Log likelihood -191.5284 F-statistic 173.9127
Durbin-Watson stat 1.626933 Prob(F-statistic) 0.000000
Dependent Variable: VNA
Method: Least Squares
Date: 06/14/10 Time: 16:12
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.001157 0.018524 -0.062483 0.9502
VNA1 0.011999 0.018845 0.636690 0.5249
VNA2 1.31E-07 1.06E-07 1.237218 0.2172
VNA3 0.358470 0.028279 12.67596 0.0000
VNA4 8.49E-07 1.71E-07 4.966912 0.0000
R-squared 0.733064 Mean dependent var 0.008367
Adjusted R-squared 0.728724 S.D. dependent var 0.559258
S.E. of regression 0.291285 Akaike info criterion 0.390690
Sum squared resid 20.87235 Schwarz criterion 0.460918
Log likelihood -44.03159 F-statistic 168.8926
Durbin-Watson stat 1.532295 Prob(F-statistic) 0.000000
Dependent Variable: VNE
Method: Least Squares
Date: 06/14/10 Time: 16:13
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C 0.024935 0.015310 1.628659 0.1047
VNE1 0.055318 0.015669 3.530443 0.0005
VNE2 1.21E-08 2.27E-08 0.534406 0.5935
VNE3 0.311895 0.024502 12.72930 0.0000
VNE4 2.03E-07 3.73E-08 5.434846 0.0000
R-squared 0.729148 Mean dependent var 0.025100
Adjusted R-squared 0.724744 S.D. dependent var 0.457698
S.E. of regression 0.240131 Akaike info criterion 0.004453
Sum squared resid 14.18504 Schwarz criterion 0.074681
Log likelihood 4.441190 F-statistic 165.5611
Durbin-Watson stat 1.625432 Prob(F-statistic) 0.000000
Dependent Variable: HDC
Method: Least Squares
Date: 06/14/10 Time: 16:23
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.140977 0.083924 -1.679817 0.0943
HDC1 0.110712 0.119152 0.929164 0.3537
HDC2 -3.14E-06 1.34E-06 -2.335067 0.0203
HDC3 0.773372 0.150940 5.123720 0.0000
HDC4 1.20E-05 1.86E-06 6.431607 0.0000
R-squared 0.586524 Mean dependent var 0.155378
53
Adjusted R-squared 0.579801 S.D. dependent var 1.994854
S.E. of regression 1.293119 Akaike info criterion 3.371711
Sum squared resid 411.3506 Schwarz criterion 3.441939
Log likelihood -418.1497 F-statistic 87.23907
Durbin-Watson stat 1.724135 Prob(F-statistic) 0.000000
Dependent Variable: HLA
Method: Least Squares
Date: 06/14/10 Time: 16:24
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.015861 0.039427 -0.402299 0.6878
HLA1 0.003424 0.055840 0.061326 0.9511
HLA2 -1.82E-07 1.20E-07 -1.520498 0.1297
HLA3 0.568614 0.066959 8.491946 0.0000
HLA4 7.71E-07 1.63E-07 4.730007 0.0000
R-squared 0.624136 Mean dependent var 0.068526
Adjusted R-squared 0.618024 S.D. dependent var 0.997199
S.E. of regression 0.616310 Akaike info criterion 1.889587
Sum squared resid 93.44028 Schwarz criterion 1.959815
Log likelihood -232.1432 F-statistic 102.1230
Durbin-Watson stat 1.820333 Prob(F-statistic) 0.000000
Dependent Variable: HMC
Method: Least Squares
Date: 06/14/10 Time: 16:24
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C 0.001757 0.019769 0.088893 0.9292
HMC1 0.007025 0.025316 0.277497 0.7816
HMC2 -1.45E-07 1.31E-07 -1.105996 0.2698
HMC3 0.390917 0.032874 11.89139 0.0000
HMC4 1.30E-06 1.88E-07 6.906526 0.0000
R-squared 0.769583 Mean dependent var 0.031076
Adjusted R-squared 0.765836 S.D. dependent var 0.637864
S.E. of regression 0.308665 Akaike info criterion 0.506600
Sum squared resid 23.43746 Schwarz criterion 0.576829
Log likelihood -58.57836 F-statistic 205.4074
Durbin-Watson stat 1.522334 Prob(F-statistic) 0.000000
Dependent Variable: HPG
Method: Least Squares
Date: 06/14/10 Time: 16:24
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C 0.086421 0.052798 1.636819 0.1029
HPG1 0.106564 0.086869 1.226722 0.2211
HPG2 7.45E-08 6.29E-08 1.184920 0.2372
HPG3 0.677504 0.112053 6.046288 0.0000
HPG4 3.91E-07 8.23E-08 4.742993 0.0000
R-squared 0.720797 Mean dependent var 0.109562
Adjusted R-squared 0.716257 S.D. dependent var 1.532602
S.E. of regression 0.816379 Akaike info criterion 2.451844
54
Sum squared resid 163.9529 Schwarz criterion 2.522072
Log likelihood -302.7065 F-statistic 158.7696
Durbin-Watson stat 1.724046 Prob(F-statistic) 0.000000
Dependent Variable: HRC
Method: Least Squares
Date: 06/14/10 Time: 16:25
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.017777 0.040225 -0.441938 0.6589
HRC1 -0.052505 0.057740 -0.909336 0.3641
HRC2 1.00E-06 6.44E-07 1.558941 0.1203
HRC3 0.743104 0.075791 9.804634 0.0000
HRC4 3.69E-06 8.19E-07 4.507647 0.0000
R-squared 0.736690 Mean dependent var 0.051793
Adjusted R-squared 0.732409 S.D. dependent var 1.204602
S.E. of regression 0.623131 Akaike info criterion 1.911600
Sum squared resid 95.51998 Schwarz criterion 1.981828
Log likelihood -234.9058 F-statistic 172.0653
Durbin-Watson stat 1.812217 Prob(F-statistic) 0.000000
Dependent Variable: HSG
Method: Least Squares
Date: 06/14/10 Time: 16:25
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.011931 0.046113 -0.258747 0.7960
HSG1 -0.076706 0.081370 -0.942676 0.3468
HSG2 8.66E-08 1.21E-07 0.717549 0.4737
HSG3 0.572247 0.099411 5.756387 0.0000
HSG4 8.80E-07 1.65E-07 5.341829 0.0000
R-squared 0.706967 Mean dependent var 0.124303
Adjusted R-squared 0.702202 S.D. dependent var 1.294545
S.E. of regression 0.706444 Akaike info criterion 2.162574
Sum squared resid 122.7696 Schwarz criterion 2.232802
Log likelihood -266.4031 F-statistic 148.3740
Durbin-Watson stat 1.562268 Prob(F-statistic) 0.000000
Dependent Variable: HSI
Method: Least Squares
Date: 06/14/10 Time: 16:29
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.004328 0.013446 -0.321867 0.7478
HSI1 0.034204 0.016865 2.028084 0.0436
HSI2 8.11E-09 2.80E-07 0.028944 0.9769
HSI3 0.251595 0.021990 11.44115 0.0000
HSI4 9.62E-07 4.13E-07 2.328597 0.0207
R-squared 0.701420 Mean dependent var -0.003984
Adjusted R-squared 0.696565 S.D. dependent var 0.379558
55
S.E. of regression 0.209079 Akaike info criterion -0.272489
Sum squared resid 10.75367 Schwarz criterion -0.202260
Log likelihood 39.19732 F-statistic 144.4749
Durbin-Watson stat 1.802949 Prob(F-statistic) 0.000000
Dependent Variable: HT1
Method: Least Squares
Date: 06/14/10 Time: 16:30
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C 0.005414 0.018247 0.296728 0.7669
HT11 0.053426 0.024387 2.190764 0.0294
HT12 -2.35E-08 1.22E-07 -0.193535 0.8467
HT13 0.276707 0.031531 8.775761 0.0000
HT14 4.82E-07 1.64E-07 2.949845 0.0035
R-squared 0.655417 Mean dependent var -0.007171
Adjusted R-squared 0.649814 S.D. dependent var 0.477272
S.E. of regression 0.282433 Akaike info criterion 0.328966
Sum squared resid 19.62298 Schwarz criterion 0.399194
Log likelihood -36.28522 F-statistic 116.9768
Durbin-Watson stat 1.958779 Prob(F-statistic) 0.000000
Dependent Variable: IFS
Method: Least Squares
Date: 06/14/10 Time: 16:31
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.048701 0.011316 -4.303769 0.0000
IFS1 0.042125 0.013338 3.158312 0.0018
IFS2 -4.02E-07 2.86E-07 -1.409611 0.1599
IFS3 0.180425 0.018121 9.956708 0.0000
IFS4 2.26E-06 3.34E-07 6.765368 0.0000
R-squared 0.743842 Mean dependent var 0.006375
Adjusted R-squared 0.739677 S.D. dependent var 0.330271
S.E. of regression 0.168511 Akaike info criterion -0.703917
Sum squared resid 6.985375 Schwarz criterion -0.633688
Log likelihood 93.34152 F-statistic 178.5863
Durbin-Watson stat 1.586116 Prob(F-statistic) 0.000000
Dependent Variable: HTV
Method: Least Squares
Date: 06/14/10 Time: 16:31
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.015599 0.020945 -0.744746 0.4571
HTV1 0.015453 0.027212 0.567862 0.5706
HTV2 1.02E-07 2.35E-07 0.433783 0.6648
HTV3 0.335379 0.035782 9.372865 0.0000
HTV4 1.47E-06 3.23E-07 4.533423 0.0000
R-squared 0.685537 Mean dependent var 0.051394
Adjusted R-squared 0.680424 S.D. dependent var 0.576358
S.E. of regression 0.325821 Akaike info criterion 0.614783
Sum squared resid 26.11522 Schwarz criterion 0.685011
Log likelihood -72.15526 F-statistic 134.0715
56
Durbin-Watson stat 1.453902 Prob(F-statistic) 0.000000
Dependent Variable: ICF
Method: Least Squares
Date: 06/14/10 Time: 16:32
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C 0.002489 0.015590 0.159625 0.8733
ICF1 0.027408 0.021951 1.248585 0.2130
ICF2 -1.40E-07 1.80E-07 -0.776582 0.4382
ICF3 0.223433 0.028084 7.955751 0.0000
ICF4 1.38E-06 2.06E-07 6.674632 0.0000
R-squared 0.718584 Mean dependent var 0.026295
Adjusted R-squared 0.714008 S.D. dependent var 0.447957
S.E. of regression 0.239560 Akaike info criterion -0.000310
Sum squared resid 14.11764 Schwarz criterion 0.069918
Log likelihood 5.038914 F-statistic 157.0377
Durbin-Watson stat 1.626394 Prob(F-statistic) 0.000000
Dependent Variable: IMP
Method: Least Squares
Date: 06/14/10 Time: 16:32
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.046623 0.071034 -0.656348 0.5122
IMP1 0.209118 0.098821 2.116143 0.0353
IMP2 -2.34E-06 2.96E-06 -0.791010 0.4297
IMP3 0.908223 0.121964 7.446637 0.0000
IMP4 1.52E-05 3.79E-06 4.026599 0.0001
R-squared 0.628858 Mean dependent var 0.051793
Adjusted R-squared 0.622823 S.D. dependent var 1.786177
S.E. of regression 1.096976 Akaike info criterion 3.042711
Sum squared resid 296.0256 Schwarz criterion 3.112939
Log likelihood -376.8602 F-statistic 104.2046
Durbin-Watson stat 1.723915 Prob(F-statistic) 0.000000
Dependent Variable: ITA
Method: Least Squares
Date: 06/14/10 Time: 16:32
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.029049 0.071111 -0.408496 0.6833
ITA1 0.057086 0.102748 0.555592 0.5790
ITA2 1.23E-08 8.78E-08 0.139896 0.8889
ITA3 0.926657 0.128650 7.202955 0.0000
ITA4 2.05E-07 1.19E-07 1.712577 0.0881
R-squared 0.537188 Mean dependent var 0.033865
Adjusted R-squared 0.529663 S.D. dependent var 1.580914
S.E. of regression 1.084208 Akaike info criterion 3.019296
Sum squared resid 289.1749 Schwarz criterion 3.089525
Log likelihood -373.9217 F-statistic 71.38346
Durbin-Watson stat 2.079636 Prob(F-statistic) 0.000000
57
Dependent Variable: KDC
Method: Least Squares
Date: 06/14/10 Time: 16:33
Sample: 1 251
Included observations: 251
Variable Coefficient Std. Error t-Statistic Prob.
C -0.261733 0.099267 -2.636651 0.0089
KDC1 0.005001 0.148872 0.033594 0.9732
KDC2 5.13E-08 5.55E-07 0.092340 0.9265
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