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CII
HAX
VNM
VFMVF1
TDH
TNA
ABT
VFMVF4
VIC
TRI
KDC
MAFPF1
VSH
BMP
VIP
SSI
UIC
TNC
VTO
PVF
PPC
TTP
PVT
Ngy
03/03/2009
04/03/2009
05/03/2009
06/03/2009
09/03/2009
10/03/2009
11/03/2009
12/03/2009
13/03/2009
16/03/2009
17/03/2009
18/03/2009
19/03/2009
20/03/2009
--------14/09/2009
15/09/2009
16/09/2009
17/09/2009
STB
-4.61%
-0.69%
1.39%
-0.68%
1.38%
2.72%
4.64%
-2.53%
0.65%
1.94%
4.43%
4.85%
-3.47%
0.00%
--------0.53%
-0.26%
-16.18%
3.48%
VFMVF1
-1.47%
1.49%
1.47%
-1.45%
1.47%
1.45%
1.43%
-2.82%
1.45%
1.43%
1.41%
4.17%
-1.33%
-1.35%
--------1.35%
0.67%
2.65%
-1.29%
VFMVF4
-2.22%
2.27%
0.00%
-2.22%
2.27%
0.00%
0.00%
0.00%
2.22%
2.17%
-2.13%
4.35%
-4.17%
2.17%
--------0.00%
0.00%
2.11%
0.00%
-------------------------------------------------------------------------------------
VIP
4.82%
3.45%
-1.11%
-1.12%
-6.82%
2.44%
0.00%
-3.57%
0.00%
2.47%
4.82%
4.60%
-4.40%
0.00%
---------1.01%
-2.03%
0.00%
-1.04%
VTO
-2.35%
3.61%
1.16%
-2.30%
1.18%
4.65%
2.22%
-4.35%
1.14%
-2.25%
4.60%
4.40%
-4.21%
-1.10%
---------3.85%
-2.00%
1.36%
0.67%
PVT
-2.31%
0.00%
1.57%
-1.55%
4.72%
4.51%
4.32%
-4.83%
0.00%
1.45%
2.86%
2.78%
-4.73%
-0.71%
---------0.94%
-1.43%
4.83%
-2.30%
Dng hm AVERAGE
TSSL trung bnh
Dng hm VARP
phng sai
Dng hm STDEVP
lch chun
Dng hm SLOPE
BETA tng chng khon
tnh
tnh
tnh
tnh
SSI
1.00%
0.12%
3.41%
1.1705
UIC
1.00%
0.13%
3.64%
0.9114
TNC
0.73%
0.12%
3.52%
1.0858
VTO
0.47%
0.12%
3.40%
1.0535
PVF
0.81%
0.12%
3.50%
1.1528
PPC
0.37%
0.09%
3.00%
0.9950
TTP
1.00%
0.09%
3.07%
0.9715
PVT
0.41%
0.12%
3.53%
1.1059
VN-INDEX
0.62%
0.05%
2.24%
1.0000
Dng hm COVAR kt hp
vi hm OFFSET tnh
ton hip phng sai
C th dng Eviews tnh
ton hip phng sai
-----
VTO
PVT
-----
22
23
STB
-----
0.00064 0.00049
VFMVF1
-----
0.00060 0.00054
VFMVF4
-----
0.00050 0.00048
MAFPF1
-----
0.00034 0.00029
-----
-----
VTO
22
0.00116 0.00074
PVT
23
0.00074 0.00125
-----
-----
-----
-----
-----
-----
-----
TRNG HP
CHO BN
KHNG
rf
0.022%
STB
VFMVF1
VFMVF4
MAFPF1
SSI
PVF
CII
TDH
VIC
VSH
UIC
PPC
HAX
TNA
TRI
BMP
TNC
TTP
VNM
ABT
KDC
VIP
VTO
PVT
Danh mc Danh mc
X
M
-0.5130
-0.5281
-0.2821
-0.2822
0.2566
0.2546
0.1086
0.0971
0.5647
0.5833
0.1570
0.1667
-0.1799
-0.1828
-0.2352
-0.2356
-0.0862
-0.0909
-0.1193
-0.1329
0.4889
0.5031
-0.4496
-0.4734
-0.1634
-0.1676
-0.0391
-0.0443
0.0471
0.0479
0.7397
0.7666
-0.0584
-0.0606
0.4047
0.4159
0.0054
0.0063
0.1766
0.1758
0.5552
0.5730
0.0792
0.0808
-0.3538
-0.3670
-0.1034
-0.1055
2.50%
2.00%
1.50%
1.00%
0.50%
0.00%
0.00%
0.50%
1.00%
1.50%
2.00%
ng bin hiu qu
2.50%
3.00%
ng CML
3.50%
VN-INDEX
4.00%
4.50%
5.00%
TRNG HP
KHNG BN
KHNG
Tm t trng
tng danh mc
bng Solver
DANH MC 1
0.31%
0.09%
2.97%
DANH MC 2
0.55%
0.04%
1.96%
DANH MC 3
1.00%
0.05%
2.21%
DANH MC 4
1.45%
0.18%
4.27%
DANH MC 5
1.90%
1.11%
10.52%
0.60%
0.40%
0.20%
0.00%
0.00%
2.00%
4.00%
6.00%
8.00%
VN-INDEX
10.00%
12.00%
2.50%
2.00%
1.50%
1.00%
0.50%
0.00%
0.00%
2.00%
4.00%
C bn khng
6.00%
Khng bn khng
8.00%
VN-INDEX
10.00%
12.00%
NG TH TRNG
CHNG KHON SML
Xc nh BETA ca ng th trng
chng khon bng 2 cch:
S dng hm SLOPE trong excel
gia TSSL trung bnh tng chng
khon vi BETA tng chng khon.
S dng m hinh hm hi quy:
STB
VFMVF1
VFMVF4
MAFPF1
SSI
PVF
CII
TDH
VIC
VSH
UIC
PPC
HAX
TNA
TRI
BMP
TNC
TTP
VNM
ABT
KDC
VIP
VTO
PVT
Vn-Index
BETA
1.1132
1.0094
0.8905
0.5628
1.1705
1.1528
1.0844
1.1538
1.0606
0.9074
0.9114
0.9950
0.8402
0.8897
0.9131
0.9252
1.0858
0.9715
1.0274
0.6414
0.9044
1.0956
1.0535
1.1059
1.0000
NG TH TRNG
CHNG KHON SML
Coefficients
Standard
Error
Intercept
0.0049
0.0049
0.0025
0.0050
Upper
95%
Lower
95.0%
Upper
95.0%
0.0151
-0.0053
0.0151
0.0129
-0.0078
0.0129
t Stat
P-value
Lower
95%
NG TH TRNG
CHNG KHON SML
2.50%
SML
E(Ri) = 0.0049 + 0.0025i
R = 0.011
TSSL
2.00%
1.50%
1.00%
0.50%
0.00%
0.00
0.20
0.40
0.60
0.80
BETA
1.00
1.20
1.40