Professional Documents
Culture Documents
Tng cc thng k
www.gso.gov.vn
Tng trng
sn lng cng
nghip
R_SLCN
SLCN
t
SLCN
t-1
SLCN
t-1
Tng cc thng k
www.gso.gov.vn
TSSL vng R_VANG
Ch s gi vng
t
Ch s gi vng
t-1
Ch s gi vng
t-1
Tng cc thng k
www.gso.gov.vn
Thay i trong
cung tin M2
R_M2
Tc tng trng cung tin thng ny so
vi thng trc
www.vneconomy
www.sbv.gov.vn
22
Tc tng
ca CPI
R_CPI
CPI
t
CPI
t-1
CPI
t-1
Tng cc thng k
www.gso.gov.vn
Thay i trong
USD/VND
R_USD
Ch s gi USD
t
Ch s gi USD
t-1
Ch s gi USD
t-1
Tng cc thng k
www.gso.gov.vn
TSSL du R_DAU
Gi du
t
Gi du
t-1
Gi du
t-1
Hip hi du M
Thay i trong
li sut TPCP
R_LS
LS_TPCP
t
LS_TPCP
t-1
LS_TPCP
t-1
Ngn hng ADB
TSSL
DowJones
R_DJ
DJ
t
DJ
t-1
DJ
t-1
Yahoo Finance
3.2 Cch thc chn bin:
Khong thi gian chn bin l t thng 1/2004 n thng 2/2011 do hn ch trong
vic tip cn cc s liu qu kh trc , hn na Vit Nam trong khong thi gian
t 2000 n 2003 hu nh ch hot ng cm chng (c cha ti 20 m, giao dch ch
ba ngy/tun) cng nh khng gy c nhiu ch vi cc nh u t nn vic s
dng s liu thi k ny cng km hiu qu. Tng s bin c s dng l 86 quan st.
Bin Cch thc chn bin
R_VNI
R_DJ
Gi c chn l gi ng ca ca ngy cui cng trong thng.
R_XNK
n v tnh c s dng l 1,000,000 $
R_VANG
Do kh khn trong vic tp hp s liu gi vng trong nc (do
cha c t chc chnh thc cng b), d liu phn tch s dng
khng phi l gi vng m thay vo ta s dng d liu ch s gi
vng c cng b hng thng ca Tng cc thng k.
23
R_USD
Tng t , vic tp hp s liu vng th trng t do kh kh
khn, d liu phn tch s l ch s gi USD c cng b hng
thng ca Tng cc thng k
R_DAU
Gi du s dng y l gi du FOB bnh qun trng s khi
lng giao dch c lng ca ton b cc quc gia trn th gii
(gi ngy cui thng).
R_M2
Tc tng trng cung tin hng thng c thu thp t website
ca NHNN VN v cc website khc ( IMF, WB, ). Cung tin
y c chn l cung tin M2 (gm cung tin c s v tin gi tit
kim ti cc t chc tn dng)
R_LS
Li sut s dng trong phn tch l li sut tri phiu chnh ph k
hn 1 nm, i din cho TSSL phi ri ro th trng. S liu c
thu thp t NH ADB, mt phn t website: www.hsx.vn vi thng
tin li sut t kt qu u thu tri phiu chnh ph k hn 1 nm.
(Nhng thng thiu d liu th s dng d liu ca thng trc )
3.3 Cc tin phn tch kim nh:
3.3.1 Phn tch phn phi ca VN-Index:
Mean Std.dev Skewness Kurtosis Jarque-Bera P-value
Observation
R_VNI 1.91% 12.33% 0.450 3.357 3.357
0.1867 86
R_XNK
-
41.30% 186.37% -4.533 29.302 2,773.457
0.0002 86
R_VANG 2.19% 4.37% 0.871 4.310 17.017
0.0002 86
24
R_USD 0.37% 0.96% 1.240 8.368 125.312
0.0002 86
R_SLCN 1.69% 13.18% -0.661 2.603 6.825
0.0330 86
R_M2 0.11% 4.51% 0.230 2.549 1.488
0.4752 86
R_LS 9.84% 1.96% 1.557 4.849 46.993
0.0001 86
R_DJ 0.27% 4.14% -0.806 4.538 17.788
0.0001 86
R_DAU 2.16% 11.04% -0.650 4.740 16.900
0.0002 86
R_CPI 0.89% 0.92% 1.172 4.249 25.271
0.0000 86
bng trn, ta thy rng TSSL ca th trng c gi tr trung bnh l 1.91%/thng
(khong 23%/nm ) y l mc TSSL cao trn nn kinh t. Thng k Skewness c g
tr dng cho thy VN-Index c phn phi lch dng, y l iu thng xy ra vi
cc TTCK mi ni. Trn th gii, hu ht phn phi ca TSSL cc ti sn ti chnh
cng khng c phn phi chun.
3.3.2 Kim nh tnh dng ( kim nh nghim n v ADF ):
Mt trong cc gi thit ca m hnh hi quy c in l cc bin c lp phi phi ngu
nhin. Nu chng ta c lng m hnh c chui thi gian m cc bin c lp khng
dng, th khi gi thit ca OLS b vi phm ( k vng ton, phng sai v hip
phng sai khng i theo thi gian ) dn n vic s dng kim nh t v p khng
hiu qu ( hay cn gi l hi quy gi mo ). Kim nh nghim n v l mt tiu
chun kim nh tnh dng. Dickey-Fuller a ra tiu chun kim nh nh sau:
25
H
o
: p=1 (chui l khng dng ) H
1
: p1 ( chui dng )
Ta c lng m hnh: t = p/se(p) c phn phi theo quy lut DF
Nu t > t
th bc b gi thit H
o
. Trong trng hp ny th l chui dng.
Kt qu kim nh tnh dng ca cc bin:
Augmented Dickey-Fuller test statistic
t-Statistic P-value
R_VNI -6.1791 0.0000
R_XNK -10.9327 0.0001
R_VANG -6.2349 0.0000
R_USD -6.9485 0.0000
R_SLCN -10.7694 0.0001
R_M2 -2.4629 0.1282
**
R_LS -2.9719 0.0418
*
R_DJ -7.4296 0.0000
R_DAU -8.3773 0.0000
R_CPI -4.6231 0.0003
( **: khng c ngha, *: c ngha vi tin cy 5% )
tin cy Gi tr t-ti hn
Test critical values: 1% level -3.5093
5% level -2.8959
10% level -2.5852
Vi bng kt qu trn, ta thy rng ngoi tr bin R_M2 th tt c cc bin cn li
u dng vi mc ngha 1% v 5%. Bin R_M2 khng dng nn ta tip tc kim
nh tnh dng cho sai phn ca bin R_M2 a vo trong m hnh hi quy:
26
Augmented Dickey-Fuller test statistic
t-Statistic P-value
SP_R_M2 -9.3247 0.0000
tin cy Gi tr t-ti hn
Test critical values: 1% level -3.5103
3.3.3 Kim nh ng lin kt (cointegrated test ):
Khi c lng mt m hnh hi quy vi cc bin s l cc chui thi gian khng
dng, nu nh m hnh l ng lin kt th s khng xy ra trng hp hi quy gi
mo, v cc kim nh da trn cc tiu chun ca t v F l c ngha do xu th trong
cc chui trit tiu ln nhau. Hin nay c nhiu phng php kim nh ng lin
kt nh kim nh Engle-Granger, Johansen, Trong , kim nh Johansen da
trn nn tng l m hnh VAR, n bao gm hai kim nh gi l trace test v maximum
eigenvalue test.
+Trace test - H
o
: con s cc vect ng lin kt trong h thng l r, nh hn hoc
bng r
o
vi r
o
< p (p l s bin trong h thng); H
1
: ma trn tc ng l ng b. Nu
trace test < critical value th chp nhp H
o
( khng ng lin kt ) v ngc li.
+ Eigenvalue test xem xt gi thuyt H
o
l c r
o
vct ng lin kt i vi gi thuyt
H
1
l c r
o
+1 vct ng lin kt.
R_M2 l khng dng, tuy nhin do cn xem xt mi quan h gia cung tin v VN-
Index nn ta khng s dng bin thay th m dng kim nh ng lin kt ca
Johansen kim chng kh nng c vect ng lin kt gia hai bin hay khng.
Johansen test
Trace test Statistic Critical Value P-value
None * 35.78523 15.49471 0.0000
27
At most 1 * 6.178545 3.841466 0.0129
Max Eigen test Statistic Critical Value P-value
None * 29.60668 14.2646 0.0001
At most 1 * 6.178545 3.841466 0.0129
Kt qu ca kim nh Johansen cho thy tn ti vecto ng lin kt gia hai bin
nn ta c th thc hin hi quy OLS m khng cn lo lng v vn hi quy gi to.
3.3.4 Bng k vng v du:
Bin K vng du
R_XNK dng
R_VANG m
R_USD m
R_SLCN dng
R_M2 dng
R_LS m
R_DJ dng
R_DAU m
R_CPI m
28
3.4 Phn tch mi quan h bng m hnh n bin:
3.4.1 Sn lng cng nghip v nh hng ln TTCK VN:
Tng trng trong gi tr sn xut cng nghip thng c xem l nhn t quan
trng tc ng n t sut sinh li ca TTCK, m bng chng l s xut hin ca bin
s ny trong m hnh v m ca Chen, Roll, Ross (1986). Ch s ny c nhiu
nghin cu trn th gii s dng nh l thc o thay th cho bin s tng trng
GDP, n gin, khi GDP ( sn lng cng nghip ) tng trng th TTCK s i ln.
Ch s gi tr sn lng cng nghip ca Vit Nam c tnh theo gi so snh nm
1994, bao gm gi tr to ra ca cc ngnh cng nghip nh : khai khong ( than, du ),
ch bin (b sa, thy sn..), ch to ( m t, xe my ) v hng tiu dng ( giy, qun
o,). Kim nh mi quan h gia bin s v TTCK Vit Nam, kt qu nh sau:
Kt qu kim nh cho thy gi tr sn lng cng nghip hu nh khng c nh
hng n TSSL ca VN-Index th hin qua gi tr p-value qu cao. Hn na, bin s
c gi tr m khng cho thy c ngha kinh t no.
( Ngun: Tng Cc Thng K )
0%
20%
40%
60%
80%
100%
2005 2006 2007 2008 2009 2010
Dch v
Cng nghip
Nng nghip
Variable Coefficient t-Statistic P-Value
R_SLCN -0.006661 -0.065283 0.9481
29
L gii cho vn , c v nh i vi nn kinh t VN, gi tr sn lng cng nghip
khng phi l mt i din cho GDP, t trng ca cng nghip ng gp vo GDP ch
chim xp x 40% ( trong khi cc quc gia pht trin, con s ny thng l 60-80% ).
Ngoi ra, gi tr sn lng cng nghip ca Vit Nam khng phn nh c tim
nng pht trin ca t nc, ng gp 50% trong tng gi tr l cc ngnh cng
nghip xut khu ti nguyn thin nhin nh than , du th, kh ha lng trong khi
cc ngnh cng nghip mang li nhiu gi tr thng d hay mang yu t cng ngh hu
nh vng bng hoc chim t trng qu nh.
3.4.2 Cn cn XNK v nh hng n TTCK VN:
Ni n tnh trng cn cn XNK th phi ni n vn thm ht cn cn thng mi
dai dng. Ngun gc ca vn mt phn l do tm l snh ngoi ca ngi dn Vit
Nam, theo , gi tr nhp khu cc mt hng xa x lun chim t trng cao trong nhp
khu; trong khi xut khu d c Nh Nc tp trung h tr v to iu kin pht
trin vn cha c chuyn bin mnh m, hng ha xut khu a s l cc mt hng
khng c yu t cng ngh hay mang li gi tr thng d.
(n v: triu $, gi tr cn cn thng mi l thm ht - Ngun: Tng Cc Thng K )
0
10000
20000
30000
40000
50000
60000
70000
80000
90000
2005 2006 2007 2008 2009 2010
xut khu
nhp khu
cn cn thng mi
30
Tc ng ca cn cn thng mi ln TTCK ch yu l gin tip thng qua tc ng
ca t gi, theo , thm ht trong cn cn thng mi s pht i tn hiu v nhng t
ph gi ng tin trong tng lai ( theo cc l thuyt PPP ) lm tc ng ln TTCK.
Mt c ch na l thng qua thay i trong cn cn thng mi, cc NT nc ngoi
s c cc nh gi v li th cnh tranh ca quc cng nh chnh sch iu hnh ng
tin tng lai, qua lm tng ( hoc gim ) lng tin u t gin tip vo th
trng, i vi TTCK Vit Nam, cc giao dch ca NT chim t trng kh ln nn
nh hng c d bo l kh ln.
Kt qu m hnh hi quy OLS nh sau:
Vi h s p-value th hin c mc ngha thng k
chng minh rng cc thay i trong cn cn thng mi thc s c nh hng ln
TTCK. H s ca bin mang du m ( -0.01) tc l khi cn cn thng mi thm ht
1% th VN-Index s tng 0.01%, iu ny cng gy ra s kh hiu v theo l thuyt
kinh t, thng khi cn cn thng mi thng d th to tm l tt hn cho th trng
lm ch s tng im nhng iu ny l ngc li Vit Nam. gii quyt vn
ny, ta cn xem xt r v thc trng ca Vit Nam mt nc thin v nhp khu ( vi
hn 90% nguyn vt liu l t nc ngoi ), mt s tng ln trong gi USD s lm tng
mnh chi ph u vo ca DN dn n cc bo co ti chnh km sng sa i vi li
nhun st gim, qua lm cho VN-Index i xung.
Variable Coefficient t-Statistic P-value
R_XNK -0.012078 -1.70223 0.0924
31
3.4.3 Tc ng ca lm pht ln VN-Index:
Mt TTCK hiu qu th thng chu nh hng r nt i vi s thng trm ca ch
s CPI, vi quy lut : CPI tng - TTCK xung. Trc khi i vo phn tch MQH vi
TTCK, ta i s lc v c im lm pht Vit Nam, theo :
+ 10 nm tr li y, mc tiu tng trng lun c ch trng hn mc tiu km ch
lm pht, qua cho thy tim n nhng ri ro v bng n lm pht cao.
+ Hng nm NHNN phi cung ng mt lng tin khng nh cho ngn sch ti tr
thm ht ti kha, cc khon tm ng ny thng khng c bo m v trn thc t
khng c hon tr y trong nm ngn sch.
+ S c lp ca NHTW cng b gii hn mt phn, tc tng trng cung tin
thng ph thuc vo chnh sch pht trin do Chnh ph ra.
+ Gc ca lm pht Vit Nam a s nm khu vc u t cng, ni chim hn 50%
lng u t ca x hi nhng h s ICOR ca cc DNNN rt km, nng sut km
khng tng xng vi tc bm tin chnh l nguyn nhn gy ra lm pht.
Cc c im ca lm pht Vit Nam cho thy r rng n c nh hng rt mnh ln
nn kinh t ni chung hay TTCK ni ring. Theo nhiu nghin cu trn th gii, ch s
CPI n nh mc khong 5% l iu kin l tng TTCK hot ng bnh thng
v pht trin. Khi CPI tng cao th s tc ng n VN-Index qua cc c ch nh sau:
CPI tng s lm tng cc chi ph, gy kh khn cho DN trong vic m bo
li nhun kinh doanh v li tc, cc bo co ti chnh km sng sa lm cho
chng khon km hp dn hn, ng ngha vi vic gim s si ng trn
TTCK.
CPI tng ng ngha vi chnh sch tn dng tht cht, vic tip cn ngun
tn dng kh khn v t hn, v vy lm dng tin vo TTCK i xung.
32
CPI tng ko theo li sut ngn hng tng, khin li sut tin gi tr nn hp
dn hn, iu ny lm thu hp dng u t trn TTCK.
CPI tng s lm tng bn ra cc m xu, v tng mua vo cc m tt. Xu
hng bn tho thng xy ra nu TTCK c nhiu chng khon cht lng
thp v cc nh u t khng chuyn nghip i theo by n, vn t.
kim nghim l thuyt trn vo TTCK VN, ta thc hin hi quy OLS vi mu t
T1/04 T2/11:
Variable Coefficient t-Statistic P-value
R_CPI -1.768289 1.454678 0.2275
Kt qu cho thy qu thc c mi quan h nghch bin
gia lm pht v t sut sinh li ca VN-Index, tuy
nhin, thng k p-value li khng c mc ngha. iu g lm cho TTCK Vit Nam
i ngc li vi quy lut thng thng ?
C 2 im ng ch gip phn no gii thch vn ny:
Th nht, dng nh cc nh u t khng chu tc ng nhiu bi bo co ti
chnh chnh thc ca cc doanh nghip nim yt trn TTCK. y l hin tng
khng bnh thng, m nguyn nhn c th t hai pha: cht lng bo co ti
chnh v uy tn thc t ca doanh nghip cha cao do hot ng kim ton ch
mi c nh gi ng mc trong thi gian gn y.
Th hai, trong phn ln thi gian kim nh th vn lm pht dng nh c t
tc ng n TTCK m c th lm pht ch bng n v gy s ch n NT
t nm 2008 n nay.
Tuy nhin, qua th bn di, ta li thy c mi tung quan nghch bin kh cht
ch gia VN-Index v ch s CPI, do , c ci nhn su hn v mi quan h ny, ta
33
tip tc phn tch s tng tc gia chng trong khong thi gian quan st t nm 2008
n nay. Trong thi gian ny, vn lm pht tr thnh vn nng ca chnh sch
v m, mi hnh vi bin ng ca lm pht u c th trng phn nh r nt.
( Ngun: Tng Cc Thng K )
Kt qu chy m hnh trong thi gian t T1/2008- T2/2011:
H s p-value chng minh cho thy mi quan h ny c ngha vi tin cy 10%,
h s mang du m cho thy mi quan h gia hai nhn t l mi quan h nghch bin,
v n ph hp vi k vng v l thuyt thng thng. M hnh chng t, k t 2008,
cc NT trn th trng c ci nhn d dt hn vi tnh hnh lm pht ca t nc.
8.8%
6.7%
12.6%
19.9%
6.9%
11.8%
307.5
751.8
927
315.6
494.8 484.7
0
100
200
300
400
500
600
700
800
900
1000
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
2005 2006 2007 2008 2009 2010
CPI
VN-Index
Variable Coefficient t-Statistic P-value
R_CPI -3.160263 -1.813176 0.0781
34
3.4.4 Mi quan h gia cung tin v TTCK VN:
Hu ht cc nghin cu v mi quan h gia cung tin v TTCK u khng i n
cng mt kt lun. y c xem nh l mt cu hi thc nghim, mi quan h ny c
th l ng bin th trng ny, nhng th trng khc, n cng c th l nghch
bin.
Vit Nam, hng nm, NHNN thng bo mc tiu tng trng cung tin (hay tng
phng tin thanh ton M2) v mc tn dng chung cho nn kinh t. Cc con s ny
c th trng ti chnh hay cc chuyn gia theo di st sao hng thng phn tch
chnh sch tin t ca chnh ph ang c p dng ra sao, tht cht hay ni lng.
Trong khong 10 nm tr li, tng trng cung tin M2 lun t mc kh cao, c
bit trong khong thi gian 2000-2006.Qua ci nhn nh tnh u tin, ta thy rng,
Vit Nam, TTCK dng nh c mi quan h cng chiu vi cung tin.
( Ngun: Website NHNN VN www. Sbv.gov.vn )
400
420
440
460
480
500
520
540
560
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
tng trng cung tin
VN-Index
35
Kt qu hi quy OLS:
Theo trong thc t, tng trng trong cung tin
M2 thc s c tc ng n TTCK ( vi gi tr p-
value c mc ngha di 10% ). Khi cng tin tng 1% s to cho TTCK tng
0.55% . Xt trong lch s, trong khong thi gian 2000-2006 vi cung tin tng u,
TTCK c mt qu trnh tch ly tng im kh n tng, t 200 im ln n trn
1000 im ( mc tng trng ln n hn 500% ), c bit l trong cc nm 2006-
2007, cc nm c tc tng rt cao, to nn cn st tng nng trn TTCK. Trong
nm 2008, khi chnh ph nhn thy cc bt n v m m dn u l vn lm pht do
tng cung tin qu nhiu, vic tht cht tin t khin th trng i xung vng 300-
350 im. Nm 2009, Chnh ph ni lng tin t thc hin chnh sch kch cu, to
iu kin cho TTCK i ln tr li khi thanh khon vo th trng tng cao.
3.4.5 Li sut tri phiu chnh ph v tc ng ca n ln TTCK VN:
Chnh sch li sut ca NHNN Vit Nam thng th hin kh nhiu bt cp c bit l
trong cc nm gn y. Chnh sch li sut thng bao gm hai mc tiu:
Th nht, gi li sut huy ng mc thp gi li sut cho vay mc
thp. Qua gim chi ph li vay v hn ch bt ri ro cho h thng doanh
nghip.
Th hai, nh nc quyt tm xa b th trng ngoi t t do v cm
kinh doanh vng ming. iu khin ngi dn c t la chn hn v
buc phi gi tin ng d tin ng lun mt gi th thm v li sut thp.
Variable Coefficient t-Statistic P-value
R_M2 0.556051 1.904602 0.0603
36
( Ngun: NH pht trin Chu ADB www.asianbonds.adb.org )
Tuy nhin, hiu qu th r rng khng n:
Th nht l khng c l do g cc NHTM li phi h thp li sut cho vay ngay
c khi li sut huy ng b gi mc thp. l v (1) nhu cu vay vn ca cc
doanh nghip vn cao, v (2) cc NHTM thng b hn ch tng trng tn
dng. Hn na cc NHTM cn ci thin c spread magrin ca mnh.
Th hai, vic s dng bin php hnh chnh nh cm kinh doanh vng ming,
USD t do hn ch la chn ca ngi dn v lu tr ti sn. ng nhin
cn cc knh khc nh u t vo chng khon hay kinh doanh bt ng sn.
Nhng vi nhng ngi dn c thu nhp trung bnh hoc trung bnh kh, cc
knh ny l kh thc hin, thm ch l khng kh thi, v cc vn k thut
(chng khon) v cn nhiu vn (bt ng sn).
Trong bi, tc gi chn s dng bin li sut ca TPCP k hn mt nm, vn c
xem nh li sut c s ng nh cc li sut khc, kt qu kim nh mi quan h
nh sau:
200
250
300
350
400
450
500
550
600
650
8.00%
9.00%
10.00%
11.00%
12.00%
13.00%
14.00%
LS_TPCP_1y
VN-Index
37
Variable Coefficient t-Statistic P-value
R_LS -1.08201 -1.600825 0.1132
Theo kt qu, h s hi quy mang du m cho thy TTCK c mi tng quan m so
vi cc thay i trong li sut, iu ny ph hp vi cc nghin cu v l thuyt trn
th gii, tuy nhin h s p-value mt ln li ph nh tnh ngha ca bin s ny, theo
, li sut TPCP k hn 1 nm khng c nh hng nhiu n TTCK ca Vit Nam.
Kt qu ny dng nh xut pht t nhiu nguyn nhn, trong nguyn nhn ch
yu xut pht t vic Vit Nam hin nay cha c t do ha li sut, cng c iu
hnh li sut ca NHNN khng c c s linh hot cng nh c lp do cha phn
nh chnh xc nhng thng tin thc ca chnh sch tin t, trong khi TTCK li hp th
rt nhanh cc thng tin ny. Mt nguyn nhn khc cng c th l do li sut TPCP
dng nh khng phi l i din tt khi phn tch mi quan h gia li sut v TTCK,
vic s dng li sut li sut vay thc d kin s em li kt qu tt hn, tuy nhin cc
s liu ny thng khng c cng b chnh thc nn gy kh khn trong vic tp
hp kim nh. Tuy nhin trong nghin cu ca Ms Hi L v t sut sinh li ca
TTCK Vit Nam, vic s dng s liu li sut i vay thc cng khng c mang li
ngha thng k khi kim nh.
3.4.6 nh hng ca gi du th gii n TTCK VN:
Nh c phn tch chng II, gi du tng cao lun l nguyn nhn ca nhng
cuc bn tho trn TTCK. TTCK Vit Nam, s tng gim ca gi xng du tuy cng
c nhng nh hng nht nh n TTCK nhng cha tht s r nt. Gi xng Vit
Nam c bit c tnh nhy cm kh cao, khi xng tng, trong khong thi gian ngn s
nhanh chng ko theo gi c ca nhiu mt hng thit yu khc i ln, i vi mt
quc gia vi gn 60% dn s cn c i sng kh khn, y l tc ng ging mnh
38
ln mc sng ca h, do h s i hi mc lng cao hn, gi bn hng ha cao
hn, lm cho ch s CPI tng ln nhanh chng.
Cha ni n vic lm pht s i ln n mc no, nh hng ra sao n cc DN v
NT, vic ngi dn cn nhiu tin hn cho sinh hot , i li hay vic u t chuyn
sang vng v USD cng khin dng tin chy vo th trng b thu hp ng k.
( Ngun: tonto.eia.doe.gov/pet )
Kt qu hi quy mi quan h gia hai bin nh sau:
Variable Coefficient t-Statistic P-value
R_DAU 0.103273 0.851018 0.3972
Vi gi tr p-value = 0.39, m hnh cho thy mi quan h gia gi du th gii v
TSSL ca TTCK Vit Nam l ng bin, tuy nhin mi quan h ny khng c ngha
v mt thng k. Kt qu ny hu nh khng gy nhiu bt ng, trong nghin cu
trc y ca GS Narayan i hc RMIT ( c ) v s lin kt gia gi du vi VN-
Index cng cho thy mi tng quan dng ( c ngha thng k mu t T7/2000-
T6/2008 ). Theo GS, gi du th gii khng gy ra tc ng tri chiu ln VN-Index l
200
250
300
350
400
450
500
550
600
650
30
40
50
60
70
80
90
100
110
gi du
VN-Index
39
do th trng xng du ni a ca Vit Nam hin cha c iu chnh linh hot theo
gi th gii, gi xng du trong nc ph thuc nhiu vo cc chnh sch kim ch lm
pht v ln ca qu bnh n Chnh ph. Th hai, theo ng, TTCK Vit Nam gn
nh l sn chi ca tng lp trung-thng lu, s thay i trong gi xng du hu nh
t tc ng n hnh vi u t ca cc tng lp ny. Tuy nhin, vi cc c sc ln trong
iu chnh gi ( chng hn nhng iu chnh tng 20-30% )cng lm tiu cc n
TTCK nhng hu nh ch l tc ng nht thi, ngn hn v khng lu di n th
trng vn.
3.4.7 Vng v mi quan h n TTCK VN:
( n v: VN/ch, ngun: www.bloomberg.com - ACBS)
Th trng vng trong nc c mt s c trng nh sau:
- Th nht, th trng vng trong nc chu tc ng v iu chnh kh nhanh
theo gi vng th gii. Gi vng th gii th ph thuc nhiu vo gi USD, cu
ca Trung Quc v n .
1,500,000
2,000,000
2,500,000
3,000,000
3,500,000
4,000,000
200
250
300
350
400
450
500
550
600
650
VN-Index
gi vng
40
- Th hai, tm l gm gi vng trong dn l kh ph bin, vng l cng c u t,
ct gi truyn thng ca ngi Vit Nam. Vit Nam hin nay l mt trong
nhng nc nhp khu vng ln nht th gii, hin tng vng ha thng
xuyn xy ra, vng len li vo nh gi hng ha, d tr, thanh ton,.
- Th ba, cung vng trong nc b kim sot cht ch. Nhu cu vng trong nc
th lun n nh, nhng cung th rt hn ch. 95% lng vng tiu th Vit
Nam l nhp khu, v cc DN mun nhp khu vng phi xin hn ngch t
NHNN. Ngy 24/2 gn y, Ngh quyt 11 ca Chnh ph tin ti xa b
kinh doanh vng ming trn th trng t do.
Qua cc c im trn, ta c th thy c nhu cu u t vng Vit Nam l kh
ln v l mt knh u t rt c a thch. Khi kinh t n nh, TTCK i ln, vng
bt i gi tr u t, khi kinh t kh khn, vng li tng im trong mt cc NT,
TTCK li i xung, mi quan h ny thng thng l ngc chiu nhau.
Variable Coefficient t-Statistic P-value
R_VANG -0.038345 -0.124728 0.901
Kt qu kim nh cho thy r rng vng v VN-Index c mi quan h nghch bin
( -0.038 ), tuy nhin mi quan h ny hu nh khng c ngha v mt thng k ( p-
value = 0.901 > 10% ). Vy vng thc s khng c nh hng n VN-Index ?
Gii thch cho vn ny, tc gi t ra hai gi thuyt:
+ V nhu cu ti sn an ton: khi nn kinh t c bt n, thng cc NT s chuyn
hng u t ca mnh, c th l rt khi TTCK v u t vo vng nh mt ti sn
chng li cc ri ro lm pht v suy thoi kinh t, tuy nhin hiu ng ny cng khng
hn l chnh xc. Chng hn thi k 2000-2006 nn kinh t pht trin kh bn vng,
lm pht di 1 con s, thm ch cn c nm xut siu nhng gi vng vn tng u
qua cc nm. Trong thi k 2008-2009 khi nn kinh t trong nc cng nh ton cu
41
ang hng chu nh hng ca cn bo ti chnh th gi vng li dc t khong
1000$/Oz xung cn gn 750$/Oz trong khi TTCK Vit Nam li i ln.
+ V nhu cu u t ( u c ) vng: vic chuyn dng tin vo knh vng trong thi
gian gn y c xem l kh ri ro, hu ht cc NT trn th trng vng u s
dng n by kh cao trong khi gi vng th chu kh nhiu cc tc ng t bn ngoi
nn c nhng thi im gi vng tng cao nhng cc NT vn ng ngoi quan st
hoc khng gii ngn vo kn ny. Hn na u t vng cn mt lng vn kh ln
nhng cc dao ng li thng l nh ( cc t tng t bin cao nht c ghi nhn l
khong xp x 1 triu tc ch khong 3.33% nu tnh trn s tin b ra u t cho mt
lng vng khong 30 triu ). Vi ri ro cao nhng TSSL li kh t bin khin cho
vic u t vo vng Vit Nam thc t cng khng kh thi hn u t vo TTCK.
3.4.8 VN-Index v thay i trong t gi:
Mt vn ni bt ni bt trong chnh sch iu chnh t gi ca Vit Nam chnh l
hin tng ph gi ng tin v xu hng iu chnh ca th trng t do. 11/2/2010
NHNN tuyn b ph gi tin ng bng cch nng t gi tham chiu c l 18.932
VND/USD ln mc tham chiu mi l 20.693 VND/USD ( bin giao ng cho php
l +/- 1%. Ngng trn theo bin cho php ny chnh xc l 20.900 ) th t gi trn
th trng t do ngay lp tc c iu chnh t mc khong 21.000 ln mc
khong 22.000 VND/USD. R rng l ng thi ph gi ca NHNN khng c tc dng
trn an th trng m tri li l bng chng gip th trng khng nh r hn xu th i
xung tt yu ca tin ng.
Cu chuyn ph gi ln trc cng vy. NHNN n nh t gi tham chiu l
18.932 ng cng l mt con s rt l. Nu ly con s ny nhn vi bin cho php
l +/- 3% s ra hai con s l 19.500 ng/1USD (ngng trn) v 18.364 ng/1USD
42
(ngng sn). R rng con s trn cng l con s chn tc l con s m NHNN d
tnh trc l th trng s iu chnh n, l mt chi tit tuy nh nhng ng ch .
N ni ln rng khi n nh t gi mi, NHNN mi d tnh trc l th trng s
ch quan tm n ngng trn. iu ny phn nh hai im: Th nht l NHNN vn
cho rng t gi trn th trng t do lun lun cao hn v dn dt th trng ngoi t
chnh thc. Th hai l NHNN vn hiu rng cc t ph gi ca h vn cha ti
iu ny cng to tm l gm gi USD trong nn kinh t.
Kt qu phn tch cho thy s thay i trong gi
USD c tng quan ngc chiu vi VN-Index,
theo , khi USD tng gi, s lm cho TTCK i
xung, tuy nhin mi quan h ny khng c ngha thng k th hin qua gi tr p-
value kh cao.
Variable Coefficient t-Statistic P-value
R_USD -0.823772 -0.590303 0.5566
43
Thng thng khi ng tin mt gi gip kch thch xut khu, lm gim thm ht
cn cn XNK s a mt tn hiu tt vo TTCK, tuy nhin du m li a ra kt qu
ngc li, iu ny d dng thy c rng Vit Nam l mt quc gia khng c li th
v xut khu, chng ta ch xut khu cc mt hng t c gi tr gia tng hay khong sn
thin nhin trong khi nhp khu v gn nh 90% nguyn vt liu sn xut ra cc
hng ha xut khu. Mt s tng gi trong USD to nn sc p chi ph cho cc DN
nim yt dn n cc tin tc xu v li nhun DN st gim khin TTCK c chiu
hng i xung. Hn na, khi VND mt gi ng thi cng gy ra cc tn tht khng
nh i vi cc NT nc ngoi khi li nhun b bo mn khi i ra USD.
H s khng c ngha thng k cng mt phn do c ch iu hnh t gi ca chnh
ph, mt c ch iu hnh t gi c nh khng linh hot, bin thp gy ra sai lch
ln gia t gi nim yt v t gi trn th trng t do.
3.4.9 Ch s Dowjones v ch s VN-Index:
i vi mt TTCK cn non tr nh TTCK Vit Nam, thng thng c mc tng
quan nht nh vi cc th trng bn ngoi. K t sau khi gia nhp WTO 2006, TTCK
Vit Nam n nhn s tham gia si ni ca cc NT nc ngoi, gp phn tng s hi
nhp ca th trng trong nc v ngoi nc. M l t nc c nn kinh t hng u
th gii, s thay i trong cc ch s chng khon M nh DJ, S&P 500, u th
hin hiu qu sc khe ca nn kinh t ny cng nh nn kinh t ton cu. Vic chn
ch s DowJones phn tch s nh hng ca n ln VN-Index c nhiu yu t
ng h:
+ Th nht, M l i tc thng thng ln ca Vit Nam, nu c nhng bt n trong
nn kinh t M, hu nh s lm cho nn kinh t Vit Nam chu nh hng khng nh.
44
+Th hai, thng tin v nn kinh t M v hot ng ca ch s DowJones c cc
website thng tin ti chnh-chng khon Vit Nam cp nht hng ngy v c s
c bit ch ca cc NT trong nc.
( Ngun: www.cophieu68.com )
Kt qu hi quy n bin c th hin bng sau:
Tt c cc h s u ng theo k vng, ch s DowJones cho thy nh hng r nt
ca n ln ch s VN-Index. H s bin l 1.12 cho thy khi DowJones tng 1%, n s
gip VN-Index tng theo 1.12%. iu ny mt ln na cho thy s ha nhp ca th
trng Vit Nam vi th trng quc t, ng thi chng minh cho thy c s ly
nhim ln nhau gia cc th trng chng khon. Lu , do th trng M ng ca
trc khi th trng Vit Nam m ca nn vic s dng bin tr (-1) s gip mang li
kt qu tt hn na, tuy nhin do hi quy theo d liu thng nn vic s dng bin tr
(-1) c xem xt l khng kh quan bng d liu ngy.
6000
7000
8000
9000
10000
11000
12000
13000
200
250
300
350
400
450
500
550
600
650
VN-Index
DowJones
Variable Coefficient t-Statistic P-value
R_DJ 1.122274 3.733843 0.0003
45
4. PHN TCH T SUT SINH LI VN-INDEX VI M
HNH A BIN:
4.1 Ma trn h s tng quan:
R_VNI R_XNK R_VANG R_USD R_SLCN R_M2 R_LS R_DJ R_DAU R_CPI
R_VNI
-18.26% -1.36% -6.43% -0.71% 20.35% -17.21% 37.73% 9.25% -13.15%
p-value
0.0924* 0.9010 0.5566 0.9481 0.0603* 0.1132 0.0003* 0.3972 0.2275
R_XNK
-10.03% -14.30% -11.26% 7.26% -21.39% -12.77% 16.70% 5.10%
p-value
0.1891
0.5068 0.048*
0.1242 0.6407
R_VANG
29.04% 14.96% 14.96% -10.26% 1.22% 8.96% 13.15%
p-value
0.0067*
0.1692 0.3474 0.9113 0.4120 0.2275
R_USD
27.18% -6.07% 25.19% 1.95% 6.54% 11.01%
p-value
0.0114* 0.5788 0.0193*
0.3128
R_SLCN
-6.04% -3.60% 15.22% -12.80% -20.77%
p-value
0.5808 0.7421
0.2401 0.055*
R_M2
-42.60% 16.61% 16.28% -3.25%
p-value
0.0000*
0.7663
R_LS
-21.93% -24.62% 17.29%
p-value
0.0223* 0.1113
R_DJ
20.20% -2.75%
p-value
0.0621*
R_DAU
19.63%
p-value
0.0701*
R_CPI
p-value
46
Ma trn h s tng quan cng h s p-value cho thy mi quan h gia cc bin vi
nhau, gip tin kim nh cc trng hp a cng tuyn xy ra khi hi quy nhiu bin
vi nhau. Da vo ma trn trn, tao thy rng VN-Index c mi tng quan ngha vi
thay i trong cn cn XNK, cung tin v ch s DowJones; d on c th hi quy
bin ph thuc TTCK vi cc bin c lp trn.
4.2 M hnh a bin:
kim nh tc ng tng hp ca cc nhn t v m ln th trng chng khon, ta
s dng m hnh hi quy a bin sau:
n
i=1
t i i t
R =c+ b .X +c
Ta thc hin hi quy vi 9 bin v ln lt loi i cc bin khng c ngha thng
k hay cc bin c mang tnh cht a cng tuyn ( da vo ma trn tng quan ). i
vi nhng bin a cng tuyn, bin no gii thch TSSL trong VN-Index km hn (
nhn vo h s R
2
) th ta loi bin i. Song song , tc gi ng thi s dng kim
nh Wald pht hin s c mt ca cc bin khng cn thit.
Trong s cc bin c chn, bin s R_M2 do khng dng nn ta s dng bin thay
th l sai phn ca bin R_M2 ( y k hiu l D( R_M2 )). Vic s dng bin sai
phn ca R_M2 l kh tha ng do bin sai phn ny c chng minh l c tnh
dng, gip tha mn cc yu cu ca mt m hnh OLS, ngoi ra, da vo ci nhn trc
quan biu tng quan ca cung tin v VN-Index ta thy rng mi khi cung tin
tng, th cn c mt khong thi gian th n mi c nh hng r nt ln VN-Index.
47
Kt qu hi quy a bin vi cc bin c chn:
Coefficient t-Statistic P-value
C 0.0091 0.7550 0.4525
D(R_M2) 1.1135 2.1503 0.0345
R_DJ 1.0261 3.5713 0.0006
R_XNK -0.0107 -1.6652 0.0997
R-squared 21.67% F-statistic 7.4691
Adj R-squared 18.77% P-value F.sta 0.0002
Breusch-Godfrey Serial Correlation LM Test: ( lag 1 )
O. R-squared 3.0510 P-value 0.0807
White Heteroskedasticity Test:
O. R-squared 8.5720 P-value 0.4777
ARCH Test: ( Lag 1 )
O. R-squared 2.4850 P-value 0.1149
Kt qu hi quy cho thy cc bin u c ngha thng k, du ca cc h s khng
thay i so vi khi kim nh n bin. Kim nh BG LM vi tr 1 cho thy m
hnh hin ang tn ti t tng quan trong chui TSSL th trng, trong khi cc kim
nh White ( xem xt phng sai thay i ) v ARCH ( xem xt tnh t hi quy ca
phng sai thay i c iu kin) u cho thy m hnh khng c hin tng phng
sai thay i.
48
khc phc tnh trng t tng quan, ta thm vo m hnh mt bin tr ca TSSL
VN-Index, tr y c chn l 1, y l la chn kh hp l v VN-Index ca
ngy hm nay thng c xu hng tng tc vi ch s VN-Index ngy hm trc.
Khi thm bin tr vo trong m hnh mi, bin s R_XNK tr nn mt ngha thng
k vi h s p-value ( >10% ), do ta loi bin ny ra khi m hnh, ta c m hnh
mi nh sau:
Coefficient t-Statistic P-value
C 0.0068 0.6023 0.5487
D(R_M2) 0.9001 1.8477 0.0683
R_DJ 0.9673 3.5830 0.0006
R_VNI(-1) 0.3377 3.6941 0.0004
R-squared 30.67% F-statistic 11.9429
Adj R-squared 28.10% P-value 0.0000
Breusch-Godfrey Serial Correlation LM Test: ( lag 1 )
O. R-squared 0.6206 P-value 0.4308
White Heteroskedasticity Test:
O. R-squared 9.0109 P-value 0.4363
ARCH Test: ( lag 1 )
O. R-squared 0.5548 P-value 0.4564
M hnh mi gii thch c TSSL ca VN-Index tt hn, vi ch s R
2
cao hn m
hnh trc (30.67% > 21.67% ). Vic thm vo bin tr ( 1 thi k ) ca R_VNI gip
49
m hnh trnh c hin tng phng sai thay i. Kim nh White cho thy m
hnh mi cng khng c hin tng phng sai thay i; tng t kim nh ARCH
cng khng cho thy xut hin hin tng phng sai thay i c iu kin-t hi quy.
5. PHN TCH T SUT SINH LI CA VNI - INDEX
BNG H M HNH GARCH:
5.1 Cc c im thc nghim ca t sut sinh li:
Chui TSSL c nhng c trng khin cho vic c lng cc mi quan h gia n
v cc bin s khc theo cch thng thng tr nn km hiu qu. Nhng c tnh thc
nghim ( stylized facts ) c xem l cc kt qu c pht hin trn nhiu th trng
nn tr nn ph bin. Theo , cc c tnh thc nghim ca TSSL bao gm:
+ Phn phi TSSL c ui ln ( thick tails ): theo TSSL ca cc ti sn ti chnh
thng c phn phi khng chun, c c tnh ui ln, nh cao vo hp ( theo nghin
cu ca Mandelbrot 1963 )
+ lch chun co cm ( volatility clustering ): Mandelbrot (1963) pht hin: cc
thay i ln c xu hng xut hin sau mt thay i ln
+ Hiu ng n by ( leverage effects ): Black (1976) v Christie (1982) cho rng xu
hng thay i trong gi c phn thng c tng quan khng tng xng vi thay i
ca lch chun. Trn TTCK, lch chun i vi TSSL m ln thng ln hn
nhiu so vi lch chun ca TSSL dng ln ( so vi cng ln tuyt i ).
+ Hiu ng cui tun: Fama (1965), French v Roll (1986) khi th trng ng ca,
thng tin thng tch ly vi mc khc nhau so vi khi th trng m ca, chng
hn lch chun ngy Th hai thng gp ba ln lch chun ngy Th su.
50
+ S kin k vng (expected events): Comell (1978), Patell v Wolfson (1979): lch
chun thng cao hn bnh thng khi c thng bo mi hay cc s kin k vng.
+ lch chun v tng quan chui: LeBaron (1992) - ng cho rng c mi quan h
nghch o gia lch chun v tng quan chui.
+ Cc bin i ng thi (co-movements) trong lch chun: Ramchand v Susmel
(1998) cho rng cc lch chun c tng quan dng gia cc th trng/ ti sn.
Khi TSSL th hin cc c tnh k trn th cn mt m hnh thch hp phn tch
cc c tnh ny v m hnh c s dng ph bin l m hnh GARCH.
5.2 M hnh ARCH Engle ( 1982):
Trong cc c lng TSSL ca ti sn ti chnh ta thng gp gi thuyt phng sai
khng i. Tuy nhin trong thc t cc trng hp ny xy ra khng thng xuyn, v
gii quyt vn ny cc nh nghin cu xut m hnh ARCH. M hnh ARCH
(q) th hin phng sai thay i c in kin t hi quy ( auto-regressive conditional
heteroskedasticity ) ca TSSL ngy hm nay qua bnh qun t trng ca bnh phng
TSSL khng k vng trong qu kh.
2
2 2
1
~ (0, )
t t t t t
q
i
t t i
i
Y X N | c c o
e o
o c
=
= +
= +
Theo cng thc, mt bin ng mnh ca th trng xy ra cch hm nay q ngy th
nh hng ca n s lm tng phng sai c iu kin ca ngy hm nay. Do tt c cc
TSSL khng k vng u di dng bnh phng nn khng c s phn bit gia tc
ng dng v m.
51
5.3 M hnh GARCH Bollerslev (1986):
Mt i din cht ch hn thng c s dng thay th cho m hnh ARCH(q) l
m hnh GARCH(q,p) ( m hnh ARCH tng qut ) vi vic thm vo p s hng t hi
quy ca gi tr phng sai thay i c iu kin:
2 2 2
1 1
q p
t i t i j t j
i j
o e o c | o
= =
= + +
ln ca cc tham s v gip xc nh nhng bt n ca lch chun.
- H s cho thy phn ng ca lch chun vi nhng thay i ca th trng
( > 0.2 th c xem l phn ng mnh )
- H s gip kim nh mc bn vng ca lch chun ( > 0.8 th lch
chun c xem l c bn vng cao )
- + < 1 : lch chun c iu kin s c th hi t v lch chun di hn.
5.4 Mt s m hnh trong h m hnh GARCH:
*M hnh EGARCH Nelson (1991) - "Conditional Heteroskedasticity in Asset
Returns: A New Approach," Econometrica.
*M hnh GJR-GRACH - Glosten, L.R., R. Jagannathan and D. Runkle (1993) -
"Relationship between the Expected Value and the Volatility of the Nominal Excess
Return on Stocks," Journal of Finance.
=
=
+ + + =
p
j
j t
j
q
i
i t i t i t i
t z E z z
1
2
1
2
) log( |)) | | (| ( ) log( o | o e o
t t t
z o c / =
j t
j
p
j
i t
i t
i
q
i
i t
i
q
i
t I
=
=
+ + + =
2
1
2
1
2
1
2
* o | c o c o e o
52
*M hnh NARCH - Higgins and Bera (1992) and Hentschel (1995)
Ba m hnh GARCH khng i xng trn d u c pht trin trn nn tng
ci thin m hnh GARCH tiu chun. Do trong m hnh GARCH (q,p) i xng
khng gip nm bt c c tnh khng i xng ca lch chun ( hay hiu ng
n by ) do TSSL khng k vng c s dng di dng bnh phng. Trong thc
t, lch chun thng c xu hng ln hn i vi nhng c sc bt li so vi cc
c sc c li vi cng ln. M hnh c s dng ph bin nht l m hnh
EGARCH ca Nelson.
*M hnh TARCH - Rabemananjara, R. and J.M. Zakoian (1993) - Threshold
ARCH Models and Asymmetries in Volatilities Journal of Applied Econometrics.
Theo , ta s c hai phng sai:
M hnh TARCH gip ta nm bt c s khc bit gia tc ng m v tc ng
dng ln phng sai thay i c iu kin.
1 1
| |
q p
t i t i j t j
i j
o e o c k | o
= =
= + +
= =
+
+ < + > + =
q
i
p
j
j t
j
i t
i t
i
i t
i t I I
1 1
2 2 2
) )) ( ) ( ( o | c k c o k c o e o
) ( ,
) ( ,
1 1
2 2 2
1 1
2 2 2
k c o | c o e o
k c o | c o e o
< + + =
> + + =
= =
= =
i t
q
i
p
j
j t
j i t
i
i t
i t
q
i
p
j
j t
j i t
i
i t
if
if
53
*M hnh SWARCH - Hamilton, J. D. and R. Susmel (1994) - "Autoregressive
Conditional Heteroskedasticity and Changes in Regime" - Journal of Econometrics.
+ Hamilton a ra gi thuyt v cc bin khng quan st v cc bin ny nhn mt
trong hai gi tr 1 hoc 2 .
+ Hamilton pht trin mt ma trn chuyn i Markov cho cc bin khng quan st.
M hnh n gin nht l SWARCH (1) 2 trng thi:
p(s
t
=1 | s
t-1
=1) = p
p(s
t
=2 | s
t-1
=1) = (1-p)
p(s
t
=1 | s
t-1
=2) = q
p(s
t
=2 | s
t-1
= 2) = (1-q)
Phng trnh ARCH (q) ph thuc s
t:
Phng trnh rt gn:
M hnh SWARCH (1) c 2 gi tr ( 1 v 2 ), ta c 4 gi tr phng sai:
Tham s
=1
t l 1, v tham s
=2
l mt tham s tng ng v lch
chun. Nu
=2
= 3 tc l lch chun trng thi 2 th cao hn gp 3 ln so vi
trng thi 1. Trong SWARCH, trng thi y c hiu l trng thi ca lch
chun, vi SWARCH (1) 2 trng thi l trng thi lch chun cao v thp.
=
+ =
q
i
i t
s s i s s
t
t t t t
1
2
, , ,
2
1 1
c o e o
i t t s
q
i
i t
i s
t
=
+ = c o e o / /
1
2 2
2 , 2 , /
1 , 2 , /
2 , 1 , /
1 , 1 , /
1
2
1 1
2
1
2
1 1
2
1 2
2
1 1
2
1
2
1 1
2
2 2 2
1 2 2
1 1
1 1 1
= = + =
= = + =
= = + =
= = + =
t t t
t
t t t
t
t t t
t
t t t
t
s s
s s
s s
s s
c o e o
c o e o
c o e o
c o e o
54
*M hnh IGARCH - Nelson (1990, Lamoreux & Lastrapes (1989) v Hamilton &
Susmel (1994).
Trong m hnh GARCH c in, th phng sai s c tnh dng nu + <1. Tuy
nhin, tnh dng khng i hi phi c iu kin cht ch nh th ( do phng sai c
iu kin khng ph thuc vo t ), hn na, trong thc t, thng thng + 1. Do
, nu ta chp nhp + = 1 th chng ta c m hnh IGARCH, trong m hnh
IGARCH a thc t hi quy ca m hnh ARMA s c mt nghim n v: mt c
sc ln phng sai c iu kin l bn vng.
*M hnh FIGARCH - Baillie, Bollerslev and Mikkelsen (1996) - Journal of
Econometrics.
Nhc li v m hnh ARIMA(p,d,q), khi d = 1 th chng ta c mt qu trnh ng lin
kt, trong chui thi gian, thng thng d s nhn cc gi tr dng nguyn. Tuy nhin,
khi 0<d<1 ta c qu trnh ARFIMA ( Granger and Joyeaux-1980 ) m nm bt c
n ta cn mt m hnh mi l FIGARCH.
M hnh GARCH c in:
Phng php FIGARCH:
vi
2 2
t t t
u c o =
, nu d = 0 ta c GARCH, nu d = 1 ta c IGARCH.
M hnh FIGARCH gip nm bt s bn vng trong di hn ca lch chun.
*(G)ARCH-M - Engle, R.F., D. Lilien and R. Robins (1987) - Estimating Time
Varying Risk Premia in the Term Structure: the ARCH-M Model Econometrica.
2 2
( )
t t j t
E j o o e
+
= +
2
1
2
1
2 2
) ( ) (
t t
q
i
i t i
q
i
i t i t
L L o | c o e o | c o e o + + = + + =
=
=
t t
d
L L L u | e o o )) ( 1 ( ) 1 ))( ( 1 (
2
+ =
55
L thuyt ti chnh t ra gi thuyt rng gi tr bnh qun ca mt qu trnh hi quy
s b nh hng bi tnh bt n khng chc chn ca chui s liu.
Khung l thuyt ca ARCH M:
Phng sai, log phng sai hoc lch chun s c a vo trong phng trnh
hi quy. M hnh ny gip a tnh bt n vo trong bnh qun ca TSSL, s dng kt
hp vi cc m hnh nh GARCH, EGARCH.
5.5 Bng chng thc nghim ca m hnh GARCH:
Cc nghin cu thc nghim v v s tng tc gia cc bin v m v TTCK c th
chia lm hai trng phi. Trng phi th nht l cc nghin cu tp trung vo mi
quan h gc nhn th nht, trng phi ny li phn lm hai phn khc, phn khc
u tin phn tch n thun v l thuyt v nhng tc ng vi cc hc gi nh Fama
1981, Bothurda 1989, Sadorsky 1999, Gunasekarage 2004, Vuyyuri 2005. Phn khc
th hai l cc nghin cu thc nghim thng qua vic s dng cc m hnh nh t hi
quy vect, ng lin kt a bin,
Trng phi th hai th m rng hn cc phn tch nghin cu trc y bng gc
nhn th hai, h tp trung gii thch xem ri ro/ lch chun ca cc yu t v m s
tc ng nh th no n lch chun ca th trng vn m s dng nhiu nht l
cc m hnh VAR v GARCH. Mt s cc nghin cu thc nghim ni ting c
cng b rng ri a phn u s dng cc m hnh ARCH v GARCH vi hn 140 h
m hnh khc nhau.
Schwert (1989) v Flannery & Protopapadakis (2002) kim nh TTCK M v
khng pht hin ra c bng chng cho thy cc bin v m ni ti c th d on
c TSSL ca TTCK M vn thay i khng ngng. Kim, Yoon v Viney (2001) s
2
t t t t
y x | oo c = + +
2 2 2
1 1
q p
t i t i j t j
i j
o e o c | o
= =
= + +
56
dng m hnh ARCH v phn tch ng lin kt tm ra c mi lin h c ngha
gia lch chun th trng Hn Quc v Nht.
Valadkhani & Havie Charles (2007) kim nh nh hng ca gi cc th trng
khc v cc bin s v m ln TTCK Thi Lan bng m hnh GARCH-M v hai ng
nhn ra rng TSSL ca TTCK thay i theo TSSL ca th trng Singapore, Malaysia
v gi du. Wei Chong Choo, See Nie Lee v Sze Nie Ung (2011) s dng cc m
hnh GARCH i xng v GARCH bt i xng ( GJRGARCH, EGARCH v
PGARCH ) tm hiu s bin ng trong lch chun ca chi s Nikkei 225 vi gi
vng, gi du v t gi Yen/US$ nhng h thy rng cc mi tng quan l kh yu.
Chowdhury v Iqbal (2005) chng minh rng TSSL ca TTCK Bangladesh i theo
mt tin trnh GARCH(1,1) v c th d bo c phng sai trong tng lai bng cc
thng tin qu kh. Diebold v Yilmaz (2007) phn tch lch chun ca khong
45 quc gia pht trin v ang pht trin trong khong thi gian t 1084-2004 tuy
nhin phn tch ny li gp kh khn trong vic x l cc s liu u vo.
Mc d s dng cc k thut kinh t khc nhau, phn chung cc nghin cu ny u
cho rng cc bin v m c nh hng nht nh n TTCK v u ng h cho cc c
tnh thc nghim ca TSSL cng nh s hu ch ca cc m hnh GARCH trong vic
gii thch cc mi quan h ny.
57
5.6 Phn tch t sut sinh li ca VNI qua cc m hnh GARCH:
5.6.1 Phn phi ca TSSL VN-Index:
Qua bng phn tch ta thy rng TSSL ca VN-Index l 1.9%/thng ( tng ng
22.8%/nm ) y l mc TSSL kh hp dn trn th trng khi m li sut tit kim
thng ch dao ng quanh mc 14% - 18%/nm. Trong TSSL cao nht l khong
38.5%/thng, mc TSSL khng l ny l vo thng 12/2006 khi VN-Index c bc
nhy vt ln hn 1000 im, cn TSSL thp nht l khong 24% xut hin vo thng
10/2008 thi gian th trng ton cu phi hng chu cn bo khng hong ti chnh.
lch chun trung bnh ca th trng l 12.3%/thng, nhn vo bng so snh TSSL
trung bnh v lch chun ca VN-Index v cc ch s chng khon trn th gii, ta
thy rng TSSL ca th trng Vit Nam l kh cao, hn na lch chun li ch
mc trung bnh ( c kh nng l do quy nh giao dch trong bin 5%/ngy ) do
c th ni TTCK Vit Nam l ni n u t kh hp dn tuy nhin thc t th dng
nh khng c kh quan do ng tin ca Vit Nam lin tc mt gi trong cc nm
0
2
4
6
8
10
12
14
-0.250 -0.125 -0.000 0.125 0.250 0.375
Series: R_VNI
Sample 2004M01 2011M02
Observations 86
Mean 0.019139
Median 0.000220
Maximum 0.385076
Minimum -0.239982
Std. Dev. 0.123266
Skewness 0.449726
Kurtosis 3.357397
Jarque-Bera 3.356673
Probability 0.186684
58
gn y nn nu tnh chnh xc th TSSL trung bnh ca VN-Index cng ch mc
trung bnh so vi cc th trng vn khc.
Ch s
( chui t T1/04 T2/2011 )
TSSL
trung bnh
lch chun
VN-Index - Vit Nam 1.90% 12.32%
Jakata Composite Indonesia 2.18% 22.23%
BSE 30 n 1.66% 22.96%
KS11 Seoul Composite - Hn Quc 1.56% 25.93%
Shanghai Composite - Trung Quc 1.09% 24.86%
All Ordinaries c 0.84% 09.85%
KLSE Composite Malaysia 0.78% 16.25%
Strait Times Index Singapore 0.76% 16.54%
TSEC Weighted Index - i Loan 0.56% 26.14%
Hang Seng - Hng Kng 0.51% 17.91%
Dow Jones Industrial M 0.33% 13.67%
Nikkei 225 Nht Bn 0.30% 16.80%
S&P 500 Index M 0.25% 13.56%
FTSE 100 Anh 0.21% 12.80%
Nasdaq Composite M 0.19% 25.49%
( ngun: tc gi t t tnh ton vi chui s liu thu thp t www.cophieu68.com v www.yahoofinance.com )
Thng k Kurtosis v Skewness cng vi Jarque-Bera cho thy TSSL ca VN-Index
khng phn phi chun, phn phi c nh cao hn so vi phn phi chun, phn phi
c xu hng lch dng khi cc gi tr ca TSSL dng cao hn gi tr ca cc TSSL
m. TSSL ca VN-Index c 44 quan st mang gi tr dng, 42 quan st mang gi tr
m, tp trung nhiu trong khong (-12.5% n 12.5% ).
Kim nh tnh dng vi kim nh nghim n v ( Unit root test ) ca ADF cho
thy chui TSSL ca VN-Index l dng vi mc ngha 1% ( tin cy 99% ). Ta
tip tc phn tch vi biu Correlogram vi cc ch s AC, APC, Q-stat, ta thy rng
t tr th 2 tr i, cc h s AC v PAC u c xem bng 0. Lc tng quan
tng th c thy mc kt hp tuyn tnh gia Y
t
v Y
t-1
( bin tr th 1 ) l kh cao
59
cho thy khi hi quy ta c th thm vo bin tr (-1) tng tnh gii thch cho bin
ph thuc.
( lc tng quan tng th Correlogram vi 20 tr - tc gi tnh ton )
5.6.2 Kim nh TSSL th trng vi cc m hnh GARCH:
Trong phn tch a bin trn, ta chn c mt m hnh kh tt th hin mi
quan h gia cc bin v m v ch s VN-Index:
R_VNI = c + b
1
D(R_M2) + b
2
R_DJ + b
3
RVNI(-1) +
t
Tuy nhin, m hnh li khng c yu t phng sai thay i c iu kin ( ARCH
test cho kt qu p-value kh cao 0.45 ), hn na phn tch nh hng ca cc bin
v m tc gi quyt nh khng s dng bin tr (-1) v loi n ra. Kt qu kim nh
ARCH test cho m hnh hai bin mi R_VNI = c + b
1
D(R_M2) + b
2
R_DJ +
t
:
60
M hnh hai bin mi ny cho thy c hin tng phng sai thay i c iu kin
vi mc ngha 5%, nh vy ta c th s dng m hnh GARCH (1,1) kim nh
cc c tnh thc nghim ca TSSL th trng.
Phng trnh TSSL: R_VNI = c + b
1
D(R_M2) + b
2
R_DJ +
t
-
t
N (0,
t
2
)
Phng trnh GARCH (1,1):
t
2
= +
t-1
2
+
t-1
2
, > 0; , 0
Coefficient Std. Error z-Statistic P-value
C 0.0084 0.0119 0.7034 0.4818
D(R_M2) 1.0750 0.3357 3.2025 0.0014
R_DJ 0.5181 0.2621 1.9763 0.0481
Variance Equation
0.0012 0.0010 1.1653 0.2439
Coefficient t-Statistic P-value
D(R_M2) 1.0436 2.0004 0.0488
R_DJ 1.0895 3.7847 0.0003
C 0.0134 1.1227 0.2648
R-squared 0.1899 F-statistic 9.6094
Adj R-squared 0.1701 P-value (F sta) 0.0002
ARCH Test: ( Lag 1 )
O. R-squared 3.9319 P-value 0.0474
61
0.2728 0.1538 1.7733 0.0762
0.6454 0.1560 4.1374 0.0000
R-squared 0.1479 AIC -1.5475
Adj R-squared 0.0940 F-statistic 2.7428
S.E 0.1147 P-value (Fsta) 0.0245
ARCH Test: ( lag 1 )
O. R-squared 1.1678 P-value 0.2799
Hi quy trong m hnh GARCH (1,1) cho thy cc bin s u c ngha thng k,
du ca cc bin c lp khng i so vi khi hi quy n bin v a bin. Cc nhn t
hin ti gip gii thch khong 15% VN-Index. H s phng sai tr ( ) thc s c
ngha v mt thng k cho thy nhng bt n trong t sut sinh li k ( t-1 ) s c nh
hng n thi k t hin ti , du ca l dng tc l nhng thi k c lch chun
cao th theo sau n cng c lch chun cao v ngc li. H s tr ca phng sai
() cng c ngha v mt thng k hm lch chun ca k ( t-1 ) c th gip gii
thch lch chun ca t sut sinh li th trng thi k t.
- = 0.27 > 0.2, h s kh cao cho thy
lch chun phn ng kh mnh vi
cc thay i ca th trng.
- = 0.64 < 0.8 tc l mc bn vng
ca lch chun khng cao, lch
chun c xu hng thay i mnh khi
c cc c sc trn th trng.
- + <1 hm lch chun c iu kin s hi t v trung bnh di hn.
62
Tip theo, ta s dng m hnh bt i xng EGARCH kim nh hiu ng n
by cho m hnh hi quy hai bn.
Phng trnh TSSL: R_VNI = C + b
1
D(R_M2) + b
2
R_DJ +
t
,
t
N (0,
t
2
)
Phng trnh EGARCH (1,1): ln
t
2
= +
1
+ ln
t-1
2
+
1
Coefficient Std. Error z-Statistic P-value
D(R_M2) 1.0880 0.3115 3.4931 0.0005
R_DJ 0.6292 0.2576 2.4421 0.0146
C 0.0043 0.0109 0.3947 0.6931
Variance Equation
-1.3138 0.7506 -1.7504 0.0801
0.5312 0.2391 2.2215 0.0263
-0.0147 0.1480 -0.0996 0.9207
0.8022 0.1510 5.3121 0.0000
R-squared 0.1572 AIC -1.5266
Adj R-squared 0.0923 F-statistic 2.4242
S.E 0.1148 P-value (F-sta) 0.0335
ARCH Test:
O. R-squared 0.5619 P-value 0.4535
63
Bng trn th hin kt qu hi quy cho m hnh
EGARCH (1,1), trong , cc h s ca cc bin
c lp l c ngha thng k vi tin cy 1%.
Du ca cc h s cng khng i so vi cc m
hnh trn, h s v u c ngha thng k,
theo , phng sai ca hin ti c th c gii
thch bng phng sai ca k trc , nhng bt
n ca thi k trc c nh hng n thi k ny. Tuy nhin, h s gip nm bt
hiu ng n by li khng c ngha thng k ( p-value = 0.9207 ) do hu nh
trong khong thi gian kho st ( T1/2004 T2/2011) VN-Index hu nh khng tn ti
hiu ng ny.
Vi vic s dng m hnh EGACH, h s R
2
c ci thin khi tng ln mc gn
16%, tc gi tip tc th nghim vi GARCH-M a bin phng sai/ lch chun
vo trong m hnh EGARCH nhng cc h s c lp ca m hnh tr nn khng c
ngha, h s trong m hnh EGARCH cng cho thy l vic s dng ARCH-M l
khng kh thi.
tm ra m hnh gii thch VN-Index tt hn, tc gi quyt nh thm vo mt bin
tr mt thi k ca VN-Index vo m hnh EGARCH, y l bin gip ci thin kh tt
m hnh a bin trn cng nh c chng mnh trong biu correlogram.
Phng trnh t sut sinh li mi:
R_VNI = C + b
1
D(R_M2) + b
2
R_DJ + b
3
R_VNI(-1) +
t
,
t
N (0,
t
2
)
Phng trnh EGARCH (1,1): ln
t
2
= +
1
+ ln
t-1
2
+
1
Coefficient Std. Error z-Statistic P-value
D(R_M2) 1.0978 0.2326 4.7199 0.0000
R_DJ 0.6441 0.2755 2.3379 0.0194
64
R_VNI(-1) 0.4730 0.0939 5.0357 0.0000
C 0.0001 0.0106 0.0119 0.9905
Variance Equation
C -0.9099 0.4859 -1.8726 0.0611
0.5222 0.2552 2.0458 0.0408
-0.2006 0.1582 -1.2676 0.2049
0.8910 0.0855 10.4259 0.0000
R-squared 0.2755 AIC -1.7158
Adj R-squared 0.2096 F-statistic 4.1821
S.E 0.1072 P-value (F-sta) 0.0006
M hnh mi c h s R
2
c ci thin hn so vi cc m hnh trc ( 27.55% ). H
s ca bin tr R_VNI(-1) l c ngha, cho thy vic a bin vo trong m hnh
EGARCH l hp l, tuy nhin, mt ln na ta li khng tm thy bng chng cho thy
c hin tng hiu ng n by trn th trng chng khon Vit Nam.
ARCH Test: Lag 1
O.R-squared
0.1230 P-value
0.7258
65
6. KT LUN:
6.1 Tm tt cc kt qu:
Bi nghin cu i vo thc tin nghin cu nhng nh hng ca cc bin s v m
n TSSL v rui ro ca TTCK Vit Nam. Phn tch i su vo c im ca cc bin
s kinh t v m ring c ca Vit Nam cng nh tc ng ring l ca n n th
trng ( phn tch n bin ). Trong phn tch a bin, kt qu t m hnh hi quy cho
thy VN-Index s b tc ng bi cc thay i trong cn cn xut nhp khu, mc
tng ca cung tin v ch s DowJones ca M.
M hnh OLS c gii thch tt nht vi cc bin c lp l TSSL ca DowJones,
mc tng ca cung tin v bin tr 1 giai on ca VN-Index.
M rng phn tch nh hng ca cc bin s v m n lch chun ca VN-
Index, tc gi s dng m hnh GARCH(1,1) v EGARCH(1,1). Kt qu cho thy
TSSL ca VN-Index thc s c hin tng phng sai thay i c iu kin t hi
quy, cc h s trong m hnh GARCH v EGARCH u c ngha thng k, tuy nhin
khng c bng chng cho thy th trng chng khon VIt Nam c xut hin hiu ng
n by ( h ). S dng thm bin tr R_VNI(-1) vo trong m hnh EGARCH, tnh
gii thch ca m hnh c ci thin vi R
2
=27.54%, y l m hnh nm bt c
dao dng trong VN-Index kh tt.
Tuy nhin, mc trn ch gip gii thch cha n 1/3 VN-Index, tc l cc yu t
kinh t v m hu nh khng ng gp nhiu trong vic hnh thnh nn ch s VN-
Index. y cng c th xem l mt yu t gy nn ri ro cho th trng khi m cc yu
t nn tng c bn ca nn kinh t khng phn nh c vo gi. Nu vy th nhn t
no gip gii thch TTCK, liu m hnh a nhn t ca Fama-Frech c gip ci thin
tt hn tnh hnh hin ti, hay TTCK dng nh chu nh hng nhiu t tm l by
n-ni m cc hnh vi ca nh u t l khng hp l.
66
6.2 Phn tch cc vn ca TTCK Vit Nam:
Qua cc kt qu thc nghim TTCK Vit Nam, ta thy rng ri ro, li nhun ca
th trng vn ph thuc kh ln vo tc tng trng cung tin. Do , cc ng
thi tht cht tn dng ( thng qua chnh sch tin t tht cht ) thng em li cc tc
ng tiu cc n TTCK. Thc t chng minh, trong cc nm 2006 -2007-2008 vi
chnh sch tin t m rng, cng vi vic gia nhp thnh cng WTO lm cho dng
vn nng chy vo th trng kh nhiu, thanh khon tng mnh cng vi chi ph tn
dng r to ra mt bong bng trn TTCK Vit Nam. Trong nm 2009, sau khi chu
nh hng kh mnh t cuc khng hong ti chnh ton cu, mt gi kch cu kinh t
c a ra to iu kin cho chng khon tng mnh tr li. Mc d bn cnh
knh u t chng khon cn c cc knh u t khc nh vng, bt ng sn, ngoi
t, v.v tuy nhin hot ng u t trn cc knh ny thng i hi phi c vn cc
ln ( bt ng sn ) hay i hi phi c kin thc tt v k thut v phn tch ( vng,
ngoi t ) nn u t chng khon lun c xem l mt knh u t rt c a
chung, lng tin t hot ng m rng tn dng thng c xu hng vo th
trng vn kh nhiu nht l khi cc knh nh vng, ngoi t b chnh ph qun l kh
cht cn bt ng sn th bt u xut hin hin tng cung vt cu.
Tnh hnh iu hnh cung tin ca chnh ph nhm chng tnh trng lm pht cao vn
cha c hiu qu nht nh nn cng tc ng kh ln ln tm l ca th trng. Thc
trng ny l do hin ti li sut ca Vit Nam mc kh cao nn lm cho hiu ng
nghch gia li sut v lm pht khng pht huy c tc dng. Hn na vi nhng
c im ring ca mnh, vic tht cht cung tin Vit Nam ( lm cho li sut vay
nng cao ) s d dn nguy c lm pht chi ph y lm cho lm pht thm trm trng
do u ra ca cc doanh nghip bt buc phi cao hn; trong khi mt s th trng
nh Singapore, c chnh sch tht cht cung tin pht i tn hiu lc quan cho th
trng do cc nh u t hon ton tin tng vo s thnh cng ca chnh sch.
67
Kt qu thc nghim th trng Vit Nam chng mnh rng th trng vn ca Vit
Nam c tng quan kh cht ch vi th trng M. Nguyn do cho thc tin ny c
th nhn thy kh r do hot ng thng mi gia hai quc gia l kh ln, trong nhiu
nm lin M lun l i tc m Vit Nam xut khu nhiu nht ( chim trung bnh 20%
tng xut khu ca Vit Nam ); trn hai sn HOSE v HNX, cc doanh nghip nim
yt c i tc chin lc M chim s lng kh ln, ngun vn u t ngoi vo th
trng vn Vit Nam thng tt ton li li thng qua ng tin l US$, v cui cng
M l quc gia pht trin nht th gii, tnh trng sc khe kinh t ca M c th nh
hng n nn kinh t ton cu m trong c cc bn hng khc ca Vit Nam.
2007 2008 2009 2010
Tng XK 48,561 62,685 57,096 71,600
XK sang M 10,000 11,869 11,355 14,238
(n v triu $ - ngun: GSO )
Mc d trong khong thi gian trc y, nhiu kin cho rng TTCK Vit Nam
khng cn lin h vi TTCK th gii th hin qua nhng phin i ngc li vi din
bin chung ca chng khon th gii. Gii thch cho cc nguyn nhn ny, tc gi a
ra vi l do:
+ Th nht, mc d kinh t Vit Nam hi nhp su vo th trng th gii sau khi
gia nhp WTO nhng tui i vn cn kh non tr ca TTCK Vit Nam cng nh thi
gian hi nhp cha cao, mt phn no cc tc ng cha c phn nh ht vo gi.
+ Th hai, th trng Vit Nam c nhng c im ring c ca n, khng th no c
tng quan 100% vi cc th trng c nhng c th khc, c bit l trong thi gian
khng hong, lc m cc thay i chuyn bin l kh on v khng cn ng theo
thng thng. Trong khong thi gian khng hong, TTCK Vit Nam hu nh ch
quan tm n cc yu t ni ti nh chnh sch kch cu ca chnh ph, din bin lm
pht, v.v.
68
+ Th ba, tnh trng bt cn xng thng tin v tm l by n trn th trng l kh ln
( cc nghin cu trn th trng Vit Nam chng thc vn ny ), cc NT cha
c s chuyn nghip nht nh, d b tc ng bi cc thng tin bn ngoi dn n cc
hnh vi khng hp l l iu kh trnh khi.
Tuy nhin, nh kt qu trong nghin cu ny, r rng VN-Index hin ang ngy cng
c xu hng tng quan cao vi th trng th gii.
6.3 Cc kin ngh:
Vn c pht hin kh nhiu trong nghin cu ny l vic cc bin v m hu
nh khng c ngha i vi cc bin ng trong VN-Index. Nguyn nhn chnh l do
chnh ph can thip hnh chnh kh nhiu vo th trng lm cho cc bin tr nn
km ngha do khng cn l i din phn nh thc cht nn kinh t, do TTCK
hot ng hiu qu hn, cc chnh sch v m nn tun th cc nguyn tc th trng
nguyn tc cung cu.
Trong cc chnh sch, chnh sch tin t c tc ng kh bn vng n VN-Index do
y l cng c iu tit th trng hiu qu thng qua nh hng ca ngun cung
tin. Tuy nhin chnh sch cung tin nn hng vo cc hot ng sn xut kinh doanh
thc ca doanh nghip lm nn tng pht trin cho th trng. Trc y, khi cung
tin m rng, lung tin vo TTCK l kh ln nhng lng hng ha c s ca th
trng l khng nhiu, s khan him hng ha gp phn to nn cc bong bng tng
gi o trn hai sn.
K t sau nm 2008, lm pht ang dn tr thnh mi lo ngi hng u ca cc nh
u t, vic kim ch lm pht lun l tm im ca chnh sch v m trong cc nm
gn y, tuy nhin vi c im ring bit Vit Nam y l vn kh kh khn.
Theo cc nghin cu gn y ca WB v ca TS. Quch Mnh Ho ( CTCK TLS ) th
69
vic la chn chnh sch no cng c nhng mt tri v phi ca n, chng lm pht
thanh cng ta cn phi khoanh vng tc ng ca lm pht dng cng c tin t n
u cho hiu qu trnh tnh trng chnh sch tin t phi chy theo din bin lm pht
nh hin nay: mt v d n gin l gi xng du. Khi chng ta tng gi xng th
gii thch l v gi thp hn so vi cc nc lng ging. Nhng khi tng xong ri
chng ta vn ni cn thp, nh vy th ngi dn s c tm l l cn c th tng tip
na. Ti sao chng ta khng tng mt ln cho bng hoc n gin l ni rng gi vn
thp hn nhng cam kt khng c ln tng gi no na cho n cui nm.
Qua nghin cu ny, ta thy rng TTCK Vit Nam ngy cng hi nhp su rng vo
TTCK th gii. Tuy nhin, sau 10 nm th trng vn hnh, vic a ra cc sn phm
mi li rt ngho nn. TS c Minh - B Ti chnh cho rng, c quan qun l
cn sm chun b cho s ra i v pht trin ca chng khon phi sinh. y l xu
hng tt yu trong qu trnh pht trin ca TTCK. Nu khng sm chun b cc iu
kin cn thit, s khng phn ng kp vi s pht trin t pht ca th trng .
Cc ch bo v m vn l c s cho s pht trin ca th trng, nhng li gii thch
khng nhiu cc thay i trong VN-Index, iu ny cho thy r rng th trng vn cn
tim n kh nhiu ri ro, m ln nht chnh l hin tng tm l by n. Theo ghi
nhn thc t, gn 90% NT c nhn trn th trng l cha c kinh nghim cng vi
vn bt cn xng thng tin, y l mi trng l tng cho hnh vi bt hp l.
gim phn no tm l by n cn c cc bin php ci thin vn cng b thng tin
trn th trng k c cc s liu v m, tng cng cc bin php x l i li, cc
hin tng lm gi.
Cc kin ngh khc gip pht trin TTCK c th k n nh: ni lng cc gii hn
kinh doanh chnh lch gi bng cc cng c nh bn khng, T+1 ,v.v. Ngoi ra cn
pht trin cc t chc u t chuyn nghip m vn ni bt trong thi gian gn y
l vic thnh lp cc qu m, y c xem l mt bc pht trin kh tt nhm tng
70
tnh hiu qu cho TTCK Vit Nam khi gip tng thm hng ha c s cho th trng,
tng tnh an ton do c iu hnh bi cc chuyn gia trong ngnh.
V pha cc NT: nn trnh u t theo xu hng, tin n do ri ro kh cao, lun
nng cao kin thc. Khi c cc iu chnh v chnh sch v m nh kim sot cung
tin, cc NT cn xem xt li danh mc ca mnh do chnh sch tin t thng c tc
ng rt mnh v nh hng lu di, trong cc trng hp xu cn rt khi th trng
vo u t vo cc knh khc c tnh an ton cao hn. i vi cc m c phiu c xu
hng khc thng ( nht l cc m c t l nm gi ca Nh nc hay c ng chin
lc cao ), nn c cc phn tch t m v y trc khi tin hnh gii ngn vo cc
m c phiu y.
Ting Vit:
1. GS.TS Trn Ngc Th 2007 Ti chnh doanh nghip hin i.
2. GS.TS Trn Ngc Th V Vit Qung 2007 Lp m hnh ti chnh.
3. Nguyn Quang Dong 2007 Phn tch chui thi gian trong ti chnh
4. PGS.TS Phan Th Bch Nguyt 2008 u t ti chnh.
5. PGS.TS. Phm Th Ngc Trang PGS. TS. Nguyn Th Lin Hoa 2008
Phn tch ti chnh.
6. ThS Hong Ngc Nhm Gio trnh kinh t lng
7. ThS. Phng Thanh Bnh Hng dn s dng Eviews 5.1.
8. ThS. Phm Tr Cao 2008 Kinh t lng ng dng phn nng cao.
9. TS. Trn Th Hi L 2010 Lun n tin s: Nghin cu ri ro v TSSL trn
TTCK Vit Nam.
Ting Anh:
1. Dr. Abu Taher Mollik 2006 Does predicted macroeconomic volatility
influence stock market volatility ? Evidence from the Bangladesh capital
market.
2. Dr. Junsoo Lee Lecture: Volatility and ARCH models.
3. Duan Hongbin 2008 Stock market development and economic growth:
evidence of China.
4. Fatma Sonmez Saryal 2007 Does inflation have an impact on conditional
stock market volatility: eviedence from Turkey and Canada.
5. Gopalan Kutty 2007 The relationship between exchange rates and stock
prices: the case in Mexico.
6. John Leyers Michigan & CEPR University The effect of gold and oil prices
upon international stock market indexes.
7. Hamid Mohtade & Sumit Agarwal Stock market development and economic
growth: evidence from developing countries.
8. Hung-Chun Liu 2009 Forecasting China stock markets volatility via
GARCH models under Skewed-GED distribution.
9. Husna Hasan 2006 Causal relationship between stock market price and
macroeconomic variables in Malaysia.
10. Matiur Rahman 2008 Influences of money supply and oil price on U.S stock
market.
11. Michael J. Hamburger & Levis A.Kochin 2009 Money and stock prices: the
channel of influence.
12. Paresh Kumar Narayan & Seema Narayan RMIT University 2008 Modelling
the impact of oil prices on Vietnam s stock prices.
13. Philip Hans Franses 1996 Forecasting stock market volatility using (non-
linear) GARCH models.
14. Robert F.Engle GARCH 101: the use of GARCH/ARCH models in applied
econometrics, Journal of Economic.
15. Ruey S. Tsay. Wiley 2002 Analysis of financial time series ( Chapter 3 )
16. University of Illinois-Depertment of Economics 2001 Introduction to ARCH
& GARCH models.
17. Wei-Chong Choo 2011 Macroeconomics uncertainty and performance of
GARCH models in forecasting Japan stock market volatility.
18. Zhaoxu Chen & Jun Xu 2009 Dynamic Linkages between stock market
volatility and macroeconomic variables: empirical evidence based on China.
19. Z.Chinzara 2010 Macroeconomic uncertainty and emerging market stock
market volatility: the case of South Africa.
20. Yan Shang 2007 Linkage of stock prices in major Asian markets and US.
Website:
1. www.asianbonds.adb.org
2. www.cafef.vn
3. www.cophieu68.com
4. www.gold.com
5. www.gso.gov.vn
6. www.imf.org
7. www.saga.vn
8. www.sbv.gov.vn
9. www.tonto.eia.doe.gov/dnow/pet
10. www.vneconomy.vn
11. www.vietstock.vn
12. www.vinacorp.vn
13. www.worldbank.org