Doko - VN 238022 Moi Lien He Giua Cac Nhan To Kinh Te Vi

B GIO DC V O TO
TRNG I HC KINH T TP.HCM

-----------------
CNG TRNH D THI
GII THNG NGHIN CU KHOA HC SINH VIN
NH KINH T TR NM 2011

TN CNG TRNH:

MI LIN H GIA CC NHN T KINH T V M V TH
TRNG CHNG KHON - KT QU THC NGHIM
TH TRNG CHNG KHON VIT NAM

THUC NHM NGNH: TI CHNH NGN HNG
B GIO DC V O TO
TRNG I HC KINH T TP.HCM
-----------------
CNG TRNH D THI
GII THNG NGHIN CU KHOA HC SINH VIN
NH KINH T TR NM 2011

TN CNG TRNH:

TRNG CHNG KHON - KT QU THC NGHIM TH
TRNG CHNG KHON VIT NAM

THUC NHM NGNH: TI CHNH NGN HNG

TM TT TI
o L do chn ti
Trong nghin cu 4/2010 ca Lukas Mankhoff, tc gi cho thy rng 100% nh u
t v chuyn gia qun l qu cho bit phn tch c bn chim t trng hn 60% trong
cc quyt nh ca h, bn cnh phn tch k thut (khong 30%) v phn tch dng
tin (di 10%), khi xem xt di hn th t trng ny thm ch cn ln hn nhiu. C
c ch ng nh vy l do phn tch c bn mang trong n ngha kinh t cao v
c kim nh trong thc t. Trn th gii v Vit Nam, phn tch c bn v m ng
vai tr quyt nh; do , nghin cu mi quan h gia cc bin v m n th trng
chng khon a ra cc gii php ng ph l mt vn thit thc v hu ch.
o Mc tiu nghin cu
Trong mt cng ty chng khon, phng ban phn tch l phng chc nng xng
sng ca hot ng doanh nghip. Hot ng phn tch tt s gip cng ty tng thm
uy tn, chim c nim tin ca cc nh u t qua gip ci thin doanh thu cng
nh li nhun, ngoi ra, n cn gip cng ty ch ng hn trc cc tnh hung v
phng nga ri ro tt hn. Bi nghin cu a ra s liu kim nghim trong thc t v
% tc ng ca mi bin s ln th trng chng khon gip hon thin hn na
cng vic phn tch.
o Phng php nghin cu
Thu thp, lc s liu vi Excel v Eviews.
Phng php phn tch, thng k, so snh, chn mu.
M hnh OLS, GARCH, EGARCH.

o Ni dung nghin cu
Trong kinh t hc cng th, cc mi quan h gia cc yu t kinh t t lu l mt
tm im thu ht nhiu nghin cu nhm tm hiu, l gii n, y ta ang ni n
mi quan h gia cc nhn t v m nh sn lng cng nghip, cung tin, lm pht,
gi vng, t gi, .. ln gi chng khon cng nh mi quan h gia cc ch s chng
khon vi nhau. th trng VIt Nam, vic thay i trong cc chnh sch cng nh
cc bin s v m thng xy ra kh t ngt nn thng c tc ng kh mnh (tch
cc v tiu cc) ln tm l ca ca cc nh u t. Bng vic kim nh trong thc t
qua cc m hnh kinh t lng gip cho ta c ci nhn tng qut hn v ri ro v bin
ng ca VN-Index lp ra cc d bo cng nh phng nga cho nhng hot ng
u t. Bi nghin cu da trn cc kim nh thc t vi cc s liu c tin cy cao,
qua vic s dng cc m hnh OLS, GARCH, . a ra ci nhn khch quan v
tng qut v t sut sinh li ca th trng chng khon Vit Nam.
o ng gp ca ti
Thng qua kim nh trong thc t, a ra c con s tng i chnh xc v s tc
ng qua li gia cc bin kinh t v hnh vi ln th trg chng khon, gip a ra ci
nhn chung u tin khi c nhng thay i trong chnh sch v m nh t gi, li sut,
lm pht.v.v, cc vn xy ra kh thng xuyn Vit Nam.
o Hng pht trin ca ti
Cc kt qu t bi nghin cu cho thy t sut sinh li ca th trng chng khon
Vit Nam hu nh khng chu nh hng bi cc bin s v m nhng thng tin c
bn ca nn kinh t. iu ny n t nhiu pha m ch yu l do th trng Vit Nam
l khng hiu qu dn n vic hp th thng tin khng tt cng nh nhng hn ch v
mt bn cht trong cc chnh sch ca Vit Nam. m rng hn bi nghin cu ny
nn cn tm hiu thm cc m hnh khc gip gii thch t sut sinh li th trng tt
hn nh m hnh Fama-French, m hnh ba nhn t mi ca Lu Zhang hay cc nghin
cu v tm l by n v o lng mc by n ca VN-Index.

1. TNG QUAN ............................................................................................ 1
1.1 Cc s kin in hnh v mi tng quan gia cc nhn t kinh t v m
v th trng chng khon ................................................................................ 1
1.2 Lch s nghin cu mi quan h gia cc bin kinh t v m v TTCK ....... 4

2. CC NGHIN CU THC NGHIM TRN TH GII .................... 6
2.1 Tc ng ca cc bin kinh t thc ln TTCK ............................................ 6
2.1.1 nh hng ca thng tin v sn lng cng nghip ln TTCK ......... 6
2.1.2 Thay i trong cn cn thng mi v tc ng ln TTCK ............... 7
2.2 nh hng ca nhng nhn t tin t ln TTCK ........................................ 8
2.2.1 Cung tin ......................................................................................... 8
2.2.2 Lm pht ........................................................................................... 10
2.2.3 Li sut ............................................................................................. 11
2.3 Mi quan h gia cc nhn t th trng khc TTCK ................................. 13
2.3.1 T gi................................................................................................ 13
2.3.2 Gi du ............................................................................................. 16
2.3.3 Gi vng ........................................................................................... 17
2.3.4 Mi tng tc qua li gia cc TTCK vi nhau ................................. 19

3. PHN TCH CC BIN V M VIT NAM BNG M HNH HI
QUY OLS........................................................................................................ 21
3.1 Chui s liu...21
3.2 Cch thc chn bin ................................................................................... 22
3.3 Cc tin phn tch kim nh ................................................................... 23
3.3.1 Phn tch phn phi ca VN-Index .................................................. 23
3.3.2 Kim nh tnh dng ( kim nh nghim n v ADF ) ............... 24
3.3.3 Kim nh ng lin kt (cointegrated test ) .................................... 26
3.3.4 Bng k vng v du....................................................................... 27
3.4 Phn tch mi quan h bng m hnh n bin ........................................... 28
3.4.1 Sn lng cng nghip v nh hng ln TTCK VN ...................... 28
3.4.2 Cn cn XNK v nh hng n TTCK VN ................................... 29
3.4.3 Tc ng ca lm pht ln VN-Index .............................................. 31
3.4.4 Mi quan h gia cung tin v TTCK VN ....................................... 34
3.4.5 Li sut tri phiu chnh ph v tc ng ca n ln TTCK VN ...... 35
3.4.6 nh hng ca gi du th gii n TTCK VN .............................. 37
3.4.7 Vng v mi quan h n TTCK VN .............................................. 39
3.4.8 VN-Index v thay i trong t gi ................................................... 41
3.4.9 Ch s DowJones v ch s VN-Index ............................................. 43

4. Phn tch t sut sinh li VN-Index bng m hnh a bin .................... 45
4.1 Ma trn h s tng quan ........................................................................... 45
4.2 M hnh a bin ......................................................................................... 46

5. PHN TCH T SUT SINH LI CA VNI BNG H M HNH
ARCH, GARCH ............................................................................................. 49
5.1 Cc c im thc nghim ca t sut sinh li ........................................... 49
5.2 M hnh ARCH Engle ( 1982) ................................................................ 50
5.3 M hnh GARCH Bollerslev (1986) ........................................................ 51
5.4 Mt s m hnh trong h m hnh GARCH ................................................ 51
5.5 Bng chng thc nghim ca m hnh GARCH ......................................... 55
5.6 Phn tch t sut sinh li ca VNI qua cc m hnh GARCH ...................... 57
5.6.1 Phn phi ca TSSL VN-Index ..................................................... 57
5.6.2 Kim nh TSSL th trng vi cc m hnh GARCH .................. 59

6. KT LUN ................................................................................................ 65
6.1 Tm tt cc kt qu .................................................................................... 65
6.2 Phn tch cc vn ca TTCK Vit Nam ................................................. 66
6.3 Cc kin ngh ............................................................................................. 68

Trong nghin cu 4/2010 ca Lukas Mankhoff, tc gi cho thy rng 100% nh u
t v chuyn gia qun l qu cho bit phn tch c bn chim t trng hn 60% trong
cc quyt nh ca h, bn cnh phn tch k thut (khong 30%) v phn tch dng
tin (di 10%), khi xem xt di hn th t trng ny thm ch cn ln hn nhiu. S d
c c ch ng nh vy l do phn tch c bn mang trong mnh ngha kinh t cao
v c kim tra ng n trong thc t. Trn th gii cng nh Vit Nam, phn
tch c bn v m ng vai tr quyt nh; do , nghin cu mi quan h gia cc bin
v m n th trng chng khon a ra cc gii php ng ph l mt vn thit
thc v hu ch.
th trng VIt Nam, vic thay i trong cc chnh sch cng nh cc bin s v
m thng xy ra kh t ngt nn thng c tc ng kh mnh ( c tch cc v tiu
cc ) ln tm l ca ca cc nh u t. Bng vic kim nh trong thc t qua cc m
hnh kinh t lng gip cho ta c ci nhn tng qut hn v ri ro v bin ng ca
VN-Index lp ra cc d bo cng nh phng nga cho nhng hot ng u t trn
th trng.

1

TRNG CHNG KHON - KT QU THC NGHIM
TH TRNG CHNG KHON VIT NAM

1. TNG QUAN:

1.1 Cc s kin in hnh v mi tng quan gia cc nhn t kinh t
v m v th trng chng khon:
Trong thc t, c nhiu hin tng, s kin xy ra gip gi ln nhng tng, khi
cc s vic ny xy ra vi mt tn sut no , hay din ra thng xuyn, n s gi ln
trong chng ta cu hi: ti sao ? Trong kinh t hc cng th, cc mi quan h gia cc
yu t ny n cc yu t n t lu l mt tm im thu ht nhiu nghin cu nhm tm
hiu, l gii n, y ta ang ni n mi quan h gia cc nhn t v m nh sn
lng cng nghip, cung tin, lm pht, gi vng, t gi, .. ln gi chng khon cng
nh mi quan h gia cc ch s chng khon vi nhau. Nhng trc khi ni n cc
mi tng quan ny, ta nn bn i cht v cc s kin lm cho cc nh kinh t hc
phi t cu hi ti sao li nh vy ?. C rt nhiu s kin nhng y ta ch cp
n mt vi v d in hnh v gn gi c ci nhn u tin v vn ny:
-Tng t gi Vit Nam ngy 18/8/2010
Sau khi thng tin v vic t gi lin ngn hng tng 2,1% c ng ti rng ri trn
bo ch vo sng 18-8, TTCK Vit Nam chng kin mt phin gim mnh khi ch
s VN-Index mt 8,03 im, tng ng 1,73%, xung cn 455,49 im.
Sn TPHCM ghi nhn c n 206 m chng khon gim gi, trong khi s lng tng
gi ch c 29 m. Hu ht cc c phiu c vn ha ln nh EIB, REE, PVF, VCB,
SSI u gim gi trong phin hm y.
2

-11/2/2011, NHNN cng b quyt nh tng t gi bnh qun lin ngn hng gia
USD vi VND, t 18.932 VND ln 20.693 VND (tng 9,3%), cng vi l thu hp
bin p dng cho t gi ca cc ngn hng thng mi t +/-3% xung cn +/-1%.
Ln iu chnh ny, mc tng 9,3% c th ni l mnh nht trong lch s qua mt ln
iu chnh, gn vi c mc tng ca c mt nm trong nhng nm gn y. Qua mc
tng 9,3%, mc trn bn ra ca cc ngn hng thng mi 20.900 VND, thu hp
hn khong cch quanh 10% so vi gi trn th trng t do vn tn ti t khong
thng 10/2010.

-Trong thi gian t 2000 n 2007, khi tc tng cung tin ca nm sau lun cao
hn nm trc to nn mt bc nhy vt trong VN-Index t vng 200 ln n hn
1000 im vi khi lng giao dch ngy cng tng.

-Trong nm 2008, khi lm pht ln n nh im k t sau thi k i mi 19.9%,
VN-Index c mt mc st gim t 850 im v 315 im ( mc iu chnh n
63%). Sau 2008, mi khi thng tin v lm pht c cng b l mi ln th trng phi
n nhn nhng bin ng mnh trong gi c phiu.

-Gi du lp k lc mi, vng tng mnh (22/5/2008)
Trong bi cnh hu ht cc nn kinh t trn th gii trong thi gian ny ang i mt
vi nhiu kh khn nh lm pht cao, sn xut nh tr th vic gi du th lin tc
tng mnh ln mc cao nht mi thi i, gn 135 USD/thng vo sng ngy 22/5 lm
mi vic tr nn ti t hn. Khng ch Vit Nam, vi vic gi du lin tip lp k lc
mi trong 3-4 phin trc , cc TTCK ln ti chu cng ng lot gim mnh.
Chng khon M vi ch s Standard & Poors 500 Index gim rt mnh. Tnh ti
cui phin giao dch sng hm y, trn th gii, gi vng tng mnh ln 933,2
USD/ounce. Trong nc, gi vng ln ti gn 18,6 triu ng/lng.
3

-Cc cuc khng hong du m nm 1973 bt u vo thng 10/1973, khi cc thnh
vin ca T chc Cc nc xut khu du m Rp hoc cc OAPEC (bao gm cc
Arab cc thnh vin ca OPEC , cng vi Ai Cp , Syria v Tunisia ) cng b mt loi
du lnh cm vn " phn ng li quyt nh M ti cung cp qun i Israel" trong
cuc chin tranh Yom Kippur , n ko di cho n thng 3 nm 1974 Nhng nm 1973
"c sc gi du" cng lc TTCK sp 1973-1974.
-Sng 15.9.2008, khi Lehman Brothers chnh thc np n ph sn, TTCK ton cu
tt gim d di. Vo phin giao dch ngy 16.9, khi tt c cc t bo ln ca Vit Nam
chnh thc ng ti v "cn a chn ti chnh ti M (v ph sn ca Lehman
Brothers) th VN-Index c mt phin tt gim th thm (gim ti 20,81 im, tng
ng vi 4,36%), khi lng giao dch ton th trng cng st gim hn mt na so
vi phin trc . Trong phin giao dch ny, rt nhiu nh u t mun bn c phiu
cng khng th bn c bi lng mua khng nhiu.
-Trong ngy 16/10/07, ch s Shanghai Composite lp k lc mi khi chm ngng
60.92 im sau li st gim mnh nht cha tng c (khong 72%), hin tng ny
gi li hnh nh ca ch s Nikkei thp nin 80 v Nasdaq thp nin 90, no gy ra
dng thc st gim trong gi chng khon ko di t Thng Hi sang Chu u n
New York v Nht. y l mt s st gim ton cu u tin bt ngun t Trung Quc.

Nhng s kin ny din ra ch l ngu nhin hay cn theo mt quy lut no ?
Tuy nhin cc hin tng ny l khng him v n lp li kh thng xuyn trong thc
t do , kh c th ni y n gin ch l trng hp, chnh iu ny a cc nh
kinh t hc i n tm hiu v nghin cu su v cc tc ng qua li gia cc bin s.

4

1.2 Lch s nghin cu mi quan h gia cc bin kinh t v m v th
trng chng khon:
Mt th trng vn hiu qu l th trng m gi cc chng khon iu chnh tc thi
khi xut hin cc ngun thng tin mi; do , hay ni cch khc gi c hin ti ca c
phiu th hin tt c cc thng tin v c phiu .
c Fama (1970) a ra vi nn tng vng chc, l thuyt th trng hiu qu
EMH t ra c s l thuyt cc k quan trng cho cc nh lm chnh sch cng nh
cho cc nh u t chng khon. Theo , cc nh lm chnh sch c th t do thi hnh
cc chnh sch v m quc gia m khng cn phi lo s rng cc chnh sch ny s lm
thay i bn cht ca TTCK v chng ch nh hng n gi c ca chng khon m
thi. Ngoi ra, l thuyt kinh t hc cn a ra gi thuyt rng, gi c chng khon
khng ch phn nh cc thng tin hin c m cn phn nh chnh xc cc k vng v
hot ng tng lai ca doanh nghip. Nu gi c chng khon phn nh chnh xc cc
yu t v m c bn, th n c th c s dng nh l mt ch bo hng u v tnh
trng ca nn kinh t trong tng lai. Do , tm hiu mi quan h nhn qu v tng
tc qua li gia cc bin s v m v gi chng khan l rt quan trng khi chnh ph
xem xt a ra cc chnh sch cho quc gia.
Di nh hng ca cc bin v m ( chng hn cung tin, li sut,.. ) ln TTCK, l
thuyt EMH ni rng: s cnh tranh gia cc NT nhng ngi lun mun ti a
ha li nhun ca mnh bo m tt c cc thng tin hin ti c cho l c lin quan
n vic thay i ca cc bin v m s phn nh ht vo trong gi chng khon,
nn NT khng th kim c cc t sut sinh li bt thng thng qua d on xu
hng TTCK trong tng lai ( Chong v Koh 2003 ).
Do , cc nh t vn u t s khng th a ra cc nhn nh gip khch hng ca
mnh kim c thu nhp trn mc trung bnh hay ni cch khc: mt t sut sinh li
vt tri ( ngoi tr thc hin cc giao dch da trn thng tin ni gin, mt vn b
5

cm on v nu vi phm s b trng pht bi php lut ); v nh vy s khng th c
ngnh cng nghip mi gii chng khon, nu h tin vo kt lun ca l thuyt EMH.
Tri ngc hon ton vi kt lun c a ra bi l thuyt EMH, cc bng chng
cho thy cc bin v m quan trng c th gip d bo c chui t sut sinh li tch
ly. Phn bc li kt lun ca l thuyt EMH, ta c th k n cc bi nghin cu ca
Fama & Schwert (1977), Nelson (1977) v Jaffe & Mandelker (1976), tt c u khng
nh l cc bin s v m r rng c nh hng n thu nhp v gi c cc c phiu.
Xut hin tip theo l mt nghin cu v TTCK M ca Ross (1976), cng trnh
ny a nh hng ca cc lc v m vo mt khung l thuyt tng th da trn l
thuyt kinh doanh chnh lch gi APT. Sau , Chen, Roll v Ross (1986) a ra
ci nhn u tin v tc ng ca cc lc kinh t ln t sut sinh li ca c phiu m c
th l tc ng ln li sut chit khu, kh nng to ra dng tin ca doanh nghip v
chnh sch thanh ton c tc trong tng lai, cng trnh cng c nim tin rng c tn
ti mt mi quan h cn bng trong di hn gia gi chng khon v cc bin s v m.
Granger (1986) v Johansen & Juselius (1990) xut xc nh s tn ti ca mi
quan h trong di hn gia cc bin s c la chn thng qua phn tch ng lin
kt. Cc ng m ng cho mt phng php rt c a thch ( cho n ngy nay
) kim nh mi quan h gia TTCK v cc bin kinh t. Mt thun li ca phn
tch ng lin kt l thng qua n, ta c th xy dng m hnh hiu chnh sai s ECM,
theo s chnh lch gia thay i ngn hn di hn v tin trnh iu chnh hng
n cn bng trong di hn c th c tra chng.
V sau phng php ny cho ra i nhiu bi nghin cu chng minh s nh
hng mnh m ca cc bin s v m ln TTCK, hu ht cc nghin cu l th
trng cc nc pht trin. ( chng hn, Hondroyiannis & Papapetrou 2001,
Muradogle 2001, Fifield 2000, Lovatt & Ashok 2000 v Nasseh & Strauss 2000 ). V
sau, cc nh hc thut bt u chuyn s ch sang cc quc gia ang pht trin, v c
6

th l h nghin cu mi quan h ny nhng quc gia tin tin nhng c my tng
trng ca Chu nh Singapore, Malaysia, Thi Lan, .. ( chng hn, Maysami &
Sims 2002, Maysami & Koh 2000 ).

2. CC NGHIN CU THC NGHIM TRN TH GII:

2.1 Tc ng ca cc bin kinh t thc ln TTCK:
L hai nh tin phong trong lnh vc ny, Fama v Schwert tp trung nghin cu mi
quan h gia cc bin kinh t thc v TTCK v pht hin ra rng chng c mi quan h
cht ch vi nhau:
Trc tin, hai ng cho rng thng tin v thc trng nn kinh t trong tng lai c th
c phn nh hu ht vo trong gi c phiu trc khi n xy ra, hai ng xem y l
mt quan im ng n v gi c chng khon phi c xem l mt ch bo hng
u o lng sc khe ca nn kinh t, do nu c bin ng trong nn kinh t, lp
tc s c nh hng n TTCK.
Th hai, nhng thay i trong bin kinh t thc nh sn lng cng nghip, thng d
thng mi, .. th hin li nhun ca cc doanh nghip, khi cc yu t trn ci thin
chng a ra ci nhn lc quan v hin trng lc quan cng nh tim nng pht trin
ca cc doanh nghip.

2.1.1 nh hng ca thng tin v sn lng cng nghip ln TTCK:
Tainer (1993) a ra quan im cho rng ch s sn lng cng nghip lun i theo
chu k kinh t, tc l, n tng trong thi k phc hi, bng n kinh t v gim trong
giai on suy thoi. N thng c s dng nh mt thuc o v mc hot ng
ca nn kinh t, mt s gia tng trong sn lng cng nghip l mt bo hiu cho pht
7

trin kinh t. Fama (1990) v Geske & Roll (1983) cho thy mt mi quan h ng
bin gia sn lng cng nghip v dng tin k vng trong tng lai.
Kh nng sn xut ca nn kinh t vn ph thuc cht ch vo qu trnh tch ly ti
sn thc, nhng ti sn ny s ng gp vo kh nng to dng tin ca doanh nghip.
Cc pht hin ca Chen, Roll v Ross (1986) da trn mt danh mc cc chng khon
M ch ra rng tng trng sn lng cng nghip trong tng lai l mt nhn t
quan trng gip gii thch t sut sinh li ca chng khon, v cc ng chng minh
rng c mt mi quan h ng bin gia cc bin kinh t thc v gi c chng khon.
Trong mt nghin cu ca Fama (1981), ng cng sm pht hin ra mi quan h mnh
m gia tc tng trng sn lng cng nghip v t sut sinh li ca chng khon.

2.1.2 Thay i trong cn cn thng mi v tc ng ln TTCK:
Hu ht tc ng ny mang yu t gin tip thng qua tc ng ca t gi. Cc chnh
sch v ng tin v hng i ca chnh sch lun ng mt vai tr to ln, nh hng
n nn kinh t cng nh gi c chng khon. Vi tc ng ca chnh ph, chng hn
ph gi hay nng gi ng ni t u c nh hng n cn cn thng mi v ti
khon vng lai. Nu ti khon vng lai thng trong trng thi thm ht, v thm ht
cn cn thng mi c xu hng gim i, iu ny ngm nh rng ang c s tng
nng trong xut khu rng, gi c chng khon c th st gi nu cc nh u t cm
nhn rng c kh nng xy ra lm pht cao do chnh ph mun tng sn lng u ra
ca nn kinh t. Kt qu s l s i xung trong gi c chng khon khi cc nh u t
tho chy khi th trng trc khi NHNN c cc chnh sch tht cht tn dng trong
tng lai. Mc d li nhun cc doanh nghip c th c h tr trong sut thi k
tng trng xut khu rng cao , th trng s vn nh gi rng ch l mt chu
k ngn hn, v k vng rng xu hng sp ti li sut s tng ln nhm kim hm
tng trng qu nng ca nn kinh t.
8

Trong mt trng hp khc, khi t nc c xu hng thng d thng mi, ngha l
xut khu cao hn nhp khu, mt gia tng trong cn cn xut nhp khu nh vy
thng a ra tn hiu tt cho nn kinh t. Xu hng gi c c phiu s tng khi hu
ht cc nh u t u cm nhn c thi k kinh t tt hn ang rt gn. Do , h s
mua nhiu c phiu hoc gim s lng c phiu bn i. Tnh trng thanh khon s
km i khi c t ngi sn sng trao i chng khon m chuyn sang nm gi u
c do c c chng khon, ngi mua phi chp nhn tr ci gi cao hn.

2.2 nh hng ca nhng nhn t tin t ln TTCK:

2.2.1 Cung tin:
Nghin cu ca Friedman v Schwartz (1963) a ra li gii thch u tin v mi
quan h gia cung tin v thu nhp chng khon, theo mt gia tng trong cung tin
s lm gia tng thanh khon v tn dng cho ngi mua c phiu dn n gi cc chng
khon cao hn. Nghin cu thc nghim ca Hamburger v Kochin (1972) v Kraft
(1977) cho thy mi lin kt mnh m gia hai bin s. Tuy nhin cng c mt s
nghin cu nh ca Cooper (1974), Nozar & Taylor (1988) li khng cho thy bt k
mi quan h no gia hai bin. Cn theo kin ca Mjkherjee v Naka (1995), nh
hng ca cung tin ln gi chng khon l mt cu hi thc nghim, nhng nghin
cu thc nghim cc th trng khc nhau s cho ra nhng kt qu khc nhau, c mi
quan h cng chiu, ngc chiu hay thm ch khng c mi lin h rng buc no
gia TTCK v cung tin.
Theo nghin cu ca Fama (1981): mi quan h c bn gia chnh sch tin t v
TTCK l do s xo trn trong lng tin t ch yu thng qua hai chnh sch tin t
ca chnh ph v l mi quan h nghch bin.

9

Chnh sch tin t m rng:
Nu cung tin m rng, n s dn n mt s gia tng trong tiu dng hng ha cng
nh lm gia tng vic s dng cc ti sn ti chnh m chng khon l mt trong s .
Khi cung tin tng, thanh khon vt tri s nh hng n TTCK kh mnh do tc
ng ca chnh sch tin t tng i nhanh v trc tip. Chnh sch m rng tin t
lm gim li sut ca nn kinh t t, lm gim li sut chit khu ca chng khon qua
lm tng gi k vng v tng thu nhp. Tuy nhin cng c cc nghin cu nh ca
Cooper (1974) v Nozar Taylor (1988) li a ra kt qu cho rng khng c s quan
h no gia cc bin s d cho chnh sch tin t c m rng.

Chnh sch tin t tht cht:
Li sut cao hn do nh hng ca chnh sch tin t tht cht thng c tc ng
xu cho TTCK. L do: th nht, n lm gim gi ca chng khon do lm tng li sut
chit khu trong cc m hnh nh gi; th hai, n lm cho cc chng khon thu nhp
c nh tr thnh mt la chn hp dn hn lm gim thanh khon vo c phiu; th
ba, lm gim xu hng vay mn u t vo chng khon; v cui cng, n lm
tng chi ph vn hnh doanh nghip do nh hng n li nhun cng ty.
Tuy nhin mi quan h nghch bin ny khng phi lc no cng c, nghin cu ca
Maysami v Koh (2000) chng minh rng c mi quan h cng chiu khi chnh ph
tht cht tin t v t sut sinh li ca c phiu TTCK Singapore do nh u t tin
tng cc chnh sch hin ti ca chnh ph s em li hiu qu tt cho nn kinh t.

10

2.2.2 Lm pht:
Kt qu nghin cu ca Fama v Schwert (1977), Chen, Roll, Ross (1986), Nelson
(1976), DeFina (1991) v Jaffe Mandelker (1976) nhn mnh n mi quan h
nghch bin gia lm pht v gi chng khon. V cn bn, TTCK s hot ng mnh
di hai iu kin: tng trng kinh t cao v lm pht thp. Nhng nu nn kinh t
pht trin m lm pht tng cao th cha chc l tt. Khi mi nguy lm pht tng
cao, cc nh phn tch u t s nghi ng v s thnh vng ca nn kinh t hay cc
bo co tng trng vic lm. L do l h lo s rng dng nh ang c mt s bng
n lm pht, mt s pht trin gi to c to nn bi vic d di trong tn dng
ca chnh quyn, do chnh ph chp nhn mt mc thm ht ngn sch cao hn v m
rng cung tin.
Mi quan h thc s ca lm pht v gi c phiu lun l mt cu hi thc nghim
hc ba v mi quan h ny s thay i theo thi gian. Kinh nghim t TTCK cc
nc pht trin cho thy lm pht v gi c phiu c tng quan nghch, bi l xu
hng ca lm pht xc nh tnh cht tng trng. Lm pht tng cao lun l du hiu
cho thy nn kinh t ang nng, bo hiu s tng trng km bn vng, trong khi
TTCK nh chic nhit k o sc khe nn kinh t. Khi lm pht tng cao, tin mt gi,
ngi dn khng mun gi tin mt hoc gi tin trong ngn hng m chuyn sang
nm gi vng, bt ng sn, ngoi t mnh... khin mt lng vn nhn ri ng k
ca x hi nm im di dng ti sn cht. Thiu vn u t, khng tch ly m rng
sn xut, s tng trng ca doanh nghip ni ring v c nn kinh t ni chung s
chm li. Lm pht tng cao cn nh hng trc tip ti cc doanh nghip: d hot
ng kinh doanh vn c li, chia c tc mc cao nhng t l c tc kh gi l hp dn
khi lm pht cao. iu ny khin u t chng khon khng cn l knh sinh li. Nh
u t huyn thoi Stephen Leeb, trong tc phm Xc nh thi im mua bn c
phiu thng k t l lm pht, t l tng trng ca TTCK M trong giai on t
11

nm 1929 n nm 1981 v nu mi lin h: Lm pht tng cao lun l k th ca
ca th trng c phiu!

2.2.3 Li sut:
Mukherjee & Naka (1995) cho thy l s thay i d l trong ngn hn hay di
hn ca li sut tri phiu chnh ph cng u nh hng n li sut phi ri ro danh
ngha v qua nh hng n li sut chit khu v TTCK. Fama & Schwert (1997)
quan st v thy c mi quan h gia gi c chng khon thi im hin ti vi
gi tr tr ca li sut. Trong khi Reily & Brown (2000) li lm cho vn tr nn
phc tp i cht khi tuyn b rng dng tin vo TTCK c th thay i theo li sut
v cng khng chc chn rng liu dng tin s tng hay gim khi li sut thay i theo
mt hng no . Cc nghin cu hin nay v mi quan h gia li sut v TTCK vn
cha cho thy mt p n r rng.

ng cong li sut v TTCK:
Nu mun nhn dng thu nhp n nh t mt khon u t phi ri ro th khng c g
tuyt vi hn l mua cho mnh mt tri phiu chnh ph. Tuy nhin, bn cn c mt c
hi nhn c phn thng ln hn t khon u t ca mnh, l mua chng khon,
ni bn nhn c c tc v thu nhp chnh lch gi. Do , mt cu hi di hi t ra
l: u l phn thng v ri ro khi bn la chn u t vo sn phm ny m khng
phi l sn phm kia ?
Cc NT tri phiu thng theo di rt st tnh hnh ca nn kinh t, v li sut l
nhn t quan trng nh hng n nn kinh t. Cc NT c phiu thng ch tp trung
vo tnh hnh v trin vng ca cng ty mnh nm gi c phiu, tuy nhin, h lun
cnh gic vi cc thay i trong li sut.
12

Khi li sut thp, nhiu NT trc y mua tri phiu nhm tm kim s an ton
thng c xu hng bn tri phiu tm kim thu nhp cao hn t TTCK, ngc li
khi NT cm nhn c l h c th nhn c mc thu nhp cao hn t tri phiu th
dng tin s chy ra khi TTCK.
Khi ng cong li sut tng dc, n to mt p lc gim gi chng khon bi v li
sut ca tri phiu chnh ph s tng. Tuy nhin, iu ny ch mang tnh l thuyt, trn
thc t khng c ngha l khi ng cong li sut tng cao s khng c cc c hi u
t vo chng khon, trn thc t, y ch l mt nhn t m cc NT chng khon cn
xem xt khi phn tch xu hng TTCK.

Li sut gim c gip kch thch TTCK ?
S dao ng ca li sut khng phi lun c tip theo bi s phn ng tri ngc
ca gi c phiu. Ch khi no li sut phn nh xu hng ch o trong lm pht, n
mi tr thnh thc o hiu qu s dao ng ca TTCK. Thng thng li sut c xu
hng gim khi lm pht gim v lm pht gim khin gi c phiu tng cao hn v
ngc li. Nhng nu lm pht khng phi l mt vn nghim trng v li sut tng,
u t vo TTCK thng mang li nhiu li, bi v trong trng hp ny, li sut tng
l do nn kinh t tng trng.
Ngoi ra, li sut trong nc tng cng c tc dng thu ht lung ngoi t vo,
gin tip gip ng ni t tng gi v do vy tc ng lm gim t gi hi oi. Cc
doanh nghip xut khu trong bi cnh ny s gp phi kh khn do hng ha xut
khu b t ln, ng thi trc chu thm chi ph vn vay do li sut tng. H
qu l doanh thu ca cc doanh nghip ny b nh hng, dn n k vng vo li
nhun tng lai ca doanh nghip b nh hng, lm gi c phiu doanh nghip trn th
trng sa st.
13

i vi nhm doanh nghip phi nhp khu phn ln nguyn vt liu u vo cho
sn xut kinh doanh, th bi cnh li sut tng li l li th cho h. Tuy nhin do nh
hng ca chi ph vn vay tng ln, phn li th ny c nguy c b trit tiu. i vi
mt quc gia m ch yu nguyn vt liu c nhp khu t nc ngoi, li sut tng
(vi mc hp l) i khi cng l mt yu t h tr cho TTCK. Nhn chung, mc d
thng thng c mi quan h nghch bin r rt gia li sut v gi c phiu nhng
iu ny khng hn lun lun ng.

2.3 Mi quan h gia cc nhn t th trng khc TTCK:

2.3.1 T gi:
Kin thc v nhng yu t nh hng n hnh vi ca gi chng khon v t gi
thu ht nhiu s quan tm ca nhiu nh kinh t hc, cc nh lm chnh sch v cng
ng u t trong mt thi gian di. Trong nn kinh t ton cu ha hin nay, c rt t
cc ro cn dng vn, do to nhiu c hi u t cho cc tp on a quc gia.
Doanh nghip no hot ng cng c kh nng phi chu ba ri ro l: nhy cm kinh
t, nhy cm chuyn i, v nhy cm giao dch i vi ri ro t gi. iu ny, to
ra mt nhu cu tm hiu mi quan h gia t gi v gi chng khon phng nga
cho ri ro danh mc. Phn ln cc ti liu xem xt mi quan h gia gi chng khon
v t gi cc nc ang pht trin v pht trin.
Cc m hnh kinh t hc truyn thng tranh lun rng thay i trong t gi nh hng
ln cc mc trong bn cn i k ton ca mt cng ty thng qua tnh cnh tranh c
th hin qua ngoi t, v sau cng l li nhun v chng khon. Branson & Masson 77,
Ghartey 98 , Meese & Rogoff 83 v Wolff 88 pht hin ra vi lin h gia cc bin
s v m v t gi.
14

Mi quan h gia gi chng khon v t gi c xem xt bi nhiu tc gi trong ba
thp nin qua nhng li cho thy nhiu kt qu khc nhau v trong vi trng hp, kt
qu li khng ng tin cy. Mi quan h gia t gi hi oi v thu nhp t chng
khon c th l ng bin hay nghch bin ph thuc xem nc l tri v xut khu
hay tri v nhp khu. C hai l thuyt c bn ni kt t gi v gi chng khon:
+ Cch tip cn truyn thng:
Mt s gim gi ni t s dn n xut khu cao hn v cng nh li nhun cng ty
lm cho gi chng khon cao hn trong ngn hn. B phn truyn dn theo cch tip
cn ny l tnh cnh tranh ca cc mt hng xut khu cng ty, n s lm cho li nhun
cao hn v lm tng gi chng khon ca cng ty. Tiu biu cho trng phi ny l
Dornbusch v Fischer, hai ng tranh lun rng t gi hi oi nh hung n tnh cnh
tranh ca doanh nghip. Mt quc gia chuyn xut khu, s to p lc tng gi ni t,
lm cho tnh cnh tranh ca xut khu gim, to mt nh hng m ln gi c chng
khon. Cn i vi mt quc gia nhp khu, mt st gim trong t gi hi oi ( hay
ni t ln gi ) li lm gim chi ph yu t u vo to ra nh hng dng ln gi
chng khon. Mi quan h ny cng c cp trong bi nghin cu ca Solnick 87.
ng cho rng mt s tng gi ng tin ni t l mt tin xu cho cc cng ty ni a,
bi v n s lm gim kh nng cnh tranh ca hng xut khu, trong khi mt s
gim gi ng tin th nng cao kh nng cnh tranh ca cng ty trong ngn hn.

+ L thuyt hin i,
L thuyt danh mc u t ca Markowitz cho rng danh mc u t cn phi c
xem xt li khi t gi hi oi tng hay gim. Chng hn, mt s st gi ca VND s
dn n vic mt danh mc u t ca nc ngoi chuyn t cc ti sn ni a, chng
hn chng khon, sang cc ti sn bn ngoi do s gim gi ng tin lm gim thu
nhp ca cc nh u t nuc ngoi khi nhng dng tin ny c chuyn i sang
15

ng tin chnh quc, s rt lui ca cc nh u t nc ngoi c th gy ra mt st
gim trong gi chng khon. Tuy nhin, i vi cc nh u t trong nc, s gim gi
ca VND lm cho chng khon nc ngoi tr nn mc, to ra mt hiu ng thay th
sang cc ti sn ni a, do , lm tng gi chng khon.
Nhiu ti liu c gng tm hiu mi tng tc gia gi chng khon v t gi
cc quc gia pht trin v cc th trng ti chnh mi ni, nhng , kt qu ca vi
nghin cu li km thuyt phc. Mt m hnh VAR c chy bi Abdalla v
Murinde 97 xem xt gi chng khon tng tc vi t gi 4 quc gia v h kt lun
rng t gi hi oi lm cho gi chng khon thay i n , Pakistan v Hn Quc.
Tuy nhin, h khng tm thy bt k mi lin h no gia gi chng khon v t gi hi
oi Philippines. Sjaastad & Ccacciavillani 96 pht hin l khi khi sn phm c
bun bn ton cu, mt thay i trong t gi s dn n mt thay i trong gi ca sn
phm , v Solnick 87 a ra mt mi quan h ng bin yu gia cc thay i trong
thu nhp chng khon vi thay i trong t gi thc. Giovannini v Jordan 87 kt lun
thu nhp d kin v t gi c khuynh hng di chuyn cng nhau M.
Bi nghin cu ca Ong v Izan 99 cho thy l c mt mi lin h yu gia t gi v
gi chng khon c cng nh cc nc G7. Bahmani-Oskooee v Sohrabian 92 bo
co l khng c mi lin h di hn gia gi chng khon v t gi M, tuy nhin, h
pht hin c mt mi quan h ngn hn gia hai bin s ny thng qua kim nh nhn
qu Granger. Stavarek 2004 tm thy chuyn ng nhn qu khng trc tip gia gi
chng khon v t gi; Tabak 2006 cho thy l c mt mi tng quan m nghch bin
gia gi chng khon v t gi. Ajay v Mougoue 96 kim tra mi quan h v thy
rng c chuyn ng nhn qu gia TTCK v t gi Hng cng, Thi , M Lai v
Singapore. Nieh v Lee 2001 li pht hin l khng c mi quan h di hn ng k
no gia gi chng khon v t gi cc nc G7.

16

2.3.2 Gi du:
Nh kinh t hc Hamilton a ra cc bng chng cho thy rng mt s gia tng
ca gi du l nguyn nhn ca hu ht cc cuc suy thoi k t sau th chin II, mt
lat cc nghin cu kim nh mi quan h v m ca gi du nh ca Loungani,
Burbridge & Harrison, Gisser & Goodwin v Uri.
Nhng nghin cu ny u ly gi du nh l mt bin s tc ng v m. C nhng
nghin cu m hnh ha mt cch c th nh hng ca gi du ln gi chng
khan (hay thu nhp chng khon). Cc nghin cu nh ca Jones & Kaul, Huang,
Sadorsky, Papapetrou, v El-Sharif.
Jones v Kaul kim tra nh hng ca gi du ln thu nhp chng khan M 47-
91, Canada 60-91, Nht 70-91 v Anh 62-81, s dng m hnh hi quy n gin v
pht hin ra rng gi du c tc ng tri chiu ln thu nhp chng khon tt c cc
quc gia.
Papatrou s dng m hnh hiu chnh sai s vector (ECMs) kim nh nh hng
ca gi du ln thu nhp chng khon Hi Lp vi s liu t thng 1/89 n thng
6/96. Phn tch ca b cho thy l mt c sc gi du c nh hng tiu cc n thu
nhp ca chng khon trong 4 thng u tin.
El-Sharif kho st mi quan h gia gi du th v gi tr chng khon ca nhm
cng ty kh t-du m Anh vi m hnh a nhn t s dng chui s lu ngy trong
giai on t 1/1/89 n 30/6/2001. Tc gi pht hin l mt gia tng trong gi du s
lm tng thu nhp ca cc cng ty du m-kh t.
Sadorsky xem xt mi quan h gia gi du vi thu nhp chng khon M bng s
lu thng t 1/47 n 4/96. Phn tch ca ng cho thy l thu nhp chng khon s
gim trong ngn hn, phn ng vi s tng ln trong gi du.
17

C ba knh m thng qua , gi du c th nh hng n gi chng khon ( thu
nhp chng khon).
-Th nht, gi du l mt yu t u vo trong tin trnh sn xut. Mt s tng ln
trong gi du s lm tng chi ph sn xut to p lc ln ton b gi chng khon.
- Th hai, nh c gii thch bi nh kinh t hc Haung, k vng t gi du cn nh
hng ln thu nhp chng khon gin tip qua li sut chit khu bi t l lm pht k
vng v li sut thc k vng. Theo , lm pht k vng v li sut u b nh hng
bi gi du, i vi mt quc gia nhp khu du rng, mt gia tng trong gi du s to
ra p lc lm tng lm pht k vng, mt t l lm pht k vng cao hn s lm tng
li sut chit khu, to nh hng nghch bin ln thu nhp chng khon.
-Th ba, khi gi du tr nn khng n nh, chin lc nng lng mi thng
c ngh. Trong thi k st du, nh u t bt u xem xt cc khon u t du,
c trc tip v gin tip, nh l mt cch phng nga ri ro nghch o vi s chuyn
bin ca TTCK.
Ni cch khc, khi gi du tng, cc nh u t quan st thy rng nhng lo lng
v kinh t s lm gi c phiu rt xung. Mt khc, cc nh u t xem vic gim gi
du nh l c li cho nn kinh t v gi chng khon.

2.3.3 Gi vng:
Cc nh u t c thi quen s dng chin lc qun tr ri ro n gin l a dng
ha trong danh mc u t ca h cc hng ha gia cc nc c c u t vng hoc
du v hai khon u t ny thng c mi quan h nghch o vi xu hung ca
TTCK. Cng ngh thay i mi trng u t, ni c rt t nhng tr ngi cn tr
cc nh u t mua hoc bn ti sn bt c ni no trn th gii ngy nay. Vng v
du ngy nay c coi l hng ha n thun. Nhiu nghin cu a kt qu cho thy
18

c mt mi quan nghch bin ca vng vi gi c phiu v mi quan h ny c xu
hng thay i theo thi gian. Cc mi quan h cng chiu cho thy rng k thut a
dng ha ri ro truyn thng ngy nay khng cn c a chung s dng na.
Cc nh u t thng u t vng, c trc tip v gin tip phng nga ri ro.
Gi vng trong lch s thung c xem l ni trnh bo gip trnh thit hi xy ra
trong thi k lm pht, bt n x hi, v chin tranh - cc thi k m gi c phiu lun
lun st gim. Trong cc cuc khng hong nh th ny, gi vng tng mnh khi gi
chng khon st gim. u t vng gin tip, chng hn u t vo cc c phiu khai
thc vng thng c cho l tt hn u t trc tip vo vng trong cc thi im ny
khi m gi vng tng bin nhiu cng ty khai thc tr thnh nhng con g trng
vng. C vn ti chnh thng nhanh chng t vn cho cc nh u t duy tr mt v
th vng trong nhng thi khc kh khn. Ngc li, trong thi k bng n, u t
vng thng gim gi tr khi gi c phiu tng, bng chng l u nm 1990 khi lm
pht c gim thiu hoc khng tn ti. Mt s nh u t b u t vng v tin rng
vng khng c gi tr l phng nga ri ro danh mc u t, gi y vng ch c
xem nh mt loi hng ha c gi c quyt nh nghim ngt bi cung v cu.
Trong qu kh rt t cc nh nghin cu nghin cu mi quan h vng vi gi c
phiu, c bit gn y c xut hin vi cng trnh. Twite (2002) nghin cu mt mu
nh ca cc cng ty khai thc vng c v thy rng gi tr ca h b nh hng
bi nhng thay i trong gi vng. Hondroyiannis v Papapetrou (2001), cc ng tm
thy mt mi quan h gia gi vng v c phiu khai thc vng. Trong nghin cu gn
y ca John Leyers (2007), ng pht hin rng vng c mi quan h thay i vi tng
trng hp cc nc, khi ng dng quan st 15 nm th n l nghch bin cn trong
ngn hn th l ng bin; trong hu ht cc phng trnh kim tra ng thy rng hu
ht cc ch s u l tng quan dng, c l cc nh u t gi y khng cn coi
vng l mt cng c bo him ri ro na.
19

Tuy nhin, trong khong ba nm tr li y, c bit l sau cuc khng hong ti
chnh M 2008, cng thm tnh hnh cng thng ca n cng Chu u, v tnh hnh
bn o Triu Tin cng nh lo ngi v mt cuc chin tranh tin t mi, vng li ni
ln vi vai tr nh mt chic phao cu sinh ca th trng, mt cng c u t, mt ti
sn c t sut sinh li cao, mt phng tin thanh ton c a chung, vi gi vng
lun lp nhng nh mi. 8/11/2010, Ch tch World Bank Robert Zoellick c pht
biu trong cp n vn khi phc li ch bn v vng hay h thng Bretton
Woods II, sau pht biu ny, vng c mt cuc bt ph v gi v vn mc kh cao
cho n hin nay

2.3.4 Mi tng tc qua li gia cc th trng chng khon vi nhau:
C nhiu nghin cu trc y ni v mi lin h gia cc th trng chng khon.
Chng hn, Chan, Gup, v Pan 97 xem xt s lin kt ca cc ch s 18 nc, trong
bao gm, c, M, Nht, Anh, Pakistan trong khong thi gian 32 nm t thng 1/61
n 12/92. Ahlgren v Antell 02 xem xt bng chng cho thy c mi lin h gia gi
chng khon ca Phn lan, Php, c, Thy in, Anh v M trong khong thi gian
t thng 1/80 n 2/97.
Forbes v Rigobon 02 pht hin l khng c s ly nhim trn th trng chng
khon trong sut cuc khng hong Chu 97, ph gi ng tin 94 ca Mexic, v
suy thoi M 87, nhng li c s lin kt vi mc cao gia cc th trng ng
Nam , M La Tinh, v cc nc OECD trong mi thi k. Fraser v Oyefeso 05 xem
xt s tng quan trong di hn gia M, Anh v bn th trng Chu u. Boschi 05
phn tch nh hng ly nhim ca cuc khng hong Arghentina bng c lng m
hnh VAR v cc h s tng quan cho cc nc Brazil, Mexico, Nga , Th Nh K,
Uruguay, Venuzuela v khng c bng chng cho thy xut hin s ly nhim. Nhm
xem xt chuyn ng ca gi chng khon, Wang, Yang v Bessler 2003 phn tch cc
20

nc Chu Phi. Eun v Shin 98 phn tch chn quc gia bao gm c, Canada, Php,
Nht, v M. Hamori v Imamura 2000 phn tch cc nc G7, Tsusui v Hirayama
2004 phn tch Nht, Anh v M, Tsusui v hirayama 2004-05 phn tch Nht, Anh,
c v M
Nhng nghin cu gn y li tp trung v s tng tc gia gi chng khon th
trng Chu bao gm cng trnh ca Yang v Min 03 xem xt mi lin h di hn v
mi quan h nhn qu ngn hn gia cc TTCK M v Nht cng 5 th trng mi
ni ca Chu , cc th trng gy s ch trong cuc khng hong ti chnh 97. Mt
hm quan trng ca phn tch l mc lin kt gia cc quc gia c xu hng thay
i theo thi gian, c bit l xung quanh cc thi k c nh du bng mt cuc
khng khong kinh t.
xem xt mi quan h gia cc gi chng khon Chan, Gup v Pan 92 xem xt cc
quc gia Chu t 83-87; Corhay Rad v Urbain 95 xem xt vng Chu Thi
Bnh Dng, bao gm Nht 72-92 v Hung v Cheung 95 phn tch cc TTCK Chu
, ngoi tr Nht trong 81-91. Ghosh, Saidei v Johnson 99 phn tch cc TTCK Chu
, bao gm Nht v M t thng 3/97 n 12/97, Chen Huang v Lin 07 phn tch M
v cc quc gia chnh ca Chu . Cc phn tch trn pht hin l khng c lin kt
gia cc TTCK cc nc Chu , mc d c vi ch s chng khon c mi lin h
vi nhau.
Cc nghin cu trc trn th trng chng khan Chu khng c phn tch nhiu
v th trng ni a Trung Quc. Tuy nhin, th trng ny tng trng rt nhanh
trong cc nm gn y, v s hin din ca n trong th trng ti chinh quc t ngy
cng tng. Yan Shang phn tch mi quan h ca cc th trng Chu nh Nht,
Singapore, Hng Cng, Trung Hoa lc a, vi M, mt th trng c nh hng ln
n chng khon Chu trong cc giai on trc, trong v sau khng hong 97, ng
pht hin ra l trong cc nm khng hong, gi chng khon cc nc hu nh khng
21

c tng quan v sau khng hong cc th trng li c xu hng lin kt ngy cng
tng, trong th trng M l c tc ng mnh nht n chng khon Chu .

3. PHN TCH CC BIN V M VIT NAM BNG
M HNH HI QUY OLS:

3.1 Chui s liu:
Vit Nam, vic tp hp cc s liu v m l kh kh khn, vic s dng d liu
nm l khng thch hp do TTCK Vit Nam l mt th trng mi ni, lch s ch
khong 11 nm. D liu c s dng y l d liu thng, cc bin c s
dng di dng TSSL phn tch nh hng v ri ro ca cc bin n th trng.
Tn bin K hiu Cch tnh Ngun
TSSL
VNINDEX
R_VNI
R_VNI
t
R_VNI
t-1
R_VNI
t-1
www.cophieu68.com
Thay i cn
cn thng mi
R_XNK
B1: cn cn XNK
= XK NK
B2: tng trng XNK
XNK
t
XNK
t-1
XNK
t-1

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:
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
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.
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

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:
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
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450
500
550
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650
30
40
50
60
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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.
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.
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
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650
VN-Index
DowJones
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:

ARCH Test: ( Lag 1 )

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:

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 )

White Heteroskedasticity Test:

ARCH Test: ( lag 1 )

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

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 )
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 )

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

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
S.E 0.1148 P-value (F-sta) 0.0335

ARCH Test:
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


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
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

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