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v th trng hiu qu
U T TI CHNH
GVHD: Trn Th Hi L
SVTH: Nguyn Th Ly
Nguyn Phm M Hnh
Trn Th M
7-1
7-2
Contents
Tho lun
ngha ca cc bt thng: v,
Bong bng i vi TTHQ
TTHQ v cc thnh qu ca cc nh
qun l qu chuyn nghip
Nhng ng ca cc dng TTHQ
S hnh thnh ca th trng hiu qu
I.S hnh thnh ca th trng hiu qu
Th
trng
hiu qu
Th trng
hiu qu
mt thng
tin
Th trng
hiu qu mt
t chc hot
ng
Th trng
hiu qu
mt phn
phi
Tuy nhin l thuyt th
trng hiu qu ngi ta gi
nh l th trng chng khon
c hiu qu v mt phn phi
v hiu qu hot ng. V vy,
chng ta ch xt th trng
ny trong iu kin hiu qu
v mt thng tin
7-3
I.S hnh thnh ca th trng hiu qu
TTHQ: L th trng trong gi c ca
chng khon phn nh y , tc thi cc
thng tin hin c trn th trng.
7- 4
Are Financial markets
Efficient?
Cc iu kin v
TTHQ
c im ca
TTHQ
Cc dng TTHQ
nh bi
th
trng
T sut
sinh li
vt tri
TTHQ: L th trng m NT khng lun nh bi c th trng
TSSL vt tri: l s chnh lch gia thu nhp t khon u t ny v thu
nhp ca nhng khon u t khc cng mt mc ri ro
nh bi th trng: lin tc kim c 1 khon TSSL vt tri Dng
I.S hnh thnh ca th trng hiu qu
Cc iu kin
1. S hp l ca cc
nh u t
2. S khng tng
quan gia cc sai
lch
3.Kinh doanh
chnh lch gi
Efficient
market
Cc c im
- Mi thng tin u
nhanh v chnh xc v
NT u thu thp ngay
lp tc thng tin ny
- Khng th suy lun
hiu qu tng lai t
hiu qu hot ng qu
kh
-
7- 5
I.S hnh thnh ca th trng hiu qu
Th trng hiu qu dng yu
Gi c phn nh tt c cc thng tin
trong gi qu kh
Th trng hiu qu dng va
Gi c phn ng tt c cc thng tin
cng b cng khai ra cng chng
Th trng hiu qu dng mnh
Gi ca chng khon phn nh tt
c nhng thng tin cn thit c lin
quan n cng ty, thm ch c nhng
thng tin ni gin

7- 6
3 hnh thc ca th trng hiu qu

II. Nhng ng ca th trng hiu qu
Cc ng
ca TTHQ
Cch thc
phn bit cc
giao dch
7- 7
II. Nhng ng ca th trng hiu qu
Ng 1: Vic tm kim TSSL d on t
nhng thng tin trong qu kh khng c
ngha quan trong v mt kinh t
Ng 2: Gi chng khon thay i khng
theo 1 hnh dng c th no theo thi gian
v hnh vi gi chng khon l nhng bc
ngu nhin
Ng 3: trong iu kin th trng hiu qu
dng va, Gi c chng khon ch thay i
khi c nhng thng tin ngoi mong i
7- 8
II. Nhng ng ca th trng hiu qu
Ng 4: Bng PP
nghin cu s kin cc
nh nghin cu
chng minh rng TSSL
hin ti ch ph thuc
vo thng tin cng b
ti ti im hin ti
ch khng chu nh
hng ca nhng thng
tin cng b hoc
cha cng b>>>ng
h cho gi thuyt
TTHQ

7- 9
Hnh: TSSL bt thng tch lu ca
Advanced Medical Optics.30/03/2007
II. Nhng ng ca th trng hiu qu
Ng 5: Nhng ng cho cc nh u t nu
TTHQ
NT ch nn tp trung vo vn phn b ti sn
v t quan tm n vic la chn chng khon
Khi TTHQ vai tr ca cc nh qun l qu
chuyn nghip v nhng nh mi gii lin quan
cng gim st v NT nn xem xt cc CK c chi
ph qun l thp
Nu TTHQ NT khng nn nh thi im th
trng
7-10
II. Nhng ng ca th trng hiu qu
Giao dch am hiu: mua hay
bn mt chng khon da trn
nhng thng tin cng cng c
sn v s phn tch
Giao dch ni b hp
php:thc hin hon ho cc
giao dch chng khon ca cng
ty h mt cch hp php
Giao dch ni b phi php : s
dng nhng thng tin quan trng
khng c cng b nhm mc
ch kim li
7-11
III. TTHQ v thnh qu ca cc NQL qu chuyn nghip
4 l do kh kim
nh s hiu qu ca
th trng
Thnh qu ca cc
nh qun l qu
chuyn nghip
7-12
III. TTHQ v thnh qu ca cc NQL qu chuyn nghip
L do 1 L do 2 L do 3 L do 4
S iu
chnh
ri ro
Nhng
thng
tin lin
quan
S may
mn
tnh c
Vic
o bi
d liu
4 l do kh kim nh s hiu qu ca th trng
7-13
III. TTHQ v thnh qu ca cc NQL qu chuyn nghip
Thnh qu ca cc nh qun l qu chuyn nghip
1
Qu ch s Vanguard
500: l mt qu tng
h chi ph thp, c
thit k em li mt
kt qu u t m n
tng ng vi gi v
li tc ca ch s
S&P500
2
Qy tng h c phn
chung (GEF) l mt s
tin c u t vo c
phiu m n c gim
st bi mt nh qun l
qu chuyn nghip.
7-14
III. TTHQ v thnh qu ca cc NQL qu chuyn nghip
Thnh qu ca cc nh qun l qu chuyn nghip
Nhn xt: T
hnh ta c th
thy nhng nh
qun l qu
chuyn nghip
kh c th gi
c qu ca
mnh tn ti
trong vng 10
nm.
Hnh :S gia tng ca cc qu c phn c qun l nng
ng t 1986 2009

7-15
III. TTHQ v thnh qu ca cc NQL qu chuyn nghip
Thnh qu ca cc nh qun l qu chuyn nghip
Hnh :Phn trm cc qu c qun l nh bi qu ch s Vanguard 500, t sut
sinh li 1 nm.


Nhn xt: Ch c 12
nm trong tng s 24
nm l hn mt na
s nh qun l qu
chuyn nghip c th
nh bi qu ch s
Vanguard 500.
III. TTHQ v thnh qu ca cc NQL qu chuyn nghip
Thnh qu ca cc nh qun l qu chuyn nghip
Hnh : Phn trm cc qu c qun l nh bi qu ch s Vanguard 500, t sut
sinh li 10 nm.

Nhn xt: Ch c 5
nm trong tng s
24 nm l hn mt
na s nh qun l
qu chuyn nghip
c th nh bi qu
ch s Vanguard
500.
III. TTHQ v thnh qu ca cc NQL qu chuyn nghip
di ca
mi giai
on u
t
Khong
thi gian
S giai
on u
t
S giai on
u t m
phn na cc
qu nh bi
qu ch s
Vanguard
T l
phn
trm
S giai on
u t m
cc qu nh
bi qu ch
s Vanguard
T phn
tram
1 1980-2009 30 14 46.7 2 6.7
3 1982-2009 28 11 39.3 0 0.0
5 1984-2009 26 9 34.6 0 0.0
10 1989-2009 21 3 14.3 1 4.8
Thnh qu ca cc nh qun l qu chuyn nghip
Nhn xt: thnh qu ca nh qun l qu chuyn nghip nhn chung km hn so vi
qu ch s Vanguard 500, thnh qu cng gim i khi giai on u t di hn.
III. TTHQ v thnh qu ca cc NQL qu chuyn nghip
Nhn xt:
Cc nh qun l qu chuyn nghip dng
nh thiu kh nng lm tt hn ch s th
trng ph hp vi nim l nhn chung th
trng vn c phn l hiu qu

IV. Nhng bt thng, bong bng v khng hong
Hiu ng trong tun
Hiu ng thng Ging
Hiu ng nhng ngy
chuyn nm
Nhng bt
thng ny
l tr ngi
vi gi
thuyt th
trng hiu
qu
Hiu ng nhng ngy
chuyn thng
4.1 Nhng bt thng theo lch
IV. Nhng bt thng, bong bng v khng hong
Hiu ng trong tun

Khong thi
gian
Th 2 Th 3 Th 4 Th 5 Th 6
1950 2009 - 0.068% 0.040% 0.084% 0.041% 0.076%
1950 1979 - 0.137% 0.001% 0.094% 0.061% 0.115%
1980 2009 0.003% 0.080% 0.075% 0.022% 0.037%
Bng: TSSL trung bnh hng ngy ca ch s S&P 500 qua cc ngy trong tun(
bao gm c tc)
Nhn xt: TSSL trung bnh ca ngy th 2 c xu
hng m
IV. Nhng bt thng, bong bng v khng hong
Hiu ng thng ging
Nhn xt: Cc c
phiu nh c
TSSL trung bnh
thng cao hn
trong thng Ging
Nguyn nhn:
1. p lc bn CK l vo cui nm c gim thu
2. C cu danh mc u t
Note: Khng nht thit nm no cng xy ra hiu ng T1.
IV. Nhng bt thng, bong bng v khng hong
Hiu ng nhng ngy chuyn nm
Nhn xt: TSSL nhng ngy chuyn nm cao
hn TSSL nhng ngy cn li
TSSL th trng
Khong thi gian Turn of the
year days (%)
Rest of the
days (%)
Chnh lch
(%)
1962-2009 0.128 0.034 0.094
1962-1985 0.167 0.029 0.138
1986-2009 0.089 0.039 0.050
IV. Nhng bt thng, bong bng v khng hong
Hiu ng nhng ngy chuyn thng
Nhn xt: Kt qu nghin cu giai on t nm 1962-
2009 cho thy, TSSL nhng ngy chuyn thng cao
hn nhng ngy cn li
TSSL th trng
Khong thi
gian
Turn of the
month days (%)
Rest of the
days (%)
Chnh lch
(%)
1962-2009 0.127 0.019 0.108
1962-1985 0.129 0.016 0.114
1986-2009 0.125 0.023 0.102
IV. Nhng bt thng, bong bng v khng hong
4.2 Nhng bt thng khng theo lch

1/ Cng b thu nhp: Vic cng b thu nhp s dn ti
vic iu chnh gi c phiu. Gi c phiu phn ng
rt nhanh vi nhng tin tc bt ng, tuy nhin, theo
cc nh nghin cu th cng s mt vi ngy (hoc lu
hn) gi th trng iu chnh hon ton
2/ T s P/E:P/E l s phn nh mc lc quan cng
nh k vng ca th trng v kh nng tng trng
ca doanh nghip trong tng lai
IV. Nhng bt thng, bong bng v khng hong
Bong bng
Tnh trng gi c phiu
tng cao hn gi tr ni
ti v cc phn tch hp
l
S sp
Tnh trng gi th trng
gim mnh v t ngt
IV. Nhng bt thng, bong bng v khng hong
4.3 Hai v sp th trng chng khon ln nht lch s
Hoa K
Nm 1929: Ngy th ba en
ti
Nm 1987: Ngy ti t trong
lch s ph Wall
IV. Nhng bt thng, bong bng v khng hong
4.4 Cuc khng hong chu
Cuc khng hong Chu bt u vi mt th trng
tng gi mnh vo nhng nm 1980. Bong bng
hnh thnh ti Nht t 1955 n 1989, khi m gi c
BS tng ln 70 ln v gi c CK tng hn 100 ln.

IV. Nhng bt thng, bong bng v khng hong
4.4 Bong bng DOT-COM v cuc khng
hong

Ngy Gi tr ch
s Amex
Internet
Kim li
n nh
t
1/10/1998
(%)
L t
nh
n y
(%)
Gi tr
ch s
S&P 500
Kim li
n nh t
1/10/1998
(%)
L t
nh n
y (%)
01/10/1998 114.68 986.39
Sau thng 3/2000
(nh)
688.52 500% 1,293.72 31%
Trc 10/2002
(y)
58.59 - 91% 776.76 - 40%
Cuc khng hong ny cp ti s tng trng chng mt ca cc website.
Trc thi im cui 1999, c khong 9.5 triu website hot ng v
ti trc 2009 c hn 200 triu website hot ng.
4.5 Cuc khng hong thng 10-2008

IV. Nhng bt thng, bong bng v khng hong
Nm 2008 ch s th trng
gim hn 40%.
Chnh sch tin t d di: Cc Ngn
hng cp cc khon vay di
chun cho nhng ngi i vay khng
iu kin, vi mc li sut cc thp.
Nu gi BS tng ln th nhng ngi
s hu rt d c ti cp vn. Tuy
nhin, khi gi BS bt u gim xung,
s lng ph sn s tng ln ng k. S
ph sn ny s lm tng tc ng gim
xung theo hnh trn c ca CK lin
quan ti BS.
4. 6 nguyn nhn ca cc khng hong
- n by ti chnh
- S khng tng thch gia n v ti sn
- S khng chc chn v tm l by n
- Tht bi trong vic iu tit
- S la di
- S ly lan


IV. Nhng bt thng, bong bng v khng hong
V. Kt lun v tho lun
Kt lun:
1. Trn cc th trng ti chnh c t chc th
nhn chung l th trng hiu qu.
2. C th c nhng bt thng, khng hong
xy ra chng li TTHQ, nhng nhng vn
ny thng khng ln v khng thng
xuyn. V vy chng khng sc nh bi
gi thuyt th trng hiu qu.
3. Vic xem xt th trng hiu qu nn xem xt
tng giai on c th c nhng hnh vi
gi chng khon khc nhau
V. Kt lun v tho lun
Tho lun:
Kim nh tnh hiu qu thng tin trn TTCK Vit
Nam
S lc v TTCK Vit Nam: TTCK Vit Nam cn kh non tr
nn cn nhiu hn ch: cng ty nim yt cn t, s lng cc nh u t
tham gia TT cng cha c nhiu, kin thc u t ca cc nh u t
cng khng ng u, nhiu nh u t cn da vo cm tnh u t.
Kim nh th trng hiu qu:
C 3 phng thc kim nh TTHQ
1.Kim nh TSSL vt tri c lp vi thng tin c n nh ti thi
im t hoc sm hn hay khng
2.Kim nh quy tc giao dch c th to ra li nhun bt thng hay khng?
3.Kim nh gi th trng c lun bng gi gc khng?
V. Kt lun v tho lun
Tho lun:
A.Kim nh thng k v tnh c lp ca t sut sinh
li
ROItj = 0 + irt-i + i
Trong :
ROItj: T sut sinh li ca chng khon j ngy t
rt-i: T sut sinh li chng khon j ngy t-i
0: H s t do (tung gc)
i: H s m hnh
i: Sai s ca hi quy (nhiu ngu nhin)
S dng M hnh hi quy bng Eview:
Kt qu: ch s dng m hnh ny th khng kt lun c
TTCK VN c thc s hiu qu hay khng?


V. Kt lun v tho lun
Tho lun:
B. Kim nh quy tc giao dch
Ta tin hnh chn mt nhm c phiu c c tnh
tng gi mnh nht trong mt khong thi gian, xem
xt liu cc c phiu ny trong khong thi gian ti
c cn tip tc tng gi na khng, nu cc c phiu
ny khng tip tc thng na th kt lun l th trng
hiu qu. Tuy nhin ta phi tin hnh kim nh nhiu
ln.
Kt qu: TTCK VN dng yu

V. Kt lun v tho lun
Tho lun:
D. Kt qu kim nh chung
Bng 2 phng php kim nh trn, th ta thy
TTCK VN l th trng hiu qu th yu.
Nhng kim nh trn ch tin hnh kim nh 1
s CK cng cha phn nh ton b bn cht ca
TTCK c. Nn chng ta vn phi quan tm
xem TTCK Vit Nam thc s hiu qu hay
cha?

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