i

MC LC
DANH MC BNG BIU, TH S DNG TRONG TI ........................... ii
PHN M U ........................................................................................................ 1
CHNG 1: TM L BY N NGUYN NHN CA TM L BY N
................................................................................................................................... 3
1.1.

Tm l by n ............................................................................................... 3
Tm l by n theo thng tin .................................................................... 5
Tm l by n theo danh ting .................................................................. 5
Tm l by n theo th lao ....................................................................... 5

1.2.

Nguyn nhn to ra tm l by n ............................................................... 7

1.2.1.

Cc nhn t hnh vi L thuyt ti chnh hnh vi ................................. 8

1.2.1.1.

Hnh vi bt hp l ............................................................................. 9

Ph thuc vo kinh nghim hay thut ton (Heuristics)..................................... 9

T tin thi qu (Overconfidence) ...................................................................... 9
Tnh ton bt hp l (Mental Accounting) ...................................................... 10
Theo khun mu (Framing) ............................................................................ 10
Lch lc do tnh hung in hnh (Representativeness) ................................... 11
Bo th (Conservatism) .................................................................................. 12
1.2.1.2.

Hnh vi khng hp l mang tnh h thng ..................................... 12

1.2.1.3.

Gii hn v kh nng kinh doanh chnh lch gi........................... 13

Gii hn duy l .................................................................................................. 13

1.2.2.

Bt cn xng thng tin ........................................................................... 14

1.2.2.1.

Nguyn nhn ca tnh trng bt cn xng thng tin ..................... 15

1.2.2.2. Tc ng ca bt cn xng thng tin n nh u t trn th

trng chng khon. ...........................................................................................
16
CHNG 2: HNH VI BY N ....................................................................... 18
2.1.

Gii thiu TTCK Vit Nam .......................................................................... 18

2.2.

Mt s biu hin hnh vi by n trn th trng ...................................... 18

2.3.

C s to ra hnh vi by n trn TTCK Vit Nam ................................... 20

Mi trng php lut cha hon chnh, thiu hiu lc .......................................... 20

Quy m th trng nh, to iu kin ca hnh vi thao tng th trng ................. 22

ii

Nng lc nh u t cn hn ch .......................................................................... 22
Bin giao dch, chnh sch cm bn khng ....................................................... 23
2.4.

M hnh o lng mc hnh vi by n trn TTCK VN ...................... 23

2.4.1.

La chn m hnh .................................................................................. 23

2.4.1.1.

Cc m hnh o lng hnh vi by n trn th gii ..................... 23

2.4.1.2.

M hnh Hwang v Salmon (2004) .................................................. 25

i.

Phng php o lng hnh vi by n .................................................... 25

ii. M hnh o lng hnh vi by n ........................................................... 27

2.4.2.

D liu..................................................................................................... 30

2.4.2.1.

Mu d liu ...................................................................................... 30

2.4.2.2.

Phng php x l s liu ............................................................... 30

2.4.3.

Kt qu t m hnh ................................................................................ 31

CHNG 3: GII PHP HN CH TM L BY N ............................. 39

KT LUN .............................................................................................................. 44
PH LC................................................................................................................. 45
TI LIU THAM KHO ........................................................................................ 69

ii

DANH MC BNG BIU, TH S DNG TRONG TI

Bng biu:
Bng 1: Thng k c bn th trng chng khon (HOSE)
Bng 2: Thng k c bn beta cho theo tng thng
Bng 3: Log ( lch chun ca beta cho)
Bng 4: Kt qu c lng t cc m hnh
Bng 5: Gi tr c lng ca hmt da vo m hnh (10)&(8)

th
th 1: VN-Index
th 2: Khi lng giao dch HOSE
th 3: Hnh vi by n trn th trng theo th trng
th 4: Hnh vi by n v bin ng th trng

PHN M U
1. L DO NGHIN CU
Tm l (hnh vi) by n1 l mt hin tng ph bin trong th trng ti chnh
ni chung th trng chng khon ni ring, bt k th trng pht trin hay
ang pht trin. Hnh vi by n ni chung gp phn lm gim tnh hiu qu
ca th trng, v trong nhiu trng hp dn n nhng phn ng qu mc,
lm mt s n nh ca th trng. Chnh hnh vi by n l mt nguyn nhn
quan trng v tc nhn khuch i nh nh hng ca cuc khng hong ti
chnh ton cu 2008.2
c nhiu nghin cu v vn hnh vi by n trn cc th trng chng
khon trn th gii. Trong khi , trong phm vi hiu bit ca ti, hin cha c
nghin cu no v nguyn nhn cng nh o lng mc hnh vi by n
trn th trng chng khon Vit Nam xut gii php gia tng tnh hiu
qu ca th trng. iu thi thc ti thc hin nghin cu ti o
lng hnh vi by n trn th trng chng khon Vit Nam.
2. XC NH VN NGHIN CU
ti nghin cu ny tp trung nghin cu nhng nguyn nhn gy ra hnh vi
by n trn th trng chng khon Vit Nam, chng minh s tn ti v o
lng mc ca hnh vi by n trn th trng thng qua m hnh nh
lng. Cng vi , tc gi xut mt s gii php nhm hn ch hnh vi by
n trn th trng, nhm ci thin tnh hiu qu ca th trng.
3. CU HI V MC CH NGHIN CU

Tm l by n l g? Nhng nguyn nhn no gy ra tm l by n?

Nhng nguyn nhn no gy ra tm l by n trn TTCK Vit Nam?

Trn th gii c nhng m hnh o lng hnh vi by n no? La chn

m hnh no cho TTCK Vit Nam?

Cc khi nim tm l by n hay hnh vi by n c s dng trong ti vi cng mt ngha, nn

c th s dng thay th nhau. Chnh xc hn l hnh vi by n l biu hin ca tm l by n.
2

Xem thm ph lc 1

Nhng gii php no cn tin hnh hn ch hnh vi by n trn th

trng?

gii p cho nhng cu hi trn, ti ny nhm vo cc i tng nghin

cu c th sau y:

Tm hiu cc nghin cu v hnh vi by n trn th gii, v cc mt

nguyn nhn v m hnh o lng

Xc nh nhng nguyn nhn gy ra hnh vi by n trn TTCK Vit Nam

X l v phn tch d liu v TTCK Vit Nam, s dng m hnh ca

Hwang & Salmon (2004) chng minh s tn ti v o lng mc
hnh vi by n trn TTCK Vit Nam

xut nhng gii php gp phn hn ch hnh vi by n trn th trng

4. PHNG PHP NGHIN CU

ti nghin cu s dng kt hp phng php nghin cu nh tnh, nh
lng, thng k nhm lm r cc vn cn nghin cu. i vi phng php
nh lng, ti s dng phng php lc Kalman gii quyt m hnh
khng gian trng thi (State-space model) theo xut t Hwang & Salmon
(2004), t c lng cc tham s ca nhn t hnh vi by n.
5. NI DUNG NGHIN CU
Chng 1: Tm hiu v tm l by n v nhng nguyn nhn gy ra tm l
by n trn th trng.
Chng 2: Phn tch nhng nguyn nhn gy ra tm l by n trn TTCK
Vit Nam. p dng m hnh ca Hwang & Salmon (2004) (vit tc l m hnh
HS) c lng nhn t by n trn TTCK Vit Nam.
Chng 3: xut cc gii php nhm hn ch tm l by n trn th trng
6. NGHA CA TI
ti nghin cu ny gp phn phn tch cc nguyn nhn gy ra tm l by
n trn TTCK Vit Nam, ng thi cung cp mt c lng c th v s tn
ti v mc ca hnh vi by n trn th trng. T , ti a ra nhng
khuyn ngh, gii php nhm gia tng k lut th trng, hn ch hnh vi by
n, gia tng tnh hiu qu ca th trng.

CHNG 1: TM L BY N NGUYN NHN CA TM L

BY N
1.1. Tm l by n
Trong i sng x hi cng nh kinh t, c nhiu tnh hung m vic ra quyt
nh ca con ngi b nh hng bi nhng quyt nh ca nhng ngi khc,
hay nhng g m nhng ngi khc ang lm. Nhng v d n gin th hin
cho iu ny n t i sng hng ngy: con ngi thng quyt nh la chn
trang phc, qun n, ca hng da trn c s tnh ph bin ca chng. Keynes
(1936) thy rng iu ny cng chnh l cch hnh x ca cc nh u t
trong cc th trng ti sn. Nhng v d khc cho vn ny cng c tm
thy trong nhiu hot ng khc nh vic la chn ngh nghip ca hc sinh,
sinh vin da trn s la chn ca bn b v vic qung b ngnh ngh trn
cc phng tin truyn thng; vic la chn mu xe da trn s ph bin ca
mu xe trong khu vc sng. Hay trong lnh vc nghin cu, mt lng ln
cc nh nghin cu s x tm hiu v cc vn c xem l nng. Trong
lnh vc ti chnh, cc nh kinh t ti chnh v c nhng nh thc nghim tin
rng: cc nh u t b nh hng bi quyt nh ca cc nh u t khc, v
s nh hng ny l mt tc ng hng u n quyt nh ca nh u t.
Hin tng ny c gi l hin tng by n (hay tm l by n, hnh vi
by n). Hnh vi by n l thut ng dng ch s iu chnh tng thch
vi mt phng thc thc hin v c th hin nh l mt s tng ng
trong hnh vi theo sau cc quan st tng tc v hnh ng v kt qu pht
sinh t nhng hnh ng ny gia cc c nhn (Hirshleifer v Teoh, 2003).
Trong th trng chng khon, hnh vi by n bao hm vic cc nh u t c
xu hng b qua cc thng tin ring m thin v cc kt qu quan st
(Bikhchandani v Sharma, 2001) khng tng thch vi cc yu t c bn, nn
tng ca th trng (Hwang v Salmon, 2004). l hnh vi m cc c nhn
thit lp da trn vic quan st hnh ng ca nhng ngi khc, hay ni cch
khc l hnh ng bt chc nhau.

Hnh vi by n mi ngi hnh ng theo nhng g m nhng ngi khc

ang lm, thm ch ngay c khi thng tin ring ca h cho thy nn hnh ng
mt cch khc i. (Banerjee (1992))
Tm l by n th hin c nh u t nh l v c cc nh u t t chc.
i vi nh u t nh l, v nhng gii hn trong vic s hu thng tin cng
nh nhng trng hp xem xt nh c cp trn, nhng ngi ny d
dng b cun vo cc tr chi to ra xu th hay ni mt cch n gin l cc
tr lm gi ca cc t chc. ng thi, nhng tin n, cc thng tin ngoi
lung vi cht lng thp i khi cng c cc nh u t nh l tn dng
mt cch trit v kt cc l to ra mt m ng hnh ng ging nhau
theo mt cch bt hp l. Cn i vi cc nh u t t chc, tm l by n
c to ra t nhng ngi qun l, ban iu hnh cc t chc ny. Nhng
ngi qun l cc t chc, cc nh ch tham gia th trng khng phi vi
mc tiu a th trng v trng thi hp l, hiu qu thng qua kinh doanh
chnh lch gi. M nhng ngi ny tham gia th trng cng ch v mc ch
kim tin v bo v cho s an ton trong ngh nghip ca chnh h. V thnh
qu hot ng ca h b nh gi (Sharfstein v Stein, 1990) trn c s so snh
vi thnh qu hot ng ca nhng ngi c v tr tng t v v trnh cng
nh uy tn ngh nghip ca h l khng ng u, cho nn khng kh thy
rng nhng nh qun l vi trnh /uy tn km hn c xu hng bt chc
nhng hnh ng ca nhng ngi c trnh /uy tn cao hn, v iu ny s
ci thin hnh nh ngh nghip ca h (Scharfstein v Stein, 1990; Trueman,
1994). Tuy nhin, n lt nhng chuyn gia c cho l c trnh / uy tn
cao cng c th s chn cch hnh ng theo m ng, mc d h bit rng
khng phi l hnh ng, quyt nh ti u, nu nh h nhn thy rng ri ro
t s tht bi tim tng l ln hn so vi nhng ch li c th t c nu thc
hin hnh ng ring l (Graham, 1999).
V phn loi tm l by n, c nhiu dng tm l by n khc nhau. Nh
phn loi trong nghin cu ca Bikhchandani & Sharma (2000) th tm l by
n chia lm 3 loi: tm l by n da theo thng tin (information-based

herding), tm l by n da theo danh ting (reputation-based) v tm l by

n da theo th lao (compensation-based).

Tm l by n theo thng tin

Nh u t c th theo di hnh ng ca nh u t khc nhng khng th

bit rng h c nm gi thng tin b mt g khng. Ngay c khi nhng c nhn
c trao i vi nhau th vn c nhng hoi nghi, v h gim st hnh ng thay
v ch bng li ni. Bng cch gim st, h s suy tnh v a ra quyt nh
ring ca mnh. Tht ra by n theo thng tin v ngi ta tin rng c th mt
ngi no bit c nhng thng tin m mnh khng bit, v h ngh thng
tin ny c th l ng, c th l nhng thng tin mt b tit l, v th m h
hnh ng theo.
Nu gi c phiu trn th trng c phiu phn nh mi thng tin sn c hay
ni cch khc th trng hiu qu v thng tin th hnh vi by n theo thng
tin s khng xy ra.

Tm l by n theo danh ting

Mt gi thuyt khc l hnh vi by n theo danh ting ca nhng nh qun l

qu v nhn vin phn tch ti chnh. H c thu mn a ra nhng bo
co, nhn nh, d on th trng, hay gi c. Nu d on ca h khc xa vi
nhng d bo khc t nhng nh phn tch hay qun l qu m d bo ca h
li khng chnh xc th danh ting ca h s tn hi. H s khng c thng
tin hay thm ch b sa thi. Do vy, nhng nh qun l qu hay cc nh phn
tch (c bit l nhng ngi t kinh nghim) s bt chc theo nhng d on
ca nhng ngi khc. V nh th, tm l by n theo danh ting.

Tm l by n theo th lao

Nu mc th lao ca mt qun l u t ph thuc vo t sut li nhun ca

danh mc u t so vi benchmark. Benchmark c th l mt ch s hoc t
sut li nhun ca nhng qun l khc. Khi nh qun l c xu hng la
chn nhng khon u t khng hiu qu v nh qun l c th s quan st
nhng ngi khc hay benchmark bt chc cho theo kp, v iu ny cng

c th dn ti hnh vi by n. Nu th lao ca nh u t gim khi t sut li

nhun nh hn benchmark th cng c ng lc nh qun l bt chc theo.
Nhn chung, vic phn loi cc dng tm l by n nh trn ch mang tnh
tham kho, ch cha c mt chun mc c chp nhn chung no v vn
ny. Tuy nhin, c mt im cn c bit ch l cn nhn thc r rng tm l
by n thng c cp trong cc nghin cu, phn tch l tm l by n
c ch (intentional herding), khc vi tm l by n gi (spurious herding) 3
to ra khi cc nhm nh u t a ra cc quyt nh tng t nhau da trn
cc phn tch c lp t cc tp hp thng tin tng t nhau.
Tm l by n d nhin khng phi l c sn ca ring th trng chng
khon Vit Nam. Th trng nhiu nc khc, ngay c nhng nc pht trin,
cng c nhng giai on tng t. Vn l dng nh tm l by n hin
vn chi phi qu nhiu n hnh vi ca a s cc nh u t c nhn. Tm l
by n xut hin hu ht cc th trng mi ni thm ch ngay c cc th
trng pht trin th vn c nhng giai on tn ti tm l ny. Kt qu ca cc
cuc iu tra v tm l u t trn th trng chng khon M v Nht c
Robert J. Shiller- i hc Yale, Fumiko Kon-Ya - Vin nghin cu chng
khon Nht bn, Yoshiro Tsutsui - i hc Osaka tin hnh mi 6 thng 1 ln
trong 10 nm, bt u t nm 1989 cng cho thy s nh hng ca tm l
m ng n quyt nh u t. Theo kt qu iu tra t nm 1995 n nm
1997, ch s DowJones tng gp i t 4069 ln 7917, gp 3 - 4 ln mc tng
trung bnh, thi im c 5 ngi M th c t nht 2 ngi chi c phiu.
iu tra su thng u nm 1996, c n 32,5% (t l cao nht k t nm 1989)
nh u t cho bit d h bit trong tng lai s rt gi nhng h vn tip tc
mua c phiu cng nhiu cng tt. V h tin rng gi cao vn c th duy tr
c mt thi gian na. Thng 10 nm 1997, ch s Dow rt 554 im V
trong rt nhiu nguyn nhn c cp n trong cuc khng hong ti chnh
ton cu va qua, th tm l by n cng l mt nguyn nhn ng k. V
3

Bikhchandani S., and S. Sharma, "Herd Behavior in Financial Markets", IMF Staff Papers, 47, 3
(2001)

trong nhng phn tip theo, ti s tip tc lm r hn v vn ny thng qua

cuc khng hong ti chnh ton cu 2008 va qua, c bit l trn th trng
chng khon Vit Nam.
1.2. Nguyn nhn to ra tm l by n
Ngun gc ca hnh vi by n c th do cc nhn t tm l v cng c th
l hnh vi by n da trn s suy tnh hp l, khn ngoan.
gc tm l, hnh vi by n c cho l pht sinh t chnh bn cht con
ngi, theo con ngi c xu hng hng n s tun theo (Hirshleifer,
2001) qua qu trnh trao i thng tin ga cc c nhn. S trao i thng tin
ny c th l bng cch ni chuyn trc tip gia cc c nhn (Shiller, 1995)
hay mt s hiu ngm khi cc c nhn quan st s la chn ca nhng ngi
khc (Bihkchandani v ng s, 1992). Ngoi ra, cn c cc nhn t hnh vi
khc tc ng n cch hnh x ca nh u t nh: s ph thuc vo kinh
nghim hay thut ton my mc, lch lc nhn thc do tnh hung in hnh, t
tin thi qu, tnh ton bt hp l, bo th, theo khun mu. Khi tm l con
ngi mc phi nhng hin tng tm l trn th h c khuynh hng th ,
hoc phn ng chm, phn ng vi mc yu, khng ph hp hoc phn ng
qu mc trc nhng thng tin c cng b. Tt c nhng yu t ny u tc
ng n quyt nh ca con ngi, v c bit trong nhng hon cnh m c
rt t thi gian suy ngh a ra quyt nh, hnh ng ca mt ngi hay
mt nhm ngi c th dn n hnh ng ca nhng ngi khc. Chnh tm
l s hi phi hnh ng ring l hay khng mun i ngc tro lu dn n
xu hng cc c nhn bt chc nhau (d hnh ng hp l hay v l), v
iu ny to nn hnh ng by n ca nh u t trn th trng.
kha cnh khc, hnh vi by n cng c th c to ra t nhng xem xt
khn ngoan, c tnh hp l. Devenow v Welch (1996) cho thy rng tm l
by n c th c gy ra bi nhng s xem xt khn ngoan, nu vic thc
hin hnh vi bt chc da trn vic nhn ra nhng thng tin v kt qu
hnh ng ca ca nhng c nhn khc. S xem xt ny c th xy ra trong 4
trng hp: (a) c nhn khng s hu bt k thng tin ring no, (b) c thng

tin ring nhng thng tin cha chc chn v cht lng thng tin l thp, (c)
khng t tin vo kh nng x l thng tin ca mnh (d) nhn thy hay cho rng
nhng ngi khc s hu nhng thng tin tt hn. iu ny c gp phn to
ra t tnh trng bt cn xng thng tin trn th trng. Th trng cng bt cn
xng thng tin, tm l by n cng ph bin.
Tip theo, ti s trnh by r hn cc nhn t hnh vi v vn bt cn xng
thng tin nhng nhn t to ra tm l by n trn th trng.
1.2.1. Cc nhn t hnh vi L thuyt ti chnh hnh vi
Trong nhng thp k gn y, nhng nghin cu trong lnh vc ti chnh hnh
vi ngy cng pht trin, ng gp vo vic gii thch nhng bt thng ca th
trng hay cc cu kinh t m l thuyt th trng hiu qu t ra bt lc
trong vic l gii. L thuyt ti chnh hnh vi vi hai tr ct chnh l L
thuyt trin vng (Prospect Theory) v Kinh t hc th nghim (Experimental
Economics).
L thuyt trin vng cho rng quyt nh ca con ngi khng lun lun da
trn s k vng hp l m n cn b nh hng bi yu t hnh vi nh cm
xc, kinh nghim, tm l x hi ph bin. y l mt s i lp so vi l
thuyt vn thng tr trc L thuyt hu dng k vng. Bn cnh , l
thuyt trin vng cn cho rng khu v ri ro ca nh u t khng phi l nht
qun (iu c cp trong l thuyt hu dng k vng), m c th thay i
theo thi gian, ty theo hon cnh th trng.
Kinh t hc th nghim vi nhng th nghim nghin cu v hnh vi ra quyt
nh ca con ngi trong nhng hon cnh c th, cho thy rng hot ng
thc t ca con ngi l phc tp v b nh hng ln bi tnh t thn, v h
thng thuc v tm l hc.4 Con ngi c th khng lun lun hnh ng hp
l, nhng qua nhng bi hc th v sai cui cng h cng c th a ra quyt
nh tng thch vi l thuyt hu dng k vng. Theo mt nghin cu ca
Arlen v Talley, qu trnh ra quyt nh ca con ngi c th l mt qu trnh

Vernon L. Smith, Papers in Experimental Economics (1991)

da trn l tr, cng c th l quyt nh da trn cm tnh, v cng c th l

mt s kt hp ng thi gia l tnh v cm tnh.5
L thuyt ti chnh hnh vi l gii tnh khng hiu qu ca th trng t trong
s tn ti ca nhng nhn t hnh vi, nhng nhn t m gp phn to ra tm l
by n trong th trng.6 Bao gm:
1.2.1.1.

Hnh vi bt hp l

Ph thuc vo kinh nghim hay thut ton (Heuristics)

Vic ph thuc vo kinh nghim khin con ngi a ra quyt nh mt cch
d dng v nhanh chng. iu ny thnh thong s dn n nhng sai lm trong
quyt nh, c bit l khi cc iu kin bn ngoi thay i, v thm ch c th
dn n cc quyt nh u t nm di im ti u. c bit ngi ta thng
cao hiu qu ca nhng quy tc n gin, gn gi v d nh, kiu hiu ng
m Tversky v Kahneman (1979) gi l hiu ng quy tc c sn (availability
heuristic). Mt v d ca Benartzi v Thaler (2001) l khi i mt vi N la
chn lm th no u t s tin tit kim ca mnh, nhiu ngi nhanh
chng s dng quy tc 1/N (c ngha l nu c N loi hnh u t, h s u t
1/N s tin ca mnh vo mi loi hnh u t ).
T tin thi qu (Overconfidence)
C nhiu nghin cu cho thy rng con ngi qu t tin vo nhng kh
nng ca mnh, h thng ngh rng h bit nhiu hn nhng g h lm. Chnh
s t tin qu mc dn n nhng quyt nh sai lm khi h qu ch trng
n nhng thng tin tt ca cc cng ty c nh gi v l i nhng thng tin
xu, chnh iu ny lm cho h tin rng nhng c phiu m h ang u t l
nhng c phiu tt. V v th, h c xu hng u t rt nhiu vo mt loi
chng khon quen thuc hay chng khon ca chnh cng ty h lm vic, v

Jennifer H. Arlen v Eric L. Talley, Experimental Law and Economics (2008).

Jay R. Ritter, Behavioral Finance, The Pacific-Basin Finance Journal, Vol. 11, No. 4, (9/2003) pp.
429-437

10

tr nn t a dng ha danh mc ca mnh. Ngoi ra, Barber v Odean (2001)7

pht hin ra rng, trong cc hot ng giao dch, cc nh u t nam thng
c xu hng t tin hn cc nh u t n. V nh u t nam cng giao dch
nhiu, th kt qu cng t hn nh u t n.
Tnh ton bt hp l (Mental Accounting)
Con ngi thnh thong c xu hng a ra cc quyt nh ring l m ng ra
chng nn c kt hp vi nhau. V d, nhiu ngi chia ngn sch gia
nh thnh hai phn, mt phn dnh mua thc n v phn cn li dnh cho
tiu khin, gii tr. Nu nh, h s khng dng khon tin chi cho thc n
mua tm hm hay cc mn n sang trng khc bi v chng qu t tin so vi
cc mn c, rau tht bnh thng. Nhng khi n nh hng, h li sn sng gi
nhng mn t tin nh tm hm, mc d chng t hn rt nhiu so vi mt
bui ti vi c bnh thng khi nh. Nhng nu h n tm hm nh, cn n
nhng mn c n gin trong nh hng, th h c th tit kim c nhiu tin
hn, bi v vic mua tm hm v nh so vi n tm hm ti mt nh hng sang
trng s r hn nhiu. Vn nm ch h tch bit hai khon ngn sch
dng cho ba n ti nh v i n nh hng vo cui tun.
Theo khun mu (Framing)
Theo khun mu l mt khi nim cho thy ni dung ca mt vn ring bit
s c th hin nh th no. V d, mt nh hng c th qung co v mt
mn n c bit hay l nhng khon chit khu cho khch hng, nhng h s
khng bao gi p dng cc khon ph ph vo gi cao im cho khch hng.
Nh vy, nu khch hng cm thy rng mnh ang nhn c mt khon chit
khu vo gi thp im hn l phi tr mt khon ph ph vo gi cao im th
nh hng s kinh doanh c nhiu hn, thm ch nu gi l nh nhau.
Nh vy, khi nim ny khng phn tch mt vn mt cch ton cc, m b
buc trong mt khun kh hn hp. Mc d kt qu l nh nhau nhng s khc
nhau v khun mu (cch thc din t khc nhau) c th to cho nh u t c
7

Brad M. Barber and Terrance Ocean (2001), Boys will be boys: Gender, Overconfidence, and
Common Stock Investment", The Quarterly Journal of Economics (2001)

11

nhng phn ng sai lch v nhng ri ro lin quan n thng tin c truyn
t.
Lch lc do tnh hung in hnh (Representativeness)
Con ngi c xu hng nh gi xc sut ca mt s kin bng cch ly mt
s kin c trng c th so snh c v gi nh rng xc sut l tng t.
iu ny ch yu da vo nhng kinh nghim m chng ta c c trong qu
kh. Ngay t khi mi sinh ra, con ngi c xu hng phn loi cc hin
tng, s vt v suy ngh. Khi con ngi i mt vi mt hin tng mi,
khng hon ton ph hp vi hin tng phn loi trc , h cng s c
a chng vo mt tp hp no da trn nhng s tng ng kim c
v t s nh hnh nn nn tng h c th hiu bit v nhng nhn t mi.
Cch thc tip thu ny cung cp mt cng c hu hiu cho vic x l thng tin
mi bng cch ng thi kt hp vi nhng kinh nghim c lin quan trong
qu kh.
Tuy nhin, sai lm chnh l do gi nh rng s tng t trong kha cnh ny
to ra s tng t trong kha cnh khc. Tng t, con ngi thng c xu
hng nhn bit xc sut ca cc vn tng ng vi nhng tng trc
ca h - ngay c khi kt qu nhn c khng c ngha thng k.
Nh vy, lch lc do tnh hung in hnh thng c din t mt cch n
gin l xu hng khng quan tm nhiu n nhng nhn t di hn, m thng
t nhiu quan tm n nhng tnh hung in hnh ngn hn. iu ny c
bit n nh l lut s nh (law of small numbers).8
V d, mt nh u t s ngh rng mt chng khon no s din bin tt
bi v n cng nh th trong mt vi nm trc, v hon ton khng c bt
c mt nghin cu no v k vng ca cc chng khon ny. iu ny xy ra

Tversky v Kahneman (1974) a ra mt nh ngha hn lm hn cho tnh hung ny l ngi ta nh

gi xc sut xy ra ca nhng s kin trong tng lai da vo mc tng t vi mt tnh hung
in hnh no . im quan trng l ngi ta thng ch quan tm n mt tnh hung in hnh ca
mt giai on ngn thay v quan tm n mt mu hnh in hnh trong mt giai on di (iu ny gi
l lut s quan st nh, law of small numbers).

12

khi m cc nh u t k vng vo tng lai da trn nhng iu kin ca qu

kh hoc hin ti.
Trong th trng chng khon, l tr a n nh u t tin tng rng chiu
hng tng trng mnh trong qu kh s tip tc trong tng lai, khi trn thc
t gi chng khon lin tc st gim cng chng th on c s i n u
(trong khi nhiu ngi vn c tnh a ra nhng d on, vi mt con s c th
no ).9
Bo th (Conservatism)
Khi iu kin thay i, con ngi c xu hng chm thay i vi nhng iu
kin . Hay ni cch khc, h gn cht nhng thi quen ca mnh vi nhng
iu kin trc . Tc l khi c tin nn kinh t suy gim, h cho rng kinh t
km i ch l tm thi, di hn vn l i ln, m khng nhn thy iu ny pht
i tn hiu mt chu k suy thoi nhiu nm bt u.
Hiu ng ny ngc li vi lch lc do tnh hung in hnh. Con ngi chm
phn ng trc nhng s thay i do nhng thi quen di hn trc . Nhng
nu thi gian di, h s iu chnh ph hp vi iu kin thay i. V d,
khi ban u tin tc cng b ca mt cng ty cho thy li nhun gim, ngi ta
vn tin rng y ch l gim tm thi, v phn ng chm vi thng tin ny, nn
gi c phiu cng ty c tin xu vn gim chm. n khi lin tc vi qu sau,
tnh hnh vn xu, th ngi ta pht hin ra mt tnh hung in hnh mi:
Cng ty ny qu trc cng kinh doanh km, qu ny cng kinh doanh km,
vy nn bn tng c phiu cng ty ny i trnh l. Th l mi ngi x
i bn c phiu. Kt qu, li dn n phn ng thi qu.
1.2.1.2.

Hnh vi khng hp l mang tnh h thng10

Nu ch mt nh u t n l c hnh vi khng hp l, th nh hng ca giao

dch ca nh u t ny ln gi c phiu trn th trng l khng ng k (cho
d l mt t chc u t ln th nh hng cng rt hn ch nu ch n c
9

Thc s L t Ch , ng dng l thuyt ti chnh hnh vi

Thc s H Quc Tun, Ti chnh hnh vi: Nghin cu ng dng tm l hc vo ti chnh, Tp ch
Kinh t pht trin (7/2007)
10

13

mt mnh). Ch khi hnh vi khng hp l l mang tnh h thng (ngha l mt

nhm nhiu nh u t cng c mt hnh vi khng hp l nh nhau) th khi y
vic nh gi sai s xut hin v c th bt u ko di. L thuyt ti chnh
hnh vi cho rng tnh lch lc (bt hp l) trong hnh vi l kh ph bin i vi
nhiu nh u t, v do , n to thnh mt dng nh chng ta thng gi l
hiu ng by n hnh vi by n, khin cho gi mt s c phiu khng
phn nh gi tr thc (hay hp l) ca chng. Nh vy, hnh vi by n l
khng tt cho th trng trong trng hp chng ta xem hiu ng by n l tt
c u hnh ng theo mt mu hnh hnh vi lch lc, khng hp l, thy ai
lm sao th lm vy.
1.2.1.3.

Gii hn v kh nng kinh doanh chnh lch gi

Vic nh gi sai cc ti sn ti chnh l hin tng ph bin, nhng khng d

g lm cho cc khon li nhun bt thng ca cc ti sn ny tr nn ng
tin cy. Ti sao li nh vy? Vic nh gi sai c 2 dng: mt dng l thng
xuyn xy ra v c th kinh doanh chnh lch gi c, mt dng l khng
thng xuyn xy ra, ko di v khng th kinh doanh chnh lch gi c.
Dng th nht, cc chin lc kinh doanh c th kim c tin. Dng th 2 rt
d dn n tnh trng tin mt, tt mang. Vic nh gi sai khng thng
xuyn xy ra, nh u t khng th xc nh c nh v y cho n khi
chng xy ra trn thc t. Ti t hn, nu cc i tc v nh u t tin hnh
rt vn sau khi thua l c th dn n p lc mua bn lm trm trng thm tnh
khng hiu qu.
Ngoi nhng nhn t trn, mt nhn t quan trng khc dn n hnh vi by
n ca nh u t, l gii hn duy l ca nh u t.
Gii hn duy l
Khi nim ny cho rng mc d cc c nhn c x theo l tr, theo s sp t
ca cc c nhn c cho l hon chnh, nht qun v kn k, kh nng thu thp
v x l thng tin ca h li b hn ch, ngha l gii hn kh nng tnh ton
ca b c con ngi.

14

Trong l thuyt tr chi, gii hn duy l l khi nim da trn thc t v l tr

ca cc c nhn l b hn ch bi nhng thng tin m h c, nhng hn ch v
nhn thc t duy, v thi gian hn ch trong vic a ra quyt nh. ng thi
cc quyt nh ca con ngi l thiu kh nng v ngun lc i n gii
php ti u. H ch c th a ra s la chn hp l khi cc s la chn l
c n gin ha v c sn. V nh vy, quyt nh a ra c tha mn.
Con ngi cng mong mun c s la chn tha mn hn l mt s la chn
ti u. Mt s m hnh v hnh vi con ngi trong khoa hc x hi gi nh
rng con ngi c th c m t nh nhng thc th hp l hoc xp x hp
l (l thuyt hu dng k vng - la chn hp l). Nhiu m hnh kinh t gi
nh rng quyt nh ca con ngi l bnh qun hp l v c s lng thng
tin va hnh ng theo s thch ca mnh. Tuy nhin, khi nim gii hn
duy l iu chnh gi nh ny nhm gii thch cho s tht rng cc quyt
nh hon ton hp l l thng khng kh thi trong thc t do cc ngun ti
nguyn tnh ton l hu hn. Chnh s gii hn nng lc l mt trong nhng
nhn t dn n vic nh u t c xu hng quan st v hnh ng theo
m ng.
1.2.2. Bt cn xng thng tin
Thng tin c cng b c cho l yu t quan trng gip nhng nh u
t a ra quyt nh ca mnh mt cch hp l cng nh bo v duy tr trng
thi n nh ca th trng. Nhng c mt thc t rng l khng phi lc no
thng tin cng c cung cp mt cch y v kp thi. D sao i na th
vi l do ny hay l do khc u c nhng c nhn tip cn nhng thng tin
ny sm hn c th trng trc khi n c cng b cho d l mt khong
thi gian rt ngn. V vic mt nh u t hay mt nhm cc nh u t s hu
c mt lng thng tin so vi phn cn li ca th trng nh vy c gi
l s bt cn xng thng tin.
Bt cn xng thng tin l tnh trng xut hin trn th trng khi mt bn no
(bn mua hoc bn bn) s hu mt lng thng tin y hn v c tnh
sn phm. V d nh ngi bn s hu mt thng tin quan trng no m

15

ngi mua khng c, do qu trnh a ra quyt nh ca nh u t s b

nh hng khi m nu c c thng tin th ngi mua c th s khng a
ra quyt nh nh vy. V i vi th trng ti chnh v c th l thi trng
chng khon th bt cn xng thng tin c hiu l tnh trng c mt hoc
mt nhm cc nh u t s hu c nhng thng tin ring so vi phn cn
li ca th trng (Kyle, 1985) hoc c nhiu thng tin i chng hn v mt
cng ty (Kim v Verrecchia, 1994 v 1997).
1.2.2.1.

Nguyn nhn ca tnh trng bt cn xng thng tin

Nh cp phn trc, vic cng b thng tin l khng hon ho trong th

trng, c bit l cc th trng cn non tr, th tnh trng bt cn xng thng
tin l khng th trnh khi. C rt nhiu nguyn nhn dn n tnh trng ny
nhng ch yu u lin quan n hai yu t l s thiu minh bch v gim st
trong cc c ch v quy tc cng b thng tin v kim ton v cc yu t mang
tnh ri ro v o c ca cc doanh nghip, nh ch ti chnh v ngay c
nhng nh u t.

S c tnh che du v cung cp thng tin sai lch khng y ca cc t

chc trong nn kinh t. Hu qu s rt ln nu l s tht v vic hot
ng km hiu qu, tnh trng ti chnh bt n v cc ri ro lin quan n
sn phm m h pht hnh. Khi th trng s nh gi chng khon loi
ny cao hn so vi gi tr thc t m chng mang li cho nh u t. Bn
cnh , vic thiu minh bch trong thng tin ca khu pht hnh nhm
tha mn mc ch li nhun ca mt s c nhn ni b khi nh pht hnh
che giu thng tin lm cho chng khon c nh gi thp hn gi tr ca
n v nhng ngi c cung cp thng tin dng ny s mua chng khon
vi mt mc gi hi.

Trong mi th trng ti chnh u c nhng quy nh v cng b thng tin

kim ton cng nh cc cng tc thm nh ti sn. c bit trong lnh vc
chng khon v ngn hng ni m cng b thng tin l cng c c hiu lc
mnh nht trong vic gim st th trng v bo v cc nh u t. i khi
chnh v s thiu hp l trong nhng quy nh ny li lm cho cng b

16

thng tin gim i vai tr ca n. Vic li dng nhng k h lch lut

nhm mc ch li nhun lun xut hin trn th trng.

Ri ro o c ca nhng ngi iu hnh hay nm gi thng tin trc khi

n c cng b ra th trng. Cc thng tin v cung cu c phiu trn th
trng, cc quyt nh ca doanh nghip v chia c tc: thi gian, t l, c
phiu thng cng nh thng tin v vic tng quy m vn v m rng
u t H s tit l thng tin cho cc mi quan h bn b hay gia nh
nhm gip cc c nhn ny kim li trc khi m nhng thng tin ny n
tay nh u t. Chnh v vy h lun nm gi th ch ng.

Ngoi ra, ngay c khi cng b thng tin th y v kp thi nhng vic
din gii, trnh by thng tin n tay nh u t cn nhiu bt cp. Rt
nhiu thng tin c cung cp bi cc c quan uy tn nhng vn sai lch
lm nh u t ngy cng hoang mang trong vic la chn ngun thng tin
an ton v chnh xc. V chnh iu ny l c hi nhiu i tng tung
tin n tht thit n nh u t. nh hng n uy tn cng nh cht lng
ca cc c phiu trn sn giao dch. Thng qua cc din n u t hay
truyn tai nhau khin cho nhiu nh u t a ra nhng quyt nh sai
lm. in hnh l nhng nh u t theo xu hng cn non tr cha c kinh
nghim trong vic phn tch v sng lc thng tin.
1.2.2.2.

Tc ng ca bt cn xng thng tin n nh u t trn th

trng chng khon.

Trc ht phi xt n cc tc ng m bt cn xng thng tin mang n cho
nhng nh u t trn th trng. Bi v chnh h l nhng ngi s dng
thng tin a ra quyt nh u t ca mnh nn mt khi c mt s bt cn
xng thng tin no xy ra trn th trng th h l ngi gnh chu hu qu
nhiu nht.

Thng tin khng c cng b mt cch khng y v kp thi, s thiu

minh bch trong th trng ti chnh lm cho nh u t khng th nm bt
c tnh hnh kinh doanh, tnh trng ti chnh, cng nh ni b iu hnh
cng ty. V kt qu l da trn lng thng tin t i m h c c, vic

17

nh gi c phiu, tnh ton t sut sinh li v ri ro t vic u t l khng

chnh xc. Nhng quyt nh u t sai lm s gy thit hi cho h.

H thng cc quy tc cng b thng tin cn nhiu s h. Cha c s phn

loi thng tin r rng cng nh vic din t thng tin cn mang tnh mp
m kh hiu ca cc t chc pht hnh. Bn cnh nhng thng tin vi m
ca doanh nghip th nhng thng tin v m v ngnh, nn kinh t cn thiu
v cha chnh xc, nh hng n qu trnh phn tch ca nh u t khi h
khng c s s so snh v d bo mang tnh v m. Nhng yu t trn
u gp phn lm cho quyt nh ca nh u t tr nn khng hp l.

18

CHNG 2: HNH VI BY N
TRN TH TRNG CHNG KHON VIT NAM
Phn ny ca ti s phn tch nguyn nhn TTCK Vit Nam cha hiu qu
di gc nhn ca ti chnh hnh vi thng qua tm l by n (hnh vi by
n). Mc tiu ca chng ny bao gm:

Lm r c s to ra to ra tm l by n trn TTCK Vit Nam

o lng mc hnh vi by n trn th trng

Lm r nhng biu hin ca hnh vi by n trn th trng qua cc giai

on pht trin

2.1. Gii thiu TTCK Vit Nam

TTCK Vit Nam chnh thc hot ng k t thng 7/2000 khi Trung tm giao
dch chng khon (TTGDCK) TP. H Ch Minh i vo vn hnh v thc hin
phin giao dch u tin. Sau khi TTGDCK TP. H Ch Minh i vo hot ng
c khong 6 nm, n nm 2005, TTGDCK H Ni cng c a vo hot
ng. n nay, cc TTGDCK ny c chuyn i thnh cc S Giao dch
Chng khon: S Giao dch Chng khon TP. H Ch Minh (HOSE) v S
Giao dch Chng khon H Ni (HNX). K t nhng ngy u mi a vo
hot ng vi ch vi cng ty nim yt n nay quy m th trng gia tng
vt bc. Tnh n thi im ngy 07/05/2010, ton th trng c 516 c
phiu v 4 chng ch qu nim yt, trong HOSE c 229 c phiu v 4 chng
ch qu; HNX c 287 c phiu. Gi tr c phiu, chng ch qu nim yt hin
nay HOSE t hn 116 ngn t ng; HNX t hn 40 ngn t ng. Bn
cnh hai sn chng khon tp trung, hin ti TTCK Vit Nam cn c th trng
giao dch chng khon phi tp trung (th trng OTC) v sn UPCoM.11
2.2. Mt s biu hin hnh vi by n trn th trng
Trong sut qu trnh hnh thnh v pht trin ca TTCK Vit Nam, hnh vi by
n l mt biu hin ni bt trong th trng.
S tham gia chi chng khon theo kiu mt thi thng. Mt b phn
ln nh u t tham gia th trng vi nng lc v hiu bit hn ch v th
trng, b qua cc yu t c bn ca CP chy theo trin vng li nhun
11

Mt s thng k c bn ca HOSE xem Bng 1. th 1, 2, Ph Lc

19

trc mt khi u t vo TTCK. Thnh phn nh u t trn TTCK rt a

dng, n t mi tng lp trong x hi. Mt s lng ln nhng nh u t gia
nhp mi th trng, tranh mua c phiu vi k vng qu ln y gi c
phiu tng mnh, bong bng th trng hnh thnh, c phiu c nh gi qu
cao. Nhng khon li nhun ln t c trc ca nhng nh u t hin
hu trn TTCK Vit Nam li ko ngy cng nhiu nh u t gia nhp mi,
gp phn gia tng bong bng gi CP. Nhng khon li nhun m cc nh u
t trc t c c vai tr nh mt im tham chiu cho nhng ngi
gia nhp tip theo sau, v h chy theo mt vin cnh rng TTCK Vit Nam s
cn tip tc gia tng khng c im dng.
Mt v d in hnh khc v hnh vi by n trn TTCK Vit Nam l tm l
chung ngoi trn th trng, c bit l nhng nm trc. Vi hiu bit,
v nng lc hn ch, trn th trng nhiu thi im xy ra hin tng cc
nh u t hnh x theo hng nhng g c kin ngh, d bo trong cc bo
co phn tch ca cc t chc ti chnh trn th gii. V d nh vo ngy 29
thng 8, 2007, Ngn hng Hong Kong Thng Hi ti Vit Nam cng b nhn
nh v TTCK Vit Nam vo thi im rng gi ca cc c phiu ti th
trng Vit Nam ang mc thp sau mt t iu chnh. Cng lc, Ngn
hng Citigroup cng a ra bo co phn tch qua nhn nh rng Vit Nam
c kh nng vt qua cuc khng hong ti chnh th gii ang lan rng lc
. VN-Index lc ny ang mc 900 im, sau khi xut hin nhng bnh lun
lc quan v th trng ca hai t chc ti chnh quc t uy tn, th VN-Index lp
tc tng vt, t mc xp x 900 im vo cui thng 8, 2007 ln mc 1100
im vo gia thng 10, 2007. Mt vi v d khc c th lit k l cui thng 32010, Ngn hng HSBC a ra d bo: NHNN s tng li sut c bn thm 1%
trong mt vi tun ti v t l lm pht s ln n 12% vo cui qu II/2010.
Lp tc, tm l bi quan xut hin v nhiu nh u t bn tho c phiu, VNIndex rt t 512 xung cn 503 im.
Ngoi ra, hnh vi by n trn th trng cn biu hin qua nhiu thi im cc
nh u t phn ng mt cch qu mc trn quy m ton th trng. Trong
nhiu giai on, ton b th trng u tng (gim) im vi bin gn nh

20

kch trn (sn) ng lot. Bt u t nhng c phiu blue chip, tm l lc quan

(bi quan) bao trm ton th trng. V kt qu l, bt k c phiu d tnh hnh
c bn l tt hay xu u i theo xu hng th trng: tng (gim) kch trn
(sn). Mt s thi im xy ra hin tng ny nh trong thng 4, thng 5/2009,
mt s ngy th trng ng lot tng trn (vi s m tng trn t hn 90%),
nhng sau nhanh chng st gim tr li vi cc mc st gim khc nhau
gia cc m.
2.3. C s to ra hnh vi by n trn TTCK Vit Nam
Cng vi s pht trin nhanh chng ca th trng, gp phn tch cc trong
vic to ra mt knh huy ng vn hiu qu cho cc doanh nghip, mt knh
u t hp dn i vi nh u t, th th trng Vit Nam vn th hin nhiu
hn ch. Mt trong s l tm l by n ph bin trn th trng. Vy th c
s no to ra hnh vi by n trn TTCK Vit Nam? Phn ny ca ti s
gp phn lm r v v vn ny.
Bn cnh nhng ngun gc chung to ra hnh vi by n trn th trng nh
cp trong phn c s l thuyt, TTCK Vit Nam c nhng c im s
c cp di y gp phn to ra hnh vi by n trn th trng.
Mi trng php lut cha hon chnh, thiu hiu lc
Nghin cu ca Gelos v Wei (2002) ch ra rng cc th trng vn mi ni to
ra mi trng m bn cht to iu kin cho s pht trin hnh vi by n. Mt
c im ni bt phi cp u tin l mi trng lut php cha hon
chnh. S khng y v hiu lc thp ca cc iu lut khin th trng
d b tc ng bi nhng hnh ng bt li nh tin n v hnh vi thao tng
th trng. Kt qu l iu ny dn n s minh bch ca mi trng thng tin
b tc ng, do to iu kin cho s pht trin ca cc xu hng giao dch
by n xut hin trong cc nh u t. Trong sut gn 7 nm k t ngy chnh
thc i vo hot ng vo nm 2000, TTCK Vit Nam hot ng trong khung
php l c gi tr cao nht v chng khon v TTCK l Ngh nh s
144/2003/N-CP (Ngh nh 144). Nh vy, trong mt thi gian di, TTCK
ch chu s iu chnh ca mt vn bn di lut c nh gi l c nhiu

21

hn ch, cha ng b v thiu y . Mt s hn ch ca Ngh nh 144 c

th k n nh khng iu chnh hot ng pht hnh c phiu ca cc doanh
nghip c phn ha, cc t chc tn dng, cc doanh nghip c vn u t nc
ngoi; khng bao hm ht cc hnh vi vi phm v cha xc nh r nguyn tc
x pht cng nh thm quyn x pht trong cc hot ng trn TTCK Mi
n tn ngy 12/7/2006 Quc hi mi ban hnh Lut Chng khon, v chnh
thc c hiu lc t ngy 1/1/2007. Lut Chng khon 2006 ra i gp phn
gim thiu nhng hn ch ca cc vn bn php lut v chng khon v TTCK
trc . Nhng ngay c khi Lut chng khon 2006 cng th hin nhng hn
ch v tnh hiu lc trong nhiu trng hp cha cao. V d trong mt thi
gian di, Lut cha c nhng quy nh chi tit v hot ng pht hnh, nim
yt, giao dch ca cc doanh nghip nc ngoi trn TTCK Vit Nam. Hot
ng cho bn chng khon t ra ra cng chng m khng c thng tin v
mc ch s dng vn huy ng c th din ra thng xuyn m khng c
iu chnh. Khng c cc quy nh c th v vn cng b thng tin ca
doanh nghip, cc i tng lin quan, v khi c quy nh ny th hiu lc ca
n cng hn ch khi thng tin cn mang tnh chung chung, gy kh hiu cho
nh u t. Cc quy nh v hot ng kim ton bo co ti chnh ca doanh
nghip cn lng lo, hin tng khi doanh nghip nim yt b mt cng ty
kim ton t chi a ra kin, hay b a ra kin chp nhn tng phn, th
cc doanh nghip ny chuyn sang s dng dch v kim ton ca mt cng ty
kim ton khc c c kin kim ton thun li hn xy ra thng
xuyn, theo nhn nh ca mt cng ty kim ton ln. Cc bo co ca doanh
nghip nim yt trc v sau kim ton c vnh ln khng phi l iu him
gp, nh trng hp ca cc cng ty STB, PPC, BHS, LGC, PIT, ASP, PAC,
TMS, VSC trong nm 2008. Quy nh v thi hn np v ni dung cc bo co
ti chnh cn cng b t ra km hiu lc. Theo thng k ca y ban chng
khon nh nc, trong nm 2007 c ti 26/250 cng ty nim yt tr hn np
BCTC, trong nm 2008 s doanh nghip nim yt chm np BCTC l 103
doanh nghip, con s ny ca nm 2009 l 203 doanh nghip. Bn cnh ,
nhiu BCTC ca cc doanh nghip nim yt cng b cn mang tnh hnh thc,

22

khng m bo lng thng tin y i vi nh u t khi nhiu BCTC, c

bit l cc doanh nghip nh thiu phn thuyt minh BCTC. Hin tng ny
n nay vn cha c cc quy nh php lut v chng khon v TTCK c
bin php chn chnh mnh. Nhng iu va cp cho thy rng khung php
l v TTCK, ni bt l vn v cng b thng tin, vn cn thiu, cng nh
hiu lc km. iu ny gp phn to ra hin tng by n TTCK Vit
Nam.
Quy m th trng nh, to iu kin ca hnh vi thao tng th trng
Trong iu kin quy m th trng (quy m nim yt, khi lng giao dch)
cn nh, th kh nng thao tng th trng c iu kin thun li thc hin.
Quy m th trng cng nh, th nhng nh u t c nhn, t chc c tim lc
ti chnh vo loi kh c th thc hin hnh vi lm gi. Theo thng k ca
Reuters n ht ngy 26/04/2010, mc vn ha th trng trung bnh ca cc
doanh nghip ca cc doanh nghip nim yt HOSE l 2,484 t ng, trong
s doanh nghip c mc vn ha th trng nh hn 500 t ng chim ti
hn 43% tng s doanh nghip nim yt. Khi lng giao dch trung bnh hng
ngy ca cc c phiu HOSE l 250,000 c phiu, trong t trng c phiu
c khi lng giao dch trung bnh hng ngy nh hn 100,000 c phiu chim
38%, s c phiu c khi lng giao dch nh hn 50,000 c phiu/ngy chim
21%. i vi HNX, gi tr vn ha th trng bnh qun ca cc doanh nghip
nim yt l 527 t ng, trong s doanh nghip c mc vn ha th trng
nh hn 100 t ng chim 40%. Khi lng giao dch bnh qun/ngy ca cc
c phiu nim yt trn HNX l 190,000 c phiu, trong s c phiu c khi
lng giao dch bnh qun/ngy nh hn 50,000 c phiu/ngy chim n 39%.
Vi quy m giao dch nh nh th ny, y l iu kin thun li cho hnh vi
thao tng th trng ca cc nh lm gi, mt c s cho s hnh thnh hnh
vi by n trn th trng.
Nng lc nh u t cn hn ch
Xt kha cnh nh u t, nng lc, kin thc ti chnh ca nhng ngi
tham gia th trng cng l nhn t gp phn to ra hnh vi by n trn th
trng. TTCK Vit Nam c mt lch s hnh thnh v pht trin ch mi c

23

chng 10 nm, mc d trnh ca nhng nh u t trn th trng c

nhiu ci thin khi cc kin thc ti chnh tr nn ph bin hn thng qua cc
phng tin truyn thng, cc kha o to kin thc chng khon ca cc
trng, cc trung tm, nhng nhn chung trnh , kin thc ti chnh ca a
phn nhng ngi tham gia TTCK Vit Nam cn hn ch. S ngi c trnh
chuyn mn ti chnh, chng khon ch chim mt lng nh trong tng s
nhng ngi tham gia th trng. Trong khi , mt lng ln nhng ngi
tham gia th trng thiu hiu bit v chng khon, ti chnh, h tham gia vo
TTCK nh mt tro lu thi thng. Nhng nh u t trn th trng l ai?
c th l nhng b ni tr, anh cng nhn, anh k s, nhng ngi c
tin v xem chi chng khon l mt. C nhng thi im, c bit trong
giai on th trng tng nng nh giai on 2006-2007, n u chng ta
cng nghe mi ngi bn v chng khon. V s thiu hiu bit m nhng nh
u t ny d b cun theo m ng, d b nh hng bi cc tin n, cc
thng tin bn l.
Bin giao dch, chnh sch cm bn khng
Bin giao dch v chnh sch cm bn khng l nhng chnh sch gp phn
to ra mi trng thun li cho tm l by n. Vic thiu vng nhng chnh
sch ny khin TTCK chm iu chnh v mc gi hp l, l nguyn nhn
chnh lm ny sinh tnh trng chng khon c mt chui di tng (gim) im
kch trn (sn). S ko di chui tng (gim) im kch trn (sn) ny thu ht
mt s ch ca m ng th trng, v kh nng s tng (gim) im sau
mt thi gian l do qun tnh bt hp l m m ng gy ra, m khng phi
l qu trnh iu chnh gi hp l.
T nhng vn va cp trn, c th thy TTCK Vit Nam c nhng iu
kin hnh vi by n pht trin. Trong phn tip theo, ti s trnh by
phng php nghin cu nh lng kim nh mc hnh vi by n trn th
trng.
2.4. M hnh o lng mc hnh vi by n trn TTCK VN
2.4.1. La chn m hnh
2.4.1.1.

Cc m hnh o lng hnh vi by n trn th gii

24

Trong thi gian qua, c kh nhiu nghin cu v hnh vi by n trn th gii

nh Banerjee (1992), Bikhchandani v Sharma (2001), Hirshleifer v Teoh
(2003), Scharfstein v Stein (1990), Kim v Wei (2002), Chistie v Huang
(1995), Hwang v Salmon (2004) Cc nghin cu ny xut nhng m
hnh o lng, kim nh mc hnh vi by n trong cc th trng cng
nh tm l by n ca cc nhm nh u t ring bit no . V d, cc
quyt nh u t ca doanh nghip da trn cc quan st quyt nh u t ca
cc doanh nghip khc nh th no.12 Nghin cu ca Kim v Wei (1999)
xut m hnh o lng hnh vi by n ca cc nh u t nc ngoi trn
TTCK Hn Quc da trn nghin cu mi lin h gia hnh vi giao dch ca
cc nhm nh u t vi bin ng ca cc c phiu trong thng trc .13
Nghin cu ca Christie v Huang (1995), Hwang v Salmon (2004) xut
m hnh o lng mc hnh vi by n trn th trng da trn tng s
bin ng ca beta chng khon khi beta cn bng (theo CAPM) do nhn t
hnh vi by n.14
Qua tm hiu v cc m hnh trn, ti quyt nh la chn m hnh ca Hwang
v Salmon (2004) gi tt l m hnh HS p dng cho mc tiu o lng
mc hnh vi by n trn TTCK Vit Nam v cc l do sau:

M hnh HS c th o lng mc hnh vi by n trn quy m ton th

trng, trong khi mt s m hnh khc khng th thc hin iu ny

D liu s dng trong m hnh (s c tho lun trong cc phn tip theo)
c th thu thp c. Trong khi d liu s dng trong cc m hnh khc kh
c iu kin thu thp trong iu kin hin nay

M hnh HS cho php vic m rng m hnh trong tng lai bng cch
thm cc bin vo m hnh kim nh tnh bn vng hay o lng tc
ng ca cc nhn t khc

12

Scharfstein and Stein, Herd Behavior and Investment, The American Economic Review (1990)
Kim and Wei, Foreign Portfolio Investors Before and During a Crisis, Journal of International
Economics, 68, 1, pp. 205-224 (2002)
14
Christie and Huang, "Following the Pied Piper: Do Individual Returns Herd Aroundthe Market?",
Financial Analysts Journal, pp. 31-37 (1995)
13

25

2.4.1.2.
i.

M hnh Hwang v Salmon (2004)

Phng php o lng hnh vi by n

M hnh HS o lng hnh vi by n da trn quan st lch ca beta

chng khon so vi beta cn bng hm trong CAPM khi th trng hiu qu.
HS gi nh rng hnh vi by n xy ra khi nh u t hnh ng theo nhng
quan st thnh qu hot ng ca th trng (t sut sinh li th trng). nh
ngha v hnh vi by n ny ca HS c ngha tng t nh nh ngha hnh
vi by n thng thng15 khi c hai loi hnh vi by n ny u dn n vic
nh gi sai gi tr ti sn.
Hnh vi by n dn n vic nh gi sai v cc quyt nh la chn hp l b
sai lch khi tin tng bt hp l bng quan st hnh ng ca th trng, v
iu ny dn ti s sai lm trong nh gi t sut sinh li mong i v ri ro
(nhng nhn t trong m hnh CAPM).
Trong iu kin th trng hiu qu, beta ca cc chng khon c tnh da
trn cng thc sau:

   =  
   
Trong :

(1)

 l phn b ri ro ca chng khon i ti thi im t

r l phn b ri ro ca th trng ti thi im t

Theo l thuyt CAPM c in th   c gi tr khng thay i theo thi gian.

Tuy nhin, cc nghin cu thc nghim cho thy   cn bng c gi tr thay

i theo thi gian. Tuy nhin, theo l lun ca HS th ng gp phn ln vo

s thay i ca gi tr beta theo thi gian c gy ra bi tm l nh u t,
trong khi beta cn bng theo CAPM l t c s thay i, v s thay i nu
c l rt chm.
Gi tr beta thay i nh th no khi c tc ng ca hnh vi by n? Khi nh
u t c xu hng nhn vo thnh qu hot ng ca ton b th trng hn l
xem xt cc iu kin c bn ca c phiu m h nm gi, th h s khng
15

Hnh vi by n thng thng c nh ngha l cc nh u t quan st ln nhau v tin hnh vic

mua v bn cc ti sn ging nhau trn th trng ti cng thi im.

26

quan tm n beta cn bng theo CAPM, m hnh ng sao cho hng ti vic
iu chnh cho t sut sinh li ca c phiu nm gi tng thch vi t sut
sinh li th trng. Trong trng hp ny, chng ta ni rng hnh vi by n
hng ti thnh qu hot ng ca th trng din ra. V d, gi nh rng ch
s th trng tng 20%. Lc , i vi c phiu c beta = 1.5, theo CAPM k
vng hp l ca mc tng gi ca c phiu ny s l 30%. V i vi c phiu
c beta = 0.5, th k vng hp l ca mc tng gi c phiu ny theo CAPM s
l 10%. Tuy nhin, khi xy ra hin tng by n vi xu hng hng ti
thnh qu hot ng th trng, cc nh u t s c xu hng mua c phiu c
beta = 0.5 v h thy rng c v nh gi ca c phiu lc by gi l qu r so
vi th trng, do h tin rng gi ca c phiu ny s gia tng. Ngc li,
cc nh u t s bn c phiu c beta = 1.5 khi h thy rng c v gi c
phiu l qu mc so vi th trng. M rng ra, suy ngh theo mt hng khc
ca hnh vi nh u t, hay hnh vi by n ngc, cc nh u t s hnh
ng theo hng lm cho beta ca c phiu c beta ln tng thm, v ngc
li, beta ca c phiu c beta nh s cng gim thm. Tc l, cc c phiu c
beta ln s nhy cm hn i vi th trng, v c phiu c beta nh hn s tr
nn t nhy cm hn so vi th trng. iu ny th hin s hng ti gi tr
trung bnh ca beta cn bng di hn, v tht s th hnh vi by n ngc s
tn ti nu tn ti hnh vi by n v phi c mt s iu chnh mang tnh h
thng hng n beta cn bng trong CAPM khi beta b nh u t xc nh
thp hoc cao hn gi tr beta cn bng.
Theo l lun trn, HS cho rng thay v xy ra beta cn bng theo phng trnh
(1), mi quan h gia phn b ri ro ca c phiu so vi th trng c th
hin theo cng thc di y:
 

  


=  
=      1

Trong :

(2)



   v  
phn b ri ro k vng ca c phiu i, v beta ca c phiu i ti

thi im t trong iu kin c hnh vi by n.

27

 l tham s i din cho hnh vi by n, c gi tr thay i theo thi

gian, v  1


Khi  = 0,  
=   , do khng c tm l by n


Khi  = 1,  
= 1, tc l beta ca c phiu bng beta th trng,

   =
   . Do ,  = 1 th hin hnh vi by n hon ho

khi tt c cc c phiu bin ng cng chiu vi cng mc nh ca danh
mc th trng.

Khi 0 <  < 1, hnh vi by n tn ti vi mc c xc nh thng

qua gi tr ca 

Nh tho lun trn, khi xy ra hnh vi by n th cc c phiu s bin

ng theo hng tin li gn mc bin ng ca th trng. Ngha l:

Nu   > 1, tc
   >
   , hnh vi by n s to ra
  

hng v
   , dn n
   >
   >
   , v kt qu l


 
<   , c phiu tr nn t ri ro hn so vi thc cht (theo CAPM)

Nu   < 1, tc
   <
   , hnh vi by n s to ra
  

hng v
   , dn n
   <
   <
   , v kt qu l


 
>   , c phiu tr nn ri ro hn so vi thc cht (theo CAPM)

Bn cnh , nh tho lun, s tn ti hnh vi by n cng ng ngha vi

s tn ti ca hnh vi by n ngc, c gii thch bi  < 0. Trong

trng hp ny, i vi c phiu c   > 1 th hnh vi by n ngc to ra

   >
   >
   . iu ny ngha l lm khuch i mc tng

(gim) ca c phiu nhiu ri ro. Ngc li, i vi c phiu c   < 1 th

hnh vi by n ngc lm cho
   <
   <
   .

ii.

M hnh o lng hnh vi by n

Vi mc tiu o lng mc hnh vi by n quy m ton th trng, HS

s dng ton b c phiu trong th trng loi b tc ng ring bit ca
mt s c phiu no bng cch s dng d liu cho ton b c phiu trn
th trng ti tng thi im t.

28

V o lng bin ng ca beta c phiu, HS thc hin tnh ton lch

chun ca beta (nh cp trn, s dng d liu cho):
Std "! # = $E  "! E "! ' 

=(
)      1 1' 

=(
)   1    1' 


do
)  
#=1

=(
)   11  ' 

=(
)   1' 1  

=*+,)   1  

Cng thc (2) c vit li nh sau:


#1 = log2*+,)   3 + log 1  
log0*+,)  

(3)

T (3) c th suy ra hmt .

Cui cng (3) c vit li nh sau:

#1 = 5 + 6  + 7 
log0*+,)  

(4)

Trong :

log2*+,  3 = 5 + 7 

(5)

v 6  = log 1  

(6)

'
vi 5 =
2log2*+,)   33 v 7  ~99,0, ; ,<


HS gi nh rng h s by n tun theo quy tc AR(1) v m hnh ca h tr

thnh:

# = 5 + 6  + 7 
log 2*+,)  

6  = = 6 ,>? + @ 

Trong  ~ iid 0, ' ,D .

(7)
(8)

29

H thng cng thc (7) v (8) to thnh mt m hnh khng gian trng thi vi
bin khng quan st c l nhn t by n. c lng cc gi tr trong
cng thc, HS s dng phng php lc Kalman.16 Do , trong h thng cng

thc trn, log [Stdc ("!  ] c k vng l s thay i theo cc mc by

n khc nhau, s thay i ca n s c phn nh thng qua Hmt. S ch

c bit y tp trung vo mu hnh ca Hmt . Nu ',E = 0, th Hmt = 0, lc

ny khng c hin tng by n. Ngc li, mt gi tr ng k ca ',E s h

tr cho s tn ti ca hin tng by n v (nh cc tc gi cp) iu ny

s c cng c bi mt gi tr  ng k. Gi tr tuyt i ca  s nhn

gi tr nh hn hoc bng 1, v hin tng by n khng c k vng l mt
qu trnh din ra qu mc (bng n).
kim nh tnh bn vng ca cc kt qu ca nghin cu, HS tin hnh nh
gi li m hnh gc bng cch thm vo mt s bin c v c bn (t s c
tc/gi, li sut tn phiu kho bc, phn b k hn, phn b ri ro ph sn) cng
nh cc bin phi c bn (bin ng th trng, chiu hng th trng, quy m,
t s gi tr s sch/gi tr th trng) vo cng thc (7). tng y l o
lng xem liu rng ngha ca Hmt c gi vng ngha nu c s hin din
ca cc bin tng ng vi cc trng thi khc nhau (hay s thay i ca cc
nhn t c bn) ca th trng hay khng. Nu nhng s thay i trong


 ] c ng gp vo nhng bin ny v khng phi hin tng
log[Stdc ( 

by n mc th trng, th s thm vo ca cc bin ny trong m hnh

s lm cho Hmt khng c ngha.

V s hn ch trong vic thu thp s liu th trng Vit Nam, ti kim

nh tnh bn vng ca cc kt qu t m hnh gc ca HS (cng thc 7-8)
bng cch s dng chiu hng th trng (c phn nh qua t sut sinh li
ca index) v s bin ng th trng nh cc bin kim sot. Mt cch c th
hn, ti nh gi li m hnh HS (2004) bng cch s dng hai phin bn khc
ca cng thc (7) nh trnh by di y:

16

Xem Ph lc 9

30

log0*+,)  
#1 = 5 + 6  + GH IJK, + 7 

(9)


log0*+,)  
#1 = 5 + 6  + GL MNO;IJK, +7 

(10)

Trong rVNI,t l t sut sinh li ca VN-Index (VNI) thi im t v log VNI,t

l logarith bin ng th trng c tnh trn VN-Index.
2.4.2. D liu
2.4.2.1.

Mu d liu

Mu d liu c thu thp t thng ngy 1/3/2002 (thi im bt u giao dch

sut 5 ngy/tun)17 n ngy 30/4/2010.
D liu c s dng l cc s liu v VN-Index, v cc c phiu nim yt trn
sn giao dch chng khon Thnh ph H Ch Minh. T sut sinh li phi ri ro
s dng trong cc tnh ton l li sut bnh qun lin ngn hng k hn 3 thng
(VNIBOR 3 thng). 18
Ngun thu thp d liu: Reuters.
2.4.2.2.

Phng php x l s liu19

T d liu gc thu thp t Reuters, cc s liu s dng trong cc m hnh c

tnh ton nh sau:
Cc t sut sinh li c tnh theo cng thc  = ln 

Q

QRS

c lng cc thnh phn khng quan st c trong 2 cng thc (7), (8),
i hi phi c chui d liu beta cho ca cc c phiu trong th trng.
lm iu ny, trc tin ti s dng d liu theo ngy tnh gi tr beta ca
tng c phiu v VN-Index trong tng thng. Sau khi c s liu beta tng
17

Vic s dng ngy bt u ca mu d liu l ngy 1/3/2002 (ngy bt u c giao dch 5 ngy/tun)
m khng phi ngy bt u giao dch ca HOSE loi tr nh hng (c th c) ca s khng ng
nht chui d liu thi gian trc (ch giao dch 3 ngy/tun).
18
ti s dng VNIBOR 3 thng i din cho li sut phi ri ro thay v s dng li sut tn phiu (tri
phiu k hn 1 nm) kho bc v nhng l do sau: trong qu trnh x l s liu, c s dng phn b ri
ro chng khon theo ngy, i hi phi c li sut phi ri ro theo ngy v d liu VNIBOR p ng
tiu ch ny, trong khi li sut tri phiu 1 nm trong nhiu ngy khng thu thp c (khi tc gi s
dng Reuters Knowledge truy xut); ngoi ra, theo nh gi ca tc gi trn nhng s liu VNIBOR
3 thng v li sut tri phiu kho bc c s tng quan ln, mc chnh lch khng nhiu (c bit khi
tnh ra li sut theo ngy)
19
Cc s liu tnh ton c tham kho Bng 2 v Bng 3, Ph lc

31

thng t ca cc c phiu, ti tin hnh tnh beta cho ca ton b c phiu trong
tng thng bng cng thc sau:

[[[[[[

ZU 
Trong , 
=

[[[[[[
Z
Z '
J
\?  U  

V
X
*+,) TU  W =
]
?

J

Z
J
\?   , ] l s c phiu thng t.

Mt c phiu ch c ghi nhn l c mt trong thng t khi chng c d liu t

nht l 13 ngy giao dch trong thng.
2.4.3. Kt qu t m hnh
S dng phn mm Eviews c lng cc tham s o lng mc hnh vi
by n, cng nh cc kim nh xem cc tham s ca hnh vi by n c cn
ngha thng k khi a vo cc bin kim sot (rVNI,t - chiu hng th
trng; log VNI,t s bin ng th trng) hay khng.
Kt qu ca cc c lng c tm tt trong bng sau:20
Bng 4: Kt qu c lng t cc m hnh

Bin


M hnh
(7)&(8)
(M hnh gc)

M hnh (9)&(8)
(Bin kim sot:
Chiu hng th trng)

M hnh (10)&(8)
(Bin kim sot:
bin ng th trng)

-0.863096
(0.071005)*

-0.860943
(0.071246)*

-3.632324
(0.168920)*

0.427426
(0.109353)*

0.430258
(0.111292)*

0.418408
(0.105102)*

-0.230262
(0.350965)

C(4)

-0.618957
(0.032851)*

C(5)
,E

,E

StdLog 0 Stdc "! #1

20

0.402157
(0.136237)*

0.401419
(0.141554)*

0.241448
(0.170978)*

0.8928042

0.889444

0.5460056

Kt qu chi tit chy t Eviews xem Ph lc 7

32

S trong ngoc n l sai s chun ca cc c lng. * = c ngha thng k

mc ngha 1%. Nu khng c * ngha l gi tr c lng khng c ngha
thng k
Theo cc kt qu c lng trn, c th thy rng: cc tham s ca i lng
i din cho nhn t hnh vi by n trn th trng (Hmt) gm = v ; ,D

lun c ngha thng k vi mc ngha 1%, k c trong trng hp thm

bin kim sot vo m hnh. Bn cnh , t s

a,b

 3
cdefg 2 cd) h

(cn c

HS gi l t s tn hiu) c gi tr ln ti 89%, iu ny th hin hnh vi by


n gii thch 89% s bin ng ca *+,G  
. Nhng dn chng trn chng

t: TTCK Vit Nam tn ti hnh vi by n hng theo danh mc th trng.

Tr li vi cc m hnh thm cc bin kim sot (rVNI,t , log VNI,t) vo, chng ta
c th nghin cu c mc ca hin tng by n trong iu kin cc
trng thi th trng khc nhau. Nh cp trn, cc tham s i din hin
tng by n trong m hnh vn c ngha thng k trong c cc trng hp
a thm vo cc bin kim sot. Gi tr C(4) h s ca bin rVNI,t khng c
ngha thng k, trong khi gi tr C(5) h s ca bin log VNI,t c ngha


thng k. Vi C(5) mang gi tr m, kt qu ny ch ra rng log [ Stdc ( 
]

c bin ng ngc vi bin ng ca th trng. Ngha l, khi th trng tr


nn ri ro hn (bin ng mnh) th Stdc ( 
 gim, v ngc li. Trong

trng hp c thm bin kim sot vo m hnh, th t s tn hiu cng ln ti


55%, iu ny cho thy bin ng ca Stdc ( 
 phn ln c gii thch bi

hnh vi by n.

Do m hnh (10)&(8) cho thy bin ng ca th trng c ngha trong vic

gii thch bin ng ca beta cho cc c phiu trn th trng, nn cc c
lng ca hmt da vo m hnh (10)&(8) l hp l hn so vi cc gi tr hmt thu
c t m hnh (7)&(8).21

21

Tham kho Bng 5, Ph lc

33

T bng 5, c th nhn thy rng: gi thit hmt1 l ng cho c giai on mu.

Bn cnh , trong sut giai on mu, khng xy ra hin tng hnh vi by
n hon ho (hmt = 1). Gi tr hmt dao ng t mc -0.80522 n 0.546303.
th 3: Hnh vi by n trn th trng theo th trng
0.8
0.6
0.4
0.2

2010M03

2009M03

2008M03

2007M03

2006M03

2005M03

2004M03

-0.4

2003M03

-0.2

2002M03

-0.6
-0.8
-1

T th 3, c th nhn thy rng hnh vi by n trong sut giai on mu

khng i theo mt mu hnh ring bit no c, m bin ng lin tc theo tng
giai on ngn. Bn cnh , hnh vi by n v hnh vi by n ngc
(hmt<0) dng nh to ra cc chu k khi hmt dao ng quanh mc trung bnh
di hn 0. C th thy rng hnh vi by n xut hin ph bin trong giai on
t nm 2002 n u cui nm 2005. Sau , khong thi gian t nm 2006
n thng 1/2008 l khong thi gian xy ra hin tng by n ngc.
Khong thi gian ngn hn t thng 2/2008 n thng 5/2008, hin tng by
n xut hin tr li trn th trng. Din bin nhng thng sau cho n
thng 2/2010 l th trng xut hin hin tng by n ngc, vi mc
nh hn trc.
Theo nhng phn tch trong phn thit lp m hnh, cc gi tr hmt>0 th hin
hin tng by n hng n danh mc th trng, tc l lm gim gi tr beta
ca cc c phiu c beta>1, v lm gia tng gi tr beta ca cc c phiu c

34

beta<1. iu cng c ngha l vi hmt>0 cc c phiu c beta>1 b nh

gi thp hn so vi mc cn bng hay th trng tr nn ngi ri ro, v cc
c phiu c beta<1 b nh gi cao hn mc cn bng tc l th trng tr
nn a thch cc c phiu trc t ri ro hn. Ngc li, hmt<0 th hin hin
tng by n ngc trong th trng: khuch i beta ca cc c phiu c
beta>1, thu nh beta ca cc c phiu c beta<1. iu cng c ngha l vi
hmt<0, cc c phiu c beta ln c nh gi vt gi tr cn bng, v cc
c phiu c beta nh b nh gi thp hn gi tr cn bng hay ni cch khc
l khu v ri ro ca nh u t tng ln.
Trong nm 2002, gi tr hmt ch yu mang gi tr dng, th hin s thn trng
ca nh u t trong vic nh gi cc c phiu c ri ro ln (beta ln). Vic
nh u t tr nn thn trng hn sau khi chng kin th trng st gim su
mc nh 571 xc lp trc vo ngy 25/6/2001 xung ch cn 231 im
vo ngy 2/1/2002. Xu th chung ca VN-Index trong nm 2002 l xu hng
gim, khi lng giao dch gim.
Trong nm 2003, hin tng by n xy ra vi mc yu (hmt b), xen k
vi cc hnh vi by n ngc (hmt<0) vo cc thng 2, 3, 7, 9, 12. C th gii
thch hnh vi by n yu trong nm ny v nh u t khng cn tin tng vo
th trng nh trc, nn hnh ng da theo thng tin c nhn nhiu hn.
Cng vi , hnh vi by n ngc xy ra nh mt hnh ng bt y VNIndex ca gii u t, c bit vo thng 12 khi m VN-Index dao ng quanh
mc 165 im trong mt thi gian kh di, giao dch tng t bin so vi cc
thng u nm.
Giai on t nm 2004 n thng 9/2005, th trng trm lng, VN-Index dao
ng quanh mc 250 im trong thi gian tng i di. Nh u t tr nn
thn trng hn, hnh vi by n ca nh u t th hin mnh vo thng
2/2004, cc thng cn li hin tng by n xy ra thng xuyn nhng mc
nh. Trong khi , hin tng by n ngc xy ra mt s thng nhng
vi cng nh hn cc nm 2002, 2003. iu ny cho thy rng nh u t

35

trong nhng thng , mc phn ng thi qu ca nh u t i vi din

bin th trng, l khng ln nh trc.
Giai on t thng 10/2005 n cui nm 2007 thc s l giai on bng n
ca th trng. Hnh vi by n ngc din ra vi cng mnh trong thi
gian di. u tin l khong thi gian t cui nm 2005 n nhng thng u
nm 2006, VN-Index tng lin tc t mc 286 im ngy 3/10/2005 ln n
632 im vo ngy 25/4/2006, tng ng vi mc tng 120% trong khong
thi gian na nm. Tng ng vi s gia tng nhanh chng ca th trng,
hnh vi by n ngc vi cng mnh trong giai on ny th hin s gia
tng khu v ri ro ca nh u t, khi nh gi qu cao cc c phiu c beta
ln. Cc thng sau , t thng 5 n thng 10/2006, l giai on iu chnh
ca th trng. Hnh vi by n tng ng trong khong thi gian ny th hin
s thn trng ca nh u t trc din bin th trng. V c bit giai on
t thng 11/2006 n cui nm 2007, thc s l giai on bng n ca th
trng. T mc 521 im vo ngy 1/11/2007, VN-Index tng im mnh
m, t mc nh 1170 im vo ngy 12/3/2007. Sau VN-Index tip tc
duy tr mc trn 900 im trong nhng thng cui nm 2007. Nhn vo th
3, chng ta c th nhn thy r hnh vi by n ngc vi cng ln nht
k t u giai on mu din ra, v duy tr trong mt thi gian di. Nh u
t tr nn mo him hn rt nhiu so vi trc, khi nh gi cc c phiu c
beta ln vt mc gi cn bng nhiu (lm gia tng beta ca c phiu). Trong
giai on ny, nhiu s kin ni bt lin quan n TTCK v nn kinh t din ra,
c tc ng tch cc n tm l nh u t, v to ra tm l by n (ngc)
trn th trng. S kin u tin phi k n l Lut Chng khon bt u
c hiu lc k t ngy 1/1/2007, nh du vic TTCK c hnh lang php l
hon chnh nht sau hn 6 nm th trng i vo hot ng. Th hai, nhiu t
IPO ln din ra, m rng quy m th trng. Trong vng 3 nm (2005-2007),
s doanh nghip nim yt trn HOSE tng gn 5 ln t 33 chng khon ln
141 m chng khon trong nm 2007. Bn cnh , tm l lc quan ca gii
u t trong giai on ny ln cao do nh hng ca hiu ng WTO. Khi
nhng thng tin v vic Vit Nam c chp thun tr thnh thnh vin ca

36

WTO, khng kh lc quan bao trm trong i b phn dn c ni ring v gii

u t trn TTCK ni ring, khi k vng v mt tng lai ti sng ca nn
kinh t, ca cc doanh nghip c hng nhng li ch, thun li khi Vit
Nam tr thnh thnh vin ca WTO. Chnh iu ny khin cc nh u t
k vng mt cch bt hp l, lc quan qu mc vo trin vng ca doanh
nghip nim yt. m ng th trng cng hnh x nh vy lm bm
cng bong bng chng khon. Sau khong thi gian tng trng nng, t
mc nh 1170 im thit lp vo ngy thng 3/2007, VN-Index tht bi trong
vic chinh phc mc nh ny mt ln na. Vo khong thi gian na cui nm
2007, cc bo co ca cc t chc nc ngoi cnh bo v s tng trng nng
ca TTCK Vit Nam lin tc c a ra, nhng thun li cho nn kinh t sau
khi Vit Nam tr thnh thnh vin WTO khng nh k vng ca gii u t
khin cho cc nh u t bt u nghi ng v nh gi ca mnh i vi cc
c phiu trong thi gian trc. Mc d s lc quan qu mc lc ny khng cn
trong cc nh u t, nhng cc nh u t, c bit l nhng nh u t
kim c mt t sut sinh li cao trong thi gian trc, vn cn nim tin v
mt s gia tng tr li ca th trng trong thi gian ti. y chnh l nhng
nguyn nhn khin cho VN-Index sau khi t nh 1170 im vo thng
3/2007, lin tc st gim, c lc hi phc nhng khng th chinh phc mc
1170 im tr li, v mc st gim khng ln, VN-Index vn gi trn mc 900
im.
Giai on nhng thng u nm 2008 th hin s thn trng ca cc nh u
t. Tham s hnh vi by n hmt c gi tr dng, ch dao ng trong khong t
0.21 n 0.33. S thn trng ca cc nh u t ko di t nhng thng cui
nm 2007 n nhng thng u nm ny. Lc ny, th trng vn theo st
gim, nh u t vn nhn vo din bin th trng v hnh x theo ko beta
c phiu hng ti beta th trng. Bong bng chng khon bt u v vi
cng ln. Nh u t dn mt nim tin vo s phc hi ca th trng.
Giai on nhng thng cui nm 2008 n nhng thng u nm 2009 din ra
hin tng hnh vi by n ngc vi mc ln, lm gia tng bin ng

37

ca cc c phiu trc c beta ln cao hn mc bin ng th trng. Vic

c phiu b nh gi qu cao mt cch bt hp l trong thi k tng trng
nng 2006-2007 kt hp vi nh hng t cuc khng hong ti chnh ton cu
bt u lan rng khin cc nh u t hon ton mt lng tin vo s phc hi
ca th trng, dn ti phn ng thi qu ca m ng, ko VN-Index v mc
thp k lc trong nhiu nm (t mc y 235 im vo ngy 24/2/2009, tng
ng mc st gim gn 80% so vi mc nh 1170 im). Sau khi chm y
235 im, cng vi nhng tin tc kh quan t cc thng tin kinh t ton cu
cho thy cuc khng hong ti chnh ton cu chm y, cc nh u t trn
TTCK Vit Nam cng bt u quay tr li th trng. Cc nh u t nhn nhn
rng h phn ng thi qu khi y VN-Index v qu thp, nhn nh ny
c h tr t nhng bo co phn tch ca cc cng ty chng khon, gii
chuyn gia cho rng gi nhiu c phiu thp hn gi tr doanh nghip nhiu
ln. y l nhng ng lc to ra s phc hi mnh ca th trng to ra hnh
vi by n ngc.
T cui nm 2009 n thng ht thng 2/2010, bin ng ca hmt trn th
trng vn theo xu hng l hnh vi by n ngc, vi mc nh hn
trc. Trong iu kin TTCK phc hi, hnh vi by n ngc ny s gip cho
qu trnh phc hi ca th trng din ra nhanh hn khi m ng gia tng
khu v ri ro.
Tin thm mt bc, ti nghin cu mi quan h gia hnh vi by n v
bin ng th trng. T cc gi tr c lng ca tham s hnh vi by n hmt,

v cc gi tr ;  , ti tnh c h s tng quan gia hmt v ;  l -

0.28531. iu ny c ngha l bin ng ca th trng v hnh vi by n l

ngc chiu: th trng cng ri ro th tm l by n trong th trng gim,

nh u t tin tng vo cc thng tin ring hn l nhn vo hnh ng th
trng.

38

th 4: Hnh vi by n v t sut sinh li th trng

0.4

0.2

0.0
0.8
-0.2
0.4
-0.4

0.0
-0.4
-0.8
-1.2
2002

2003

2004

2005

2006
h

2007
Rm

2008

2009

39

CHNG 3: GII PHP HN CH TM L BY N

HNG NGHIN CU TRONG THI GIAN TI
Trong nhng phn trn, ti trnh by v nhng nh hng ca tm l by
n n tnh hiu qu ca th trng, cng nh o lng mc v ch ra
nhng nguyn nhn ca hnh vi by n trn TTCK Vit Nam. Nhn chung,
vic to ra hnh vi by n do ba nhn t c bn chi phi gm: mi trng
chnh sch iu hnh TTCK, cng b thng tin v cc nhn t hnh vi. Trong
phn ny, ti s xut mt s khuyn ngh lm gim tc ng ca hnh
vi by n nhm lm gia tng tnh hiu qu ca th trng.
Th nht, vic minh bch ha thng tin l vn ti cn thit nng cao
tnh hiu qu th trng. Nng cao hiu lc ca cc quy nh php lut
Trong thi gian ti, cc c quan chc nng nh y ban chng khon nh nc
(UBCKNN) cn b sung, iu chnh nhng quy nh v cng b thng tin theo
hng hon chnh, bao qut cc vn , v c bit l m bo tnh hiu lc
cao. Hin ti, mc x pht hnh chnh i vi cc cng ty, t chc nim yt
(gi chung l cng ty nim yt), v nhng ngi c lin quan (c ng ni b,
ngi thn ca c ng ni b) trong trng hp vi phm php lut v cng b
thng tin c cho l qu thp, khng mc rn e ngi, php nhn vi
phm. C th, hin nay nhng vi phm hnh chnh trong lnh vc chng khon
c quy nh trong Ngh nh 36/2007/N-CP, trong mc pht ca cc vi
phm v cng b thng tin ch ang dng mc 10 20 triu ng. Vi mc
pht nh th ny, cc cng ty nim yt v nhng ngi lin quan trong nhiu
trng hp sn sng vi phm php lut v cng b thng tin v chu mc
pht ny. Nhng quy nh trong Ngh nh 36/2007/N-CP do c ban hnh
t cch y kh lu, thiu cp nht, khng cn thch hp vi iu kin thc t
th trng hin nay, nn vic sa i hoc ban hnh mt vn bn php lut thay
th ph hp vi tnh hnh hn l iu cn thit. Bn cnh , cc mc x pht
vi phm hnh chnh trong lnh vc chng khon trong Ngh nh 36/2007/NCP cn c vo Php lnh X l vi phm hnh chnh nm 2002 (mc x pht ti
a i vi vi phm hnh chnh trong lnh vc chng khon l 70 triu ng),

40

trong khi Quc hi thng qua Php lnh X pht vi phm hnh chnh sa
i nm 2008 c mc x pht ti a i vi vi phm hnh chnh trong lnh vc
chng khon l 500 triu ng, nn vic gia tng mc x pht to tnh rn
e i vi cc vi phm hnh chnh trong lnh vc chng khon, trong c vi
phm v cng b thng tin l hp l. ti xut mc ti a khung mc pht
nn bng vi mc ti a quy nh trong Php lnh X l vi phm hnh chnh
sa i nm 2008, khung mc pht cng cao s cng c tnh rn e i vi
nhng c nhn, php nhn c nh vi phm. Ngoi ra, cng khng loi tr
trng hp, cc cng ty nim yt (c bit l cc cng ty c quy m nh), v
nhng ngi c lin quan thiu nhng hiu bit, khng nm r cc quy nh v
cng b thng tin, cng nh khng nhn thc c tm quan trng ca minh
bch thng tin i vi gi tr hnh nh doanh nghip trong mt nh u t. Do
, vic ph bin cc kin thc, cc quy nh ny i vi cng ty nim yt, c
nhn lin quan l iu cn thit. Tuy nhin, quan trng nht l vic s dng
bin php x pht hnh chnh vi mc pht cao, ph bin rng ri nhng quy
nh ny n cc cng ty nim yt.
Mt vn ni cm khc ca cng b thng tin l cht lng thng tin c
cng b. Trong thi gian qua, c khng t nhng bi hc v cht lng cc
thng tn cng b v pha n v cng b v n v kim ton. Trng hp ca
Cng ty c phn Bng Bch Tuyt (BBT) l mt v d in hnh. Mc d cc
bo co ti chnh ca BBT c kim ton nhng n v kim ton b
st nhng khon mc trng yu ca BBT. Trong mt thi gian di, nhng vn
v sc khe ti chnh ca BBT khng c pht hin, cui cng dn
n vic ph sn ca cng ty ny l iu khng trnh khi. V nhng nh u
t vi nhng thng tin c cng b khng y vn u t vo BBT l
ngi gnh chu thit hi ln nht t s ph sn ny. iu ny t ra vn v
cht lng v hiu qu ca hot ng kim ton. C quan chc nng ca
TTCK, c th l y ban chng khon nh nc, cn kt hp vi cc c quan,
t chc ngh nghip chuyn mn v k ton, kim ton nh Hip hi k ton
v kim ton Vit Nam, ban hnh nhng quy nh cht ch hn v tiu chun

41

hnh ngh kim ton, v chun mc kim ton. iu ny s gp phn lm cho

cht lng thng tin cng b tt hn.
Hnh vi lm gi, thao tng th trng l mt hin tng ph bin trn TTCK
Vit Nam. Hnh ng ny lm bp mo th trng, mang li nhng khon li
kch x cho nhng t chc lm gi, v gy thit hi cho nhng con mi cc
nh u t thiu hiu bit. Vic pht hin x pht hnh vi ny ca
UBCKNN t ra km hiu qu. Trong thi gian ti, ti xut UBCKNN cn
xy dng ban chuyn mn chuyn nghin cu v vn lm gi ng dng
nhng m hnh pht hin hnh vi lm gi trn th gii thc hin chc
nng qun l th trng hiu qu hn, gp phn bo v nh u t nh l.
Th hai, nghin cu v p dng chnh sch bin giao dch, ci thin h
tng thng tin
V vn mi trng chnh sch, cn nghin cu p dng cc bin php s
dng bin giao dch, nghip v bn khng mt cch hiu qu nhm ci thin
kh nng iu chnh nhanh chng th trng v ng gi tr thc. Vic loi b
quy nh v bin giao dch, cng nh nghip v bn khng lun l con dao
hai li. Mt tch cc ca vic ny l gip th trng nhanh chng iu chnh,
trnh c tm l by n c kh nng xy ra khi tnh trng tng (gim) im
kch trn (sn) ko di ca nhng c phiu mi nim yt hay nhng cng ty t
ngt c mc li nhun t bin. Nhng chiu hng i lp, vic loi b quy
nh bin giao dch, p dng nghip v bn khng c th khin th trng
phn ng thi qu trc thng tin c cng b, gy ra bin ng mnh ca th
trng mt cch bt hp l. Do , cn nghin cu k v vn s dng bin
bao nhiu % l ph hp gip th trng c nhng iu chnh hp l hn.
ng thi, nghin cu v c s php l, iu kin th trng, c bit nng cao
cht lng h tng thng tin c th trin khai nghip v bn khng trn th
trng vo thi im thch hp.
Th ba, cn nng cao nng lc nh u t.
S thiu hiu bit hay km ci v nng lc cng nh kin thc lin quan n
vic u t trn TTCK cng l mt tr ngi i vi vic hn ch tm l by n

42

trn th trng. Mt nh u t hp l s a ra quyt nh u t da trn s

cn nhc ri ro v t sut sinh li t nhng thng tin c cng b trn th
trng. Trong khi Vit Nam s nh u t c nhn lm c iu ny cn
qu t i. C nhiu l do gii thch cho vn ny nh: Hin nay, hu ht
cc t chc lin quan n vn dy v cp chng ch v chng khon cn qu
t trn th trng, hc ph cho vic o to cn kh cao. Tm l ngi sn c ca
mt s nh u t cho rng vic hc lin quan n tnh ton, nh gi phc
tp v rc ri, v h cha nhn thc c tm quan trng ca vn ny. V s
lng nh u t cha c kin thc c bn trnh hc vn cn qu thp
vn cn chim t l cao, v cho d c tham gia o to cng kh c kh nng
hiu v nm bt. Mt s cng ty chng khon cng t chc hng dn cho
cc nh u t nhng vn cn s xi v cha hiu qu. Ch yu vn l hng
dn v cch thc thc hin giao dch trn th trng m cha ch trng n cc
kin thc v qun l danh mc u t. khc phc iu ny tt nhin cn c
s m rng v quy m cng nh cht lng o to nhm cung cp cho nh
u t c nhng kin thc, k nng cn thit khi hot ng trn th trng.
Nh tng cp, ngoi nhn t bt cn xng tin th tm l by n ca nh
u t cn c to ra t nh hng ca cc nhn t hnh vi. Do , vic ci
thin minh bch thng tin th trng vn khng th loi tr c hnh vi by
n trong th trng. Ngay c cc th trng pht trin vi mc minh bch
thng tin mc cao nh M, hnh vi by n vn cn kh ph bin.
Th t, thc hin cc nghin cu th nghim kinh t a ra quy nh cng
b thng tin ph hp
Cc nhn t hnh vi nh s t tin qu mc, ph thuc vo kinh nghim hay
thut ton my mc, gp phn to ra tm l by n, khin th trng
khng hiu qu ngay c khi thng tin c cng b y . Nh tng gii thiu
trong phn c s l thuyt, kinh t hc th nghim s l cng c tt s dng
trong trng hp ny. Nhng nghin cu ca kinh t hc th nghim s gip
hiu hn v c ch ra quyt nh ca con ngi, t gip a ra nhng quy
nh v k thut cng b thng tin, hnh thc thng tin, ni dung v khi lng

43

thng tin cn thit ph hp vi iu kin thc ca th trng tc ng mt

cch tch cc n qu trnh x l thng tin ca nh u t. Nhng th nghim
c tin hnh bi cc nh kinh t IMF cho thy vic tin hnh v t kt qu
tt t cc th nghim kinh t l hon ton kh thi.22 Hin ti, kh nng p dng
Vit Nam cn kh hn ch. Thit ngh trong tng lai, cn c nhng u t
nghin cu su hn v lnh vc ny nhm a ra nhng quy nh ph hp hn
khi xt ti tc ng ca cc nhn t hnh vi.
Nhng thch thc v hng m rng ca ti
Nhng thch thc i vi tnh bn vng ca cc kt qu c lng ca ti
c th n t nhn t: khng thc hin tnh beta cho th trng theo t trng.
Trong th trng, quy m cc cng ty nim yt l khc nhau nn nh hng n
th trng l khc nhau. Do , vic xt ti nhn t t trng theo quy m ca
cc cng ty nim yt trong vic tnh beta cho th trng th s cho kt qu
chnh xc hn. Do iu kin thu thp, tng hp, x l s liu v quy m cc
cng ty nim yt ton th trng trong sut giai on mu l mt cng vic vi
khi lng khng l. Trong kh nng ca mnh, ti cha c iu kin thc hin
c iu ny, nn ti tm chp nhn kt qu o lng t cch tnh beta cho
th trng khng c trng s. y va l thch thc, va l mt hng m
rng, iu chnh m hnh ca ti trong tng lai.
Bn cnh , trong m hnh gc ca HS c xt ti 3 nhn t trong Fama v
French (1993) (gm: quy m (SMB), gi tr s sch/gi tr th trng (HML),
t sut sinh li th trng), v cc nhn t v m a vo m hnh nh gi
tnh bn vng ca m hnh. Trong iu kin thu thp s liu khng cho php,
ti ti cha thc hin cc kim nh xt ti cc nhn t ny. Trong tng lai,
vic m rng ti s hng ti vic a nhng bin va nu vo m hnh
nh gi tnh bn vng ca cc c lng hnh vi by n trong th trng.
22

Marco Cipriani and Antonio Guarino Herd Behavior in Financial Markets: An Experiment with
Financial Market Professionals, IMF Working Paper 141/08, 6/2008. Nghin cu ny c hiu lc
mt s mc i vi cc bng chng th nghim c v tc ng by n. Lisa R. Anderson and
Charles A. Holt, Information Cascades in the Laboratory (1997) 87 American Economic Review
847-862.

44

KT LUN
ti chng t s tn ti hnh vi by n trong TTCK Vit Nam, ng thi
lm r ngun gc gy ra tm l by n trn th trng. TTCK Vit Nam xy
ra hnh vi by n trong cc giai on tng trng hay thoi tro (hnh vi by
n ngc) khin th trng c nhng bin ng mt cch bt hp l so vi
iu kin c bn.
ng thi, ti cng xut mt s gii php nhm hn ch tm l by n
trn th trng. Trong , quan trng nht l nng cao tnh minh bch trn
TTCK, bng cch gia tng tnh hon chnh v hiu lc ca cc iu lut, trong
vic ci thin vn cng b thng tin ca cc thnh vin th trng, ngn
chn hnh vi thao tng th trng Bn cnh , UBCKNN cn ci thin h
thng h tng thng tin, nghin cu p dng chnh sch bin giao dch ph
hp. ng thi, vic ci thin nng lc nhng ngi tham gia th trng cn
c lu tm cho s pht trin n nh lu di ca th trng.

45

PH LC
Ph lc 1: Tc ng ca tm l by n trong cuc khng hong ti chnh
ton cu nm 2008
Cuc khng hong ti chnh ton cu nm 2008 tht s l mt tm thm kch
i vi nn kinh t ni chung v ngnh ti chnh i vi ngnh ti chnh th
gii. Hng triu ngi lm vo cnh tht nghip, v s sp hng lot ca cc
nh ch ti chnh ln nh Lehman Brothers, Washington Mutual Khi cuc
khng hong bng pht v lan rng, mt lot cc phn tch, bnh lun li
cho nguyn nhn cuc khng hong l vic cng b thng tin khng y ca
cc nh ch ti chnh. Theo quan im ny, hu ht cc nh lm chnh sch,
cc nh phn tch v qun l cho rng vic cng b khng y l nguyn
nhn duy nht gy ra cuc khng hong ti chnh ton cu.23 Theo tranh lun
ny, cc nh u t c nhng thng tin khng y v nhng ri ro lin quan
n chng khon cu trc, chng hn nh chng khon c bo m bng ti
sn (ABS),24 cc ngha v n c th chp ha (CDOs),25 hon i kh nng
v n tn dng (CDS),26 nhng thiu st v hn ch ca xp hng tn nhim, v
nh hng ca cc khon lng bng qu mc ca cc nh qun l. Cc nh
u t hp l nhn c nhng thng tin c cht lng cao hn s tip cn
23

Bo co chnh sch trong s pht trin th trng ti chnh (Ch tch nhm cng tc v th trng ti
chnh, thng 3 nm 2008).

24

ABS l mt loi chng khon thng thng trong gi tr v cc khon thu nhp ca n pht sinh
t vn gp c bit ca cc ti sn c s, c th l th tn dng hay vn vay t ng, th chp, bi
khon, t cc hp ng cho thu ti sn... Cc ti sn ny khng c bn ring l m c bn tp
trung v mt mc ch c bit, ngi bn chuyn nhng cc ti sn phi tin mt thnh cc ngun thu
nhp bng tin mt.

25

CDOs c to bi cc ngn hng u t hoc cc nh qun l qu bao gm cc li ch c chng

khon ha ca cc ti sn khng th chp. Cc ti sn gp vn c gi l ti sn th chp, bao gm
vn vay v cng c n gi l ngha v i vi cc khon cho vay c th chp ha (CLOs) hay tri v
th chp bng tri phiu (CBOs) ty thuc vo ti sn th chp l cc khon vay hay tri phiu tng
ng.

26

CDS l mt hon i trong mt trong hai bn tham gia hp ng tr cho bn cn li mt khon

coupon nh k theo thi hn quy nh trn hp ng. Bn kia s khng thanh ton tr khi xy ra s
kin tn dng c bit. CDSs thng thng ging nh l ISDA, s kin tn dng thng c nh
ngha l kh nng khng th chi tr v vt, ph sn hay ti cu trc n i vi mt ti sn c s c
bit. Nu s kin tn dng xy ra, bn th hai s thanh ton cho bn th nht v nghip v hon i kt
thc. ln ca khon thanh ton lin quan n s suy gim gi tr th trng ca ti sn tham chiu
gn vi s kin tn dng.

46

c vi cc chng khon n phi sinh c bo lnh v vi s thn trng h s

khng dnh su vo trong nhng th trng ny. Nu cc th trng vn c
thng tin hiu qu cng s trng pht cc cng ty c cc c ch bng lc dnh
cho cc nh qun l v cc giao dch n xi, mc d iu ny c kh nng
mang li nhng khon li nhun khng l.
Tri vi quan im trn, nhng nghin cu v th nghim gn y cho thy
rng cng b thng tin khng y khng phi l nguyn nhn gy ra cuc
khng hong. Khi xt ti cc nhn t hnh vi, tm l nhng ngi tham gia th
trng th nhng ch trch nhm vo vn cng b thng tin khng y tr
nn thiu thuyt phc. C th, qua cc cuc th nghim, cc nh nghin cu
thy rng: trong nhiu trng hp, vn nm chnh cc nh u t, ban iu
hnh cc nh ch ti chnh cng nh nhng ch th khc tham gia th trng
nh cc c quan qun l th trng Trong iu kin th trng ti chnh bin
ng lin tc vi nhng sn phm ti chnh mi nh cc cng c ABS, CDO,
CDS nh va cp trn, th cc nh u t trn th trng khng x l
nhng thng tin c sn mt cch hp l, v cha c nhng iu chnh v th
mt cch kp thi i vi nhng ri ro c kh nng xy ra i vi cc chng
khon cu trc v nhiu l do khc nhau. u tin, v s phc tp v sn phm
v s gii hn duy l m cc nh u t hp l khng nhn ra c cc k
xo v ri ro ca cc nghip v ngn hng ngm cng nh cc chng khon
cu trc (chng khon n phi sinh).27 Th hai, ngi chi c xu hng by
n, h khng c kh nng hoc khng c nhu cu s dng nhng thng tin
c cng b theo cch hp l cng nh khng mun l ngi i ngc tro
lu, h phn ng theo hnh vi ca nhng ngi tham gia khc trn th trng.
Th ba, nh hng ca cc yu t hnh vi khc nh s phng on,28 s c tin
ca nh u t trong thi gian th trng ang trng thi phn ph, bi v
27

Steven Schwarcz, Bo v th trng ti chnh: Bi hc t cuc khng hong cho vay di chun
(2008), 93 Minnesota L. Rev. 373.

28

Steven Schwarcz, S phc tp ca cng c iu tit trong th trng ti chnh, Cng lut Duke v
Nghin cu L thuyt Php lut s 217, sa i ngy 26 thng 02 nm 2009, l bi phn tch tt nht
nhng hn ch v s hiu bit ca cc nh u t do s phc tp ca cc sn phm ti chnh v nhng
hu qu thm khc ca nhng hiu bit c gii hn ny.

47

s a dng ca tn dng r tin v gi c th trng ti sn gia tng nhanh

chng, tc l cc nh u t c tnh l i nhng du hiu cnh bo trong nhng
d liu c cng b.29
1. Cng b thng tin v Cuc khng hong ti chnh nm 2008
S thiu minh bch c cho l nguyn nhn to nn nhng iu kin dn ti
cuc khng hong ti chnh ton cu th hin theo nhng kha cnh: (a) khng
cng b thng tin y v ri ro ca cc khon n di chun, (b) s m h
ca cc sn phm ti chnh c tnh cu trc cao, ng thi chng c kt hp
vi cc cng thc nh gi rt phc tp, v i khi cc nh ch ti chnh
gy ra s bi ri, kh hiu v ri ro gn lin vi nhng sn phm nh vy mc
cho cc th tc lin quan mang tnh php l v nguyn tc, chun mc, (c) s
thiu minh bch trong cc bng cn i k ton cng b chnh thc v phi
chnh thc ca cc nh ch ti chnh (ni bng v ngoi bng), (d) vic khng
cng b y thng tin ca cc hng xp hng tn nhim (CRA) v cc hn
ch ca cc nh gi xp hng tn dng v nhng xung t v li ch ca
chng, (e) s thiu minh bch v cc khon lng thng qu mc ca nh
qun l.
Nhng ngi theo l thuyt th trng hiu qu (con ca l thuyt la chn
hp l) da trn l lun rng vn thng tin n vi cc nh u t khng y
trn cc kha cnh trn nn nh u t khng c nhng nh gi hp l i
vi ri ro cc sn phm ti chnh, v cc khon u t nn h khng th a ra
cc quyt nh ti u. Mt khi cc nh u t khng c nhn thc, nh gi
ng ri ro, cc nh u t dn thn vo nhng cuc chi y ri ro trn th
trng chng khon cu trc v c th trng bt ng sn, to iu kin hnh
thnh cc bong bng ti sn. V khi cc bong bng ny cng qu mc
th dn n hin tng n bong bng khng hong.

29

Emilios Avgouleas, Cuc khng hong ti chnh ton cu, Ti chnh hnh vi v Quy ch ti chnh:
Trong bi nghin cu ca mt thng gio mi (2009), Bi bo nghin cu Lut doanh nghip 121
157

48

Bn cnh , c mt thc t khng th ph nhn l vic nh gi cc chng

khon cu trc l rt phc tp khi nhng chng khon cu trc ny c to ra
theo nhng cch phc tp, chng cho. c mnh danh l bc thy trong vic
sng to cch kim tin, cc nh ch ti chnh M tin hnh chng khon
ha cc khon tn dng, trong c tn dng bt ng sn di chun, tr
thnh cc cng c ti chnh c th mua bn c trn th trng (ABS) vi ti
sn c s l cc khon tn dng. Sau , vic kt hp cc loi ABS khc nhau
(nh ABS tn dng bt ng sn, ABS vay mua xe, ABS vay tin hc i
hc) vo thnh cc portfolio (danh mc u t) ri chia nh cc portfolio ny
theo cc mc ri ro khc nhau, to thnh cc CDO. V bo m cho cc
CDO ny, CDS tr thnh ng vin thch hp. Vic to thnh cc portfolio
nh th lm ny sinh vn : s khng tng thch thi gian o hn ca cc
ti sn c s. n lt n, s khng tng thch v thi gian o hn ca cc
ti sn c s khin cho th trng gp kh khn ln trong vic nh gi hp
l cc chng khon . iu ny to nn tnh khng chc chn, dn ti th
trng b bp mo v cui cng, khi ng cuc khng hong tn dng. Hn
na, cc ngn hng - mt cch v tnh hay c - a ra cho th trng
nhng thng tin khng hon chnh i vi cc chng khon cu trc trong bng
cn i k ton chnh thc v phi chnh thc (ni bng v ngoi bng). Kt qu
l ni lo s v con s tht ng sau nhng cng b gy ra s e ngi ca
cc nh u t, dn ti s phng i v tnh trng ri lon ca th trng.
Ngoi ra, trong mi trng y bin ng v mc phc tp cao ca th
trng ti chnh ton cu, n cng d khin cho c quan qun l ra quyt nh
sai i vi cc d liu sn c. Do , hoc l do bn cht ca Cc tiu chun
mc vn an ton Basel30, hay do nhng t duy ngho nn v sai lm c hu v
s gim st tp trung vo mc vn an ton mang tnh nh ch nn cc trung
gian ti chnh khng b yu cu phi thc hin bt c nh gi no v mi lin

30

Markus Brunnermeier, Andrew Crockett, Charles Goodhart, Avinash D. Persaud, v Hyun Shin,
Nhng nguyn l nn tng ca quy tc ti chnh, Cc bo co Geneva trn Tp ch Kinh T Th Gii
11, thng 1 2009, chng 4, cn c gi l bo co Goodhart.

49

kt mang tnh h thng vi cc hot ng th trng ca h, ln vic cng b

cc nh gi .
2. Cuc khng hong ti chnh 2008 v s tc ng ca cc nhn t hnh vi,
tm l by n
Mc d quan im ph phn vic cng b thng tin khng y gy ra cuc
khng hong ph bin trong cc bnh lun, nhng c mt thc t khng th ph
nhn rng ngay c nhng lnh vc m thng tin c cho l di do v cng
b thng tin c k vng l cng c iu chnh hiu qu th cng b thng tin
khng t c hiu qu nh k vng. l nhng lnh vc: (a) qun tr ri
ro, (b) bo v ngi tiu dng, v (c) n nh h thng ti chnh. Nh cp
trong phn trc, s tht bi ca cng b thng tin trong nhng lnh vc ny do
tc ng ca cc nhn t hnh vi, v ni bt l hnh vi by n trong th
trng. Phn tip theo s phn tch c th hn v vn ny.
2.1. nh gi ri ro
V nguyn nhn gy ra cuc khng hong ti chnh ton cu, cc bo co phn
tch cp nhiu n vai tr ca vic iu hnh qun tr ri ro lng lo trong
cc nh ch ti chnh. Nhng yu km ca qun tr ri ro ni b tp trung vo
5 kha cnh:

Tht bi trong kim sot tn dng v xem xt tiu chun cho vay

Thiu nng lc trong nh gi v th i vi cc chng khon cu trc mt

cch hp l

S tn nhim qu mc i vi cc bng nh gi xp hng tn nhim mc

cho nhng thiu st c nhn bit mt cch rng ri ca chng

Trnh hiu bit hn ch ca cc nh qun l ngn hng v chc nng tht

s ca cc cng c u t c bit (SIV)

Vic s dng thng tin khng y khi n c cung cp

Nh cp trn, qun tr ri ro l mt trong nhng lnh vc m thng tin

c cho l ng k, di do. Nguyn nhn ca tht bi trong lnh vc ny

50

khng phi l vic thiu thng tin m l vic s dng thng tin khi chng c
cng b mt cch khng thch hp, di tc ng ca cc nhn t hnh vi.
V d v vn s tin tng qu mc i vi cc bng nh gi xp hng tn
nhim, tc ng ca cc nhn t hnh vi nh th no? Trong bi cnh cc bng
cng b gi cc chng khon cu trc l khng ph bin31, cc nh ch ti
chnh thc hin nh gi cc chng khon cu trc ny bng cch s dng cc
bng nh gi xp hng tn nhim. Cc bng xp hng tn nhim tr thnh nhn
t then cht trong vic nh gi cc chng khon phi sinh t n c tnh ty
bin v km thanh khon.32 Tuy nhin nhng ngi tham gia th trng c mc
phc tp, tinh vi cao ny u bit r rng cc bng xp hng tn nhim c
pht hnh bi cc hng xp hng tn nhim (CRA) tn ti nhiu hn ch.
Th nht, pht sinh mu thun v li ch khi m mt lng ln cc t chc mua
cc bng xp hng tn nhim cng chnh l cc t chc pht hnh cc sn phm
ti chnh cu trc. iu ny dn ti nguy c rng cc hng xp hng tn nhim
lm va lng khch hng ca mnh tin hnh t vn cng nh thc
hin nhng iu chnh trong qu trnh xp hng tn nhim ca cc sn phm ti
chnh l cc chng khon cu trc ca khch hng. iu ny dn n hn ch
di y.
Th hai, nhng nh pht hnh cc chng khon cu trc s dng cc hng
dn ca CRA v cc phn mm to nn nhng r cc chng khon phi sinh
m chng c m bo xp hng tn nhim mc cao nh AAA.
Th ba, th trng thiu ng c c th kim sot, gim st cc bng xp
hng tn dng mt cch nghim tc khi m c mt thc t rng th trng xp
hng tn nhim c mc c quyn nhm cao vi ba hng ln: Standard &
Poors, Fitch, v Moodys c truyn thng thng tr th trng.
Th t, cc CRA khng cng b tng quan c lng ca nhng ngi i
vay trong r ti sn, trong khi vic cng b cc tng quan cho s h tr
31

IMF, Bo co n nh Ti chnh Ton cu, Nhng ri ro h thng n cha v phc hi nn ti

chnh lnh mnh, thng 4/2008, 55.

32

Nh trn

51

rt nhiu cho nh u t trong vic nh gi c hay khng vic xp hng da

trn nhng k vng, m chng c s kt ni vi chnh k vng ca h.
Cui cng, cc bng nh gi xp hng tn nhim khng xt n nhn t tnh
thanh khon/tnh th trng ca cc sn phm ti chnh trong khi nhng tham
s ny c lin quan cht ch v mt bn cht vi gi tr ti sn l cc chng
khon cu trc.
C hai cch l gii cho vic ti sao cc nh u t, cc nh ch ti chnh d
c quy m ln vn da vo cc bng xp hng tn nhim thay cho nhng phn
tch thch hp.33
Li gii thch th nht cho vn ny l cc nh u t chn b qua nhng
thiu st ca bng nh gi xp hng tn dng tit kim ng k chi ph
nghin cu v tin li cho vic giao dch. Tuy nhin, nhn nhn mt cch n
gin c th thy li gii thch ny l khng hp l khi m cc nh ch ti
chnh, cc nh u t ln hon ton c tim lc ti chnh cng nh kh nng
c th tin hnh phn tch tn nhim v nh gi cc sn phm chng khon
cu trc mt cch hp l hn, v nh th s gim thiu c ri ro t nhng
hn ch ca cc bng xp hng tn nhim mang li. L gii th hai di y
nhn mnh n phng din hnh vi ca nh u t.
Vic cc nh u t tn nhim vo cc nh gi xp hng tn nhim mt cch
khng hp l chnh l kt qu ca tin trnh ca kinh nghim hay thut ton
my mc v s lch lc do tnh hung in hnh.34C th, nhng ngi tham
gia trn th trng nhn thy rng vic tnh ton mt cch cn trng, chnh xc
i vi gi tr cc chng khon cu trc l iu khng cn thit. Thay vo ,
cc nh u t da trn kinh nghim l ch yu. V khi cc chng khon cu
trc ch c mt lch s giao dch ngn ngi, khng c mt kinh nghim no v
33

Mark Carney, Ch ra s bt n trong th trng ti chnh, Bnh lun ca Hi ng ngn hng

Canada gi ti y ban Thng mi Toronto, 13 thng 3 2008, 3-4
34

Phng php kinh nghim in hnh c s dng bi mt c nhn o lng xc sut bng cch
xem xt c bao nhiu gi thit tng ng vi d liu sn c.

Hn bao gi ht, mt trng hp in hnh l mt kinh nghim hu ch, nhng n c th gy ra nhng

lch lc nghim trng.

52

cc tht bi nghim trng ca cc bng xp hng tn nhim i vi cc chng

khon cu trc. V mc cho nhng sai lm trong vic nh gi thiu chnh xc,
thiu tiu chun, cc nh gi xp hng tn nhim vn t ra hu dng, hot
ng giao dch v u c vn tip din. Cc nh u t khi quan st thy hin
tng trn to ra hnh vi by n trn th trng: cc nh u t vn x
vo th trng chng khon cu trc v y gi chng ln to ra cc bong
bng. V hnh vi by n lm khuch i s mo m ca th trng gy ra
bi s tin tng mt cch bt hp l rng th trng vn ng khi s dng cc
bng xp hng tn nhim nh gi cc chng khon cu trc.
Tranh lun trn c cng c bi s tht rng trong khi cc nh u t v cc
c quan gim st iu tit th trng tin tng m qung vo cc xp hng
tn nhim, th cc CRA li thng xuyn cnh bo th trng v chc nng tht
ca nhng bo co xp hng tn dng ca h. Hin nhin, nhng cnh bo ca
h khng ni bt v c cng b rng ri.35 Song, mt nh qun l iu tit
th trng v nh u t khn ngoan vi v s nhng k thut tinh vi v lo
luyn s d dng nhn dng v phn nh hp l nhng tn hiu vo m
hnh ra quyt nh thay v phng i tm quan trng ca cc nh gi xp hng
tn nhim.
2.2. C ch bo v ngi tiu dng
Nhng ch trch v s tht bi trong c ch bo v ngi tiu dng trong cuc
khng hong ti chnh nm 2008 nhm vo cc nh mi gii nh t cng nh
cc nh mi gii tn dng.36 Quan im ny da trn l thuyt la chn hp l
cho rng nhng ngi tiu dng khng c tip nhn mt cch y

35

IMF, GFSR, Nhng ri ro h thng n cha, 55, Mc d cc Hng xp hng tn dng nhn mnh
rng nhng o lng xp hng ch o lng ri ro mc nh, khng phi l kh nng hay ln ca
nhng s st gim gi tr th trng (mark-to-market), nhng nhiu nh u t dng nh khng
nhn thc y v nhng cnh bo v nhng tuyn b khc t/gii hn trch nhim ny. Cng tc
gi.
36

The Becker-Posner Blog, S hn n ca n th chp di chun - Bnh lun ca Posner, 23

Thng 10 2007, xem ti:
http://www.becker-posner-blog.com/archives/2007/12/the_subprime_mo.html, (cp nht ln cui vo
24 Thng 3/2009).

53

thng tin v nhng ri ro tim n m h c th gp phi. C th quan im ny

ch trch rng, cc nh mi gii nh t, mi gii tn dng v ra mt vin
cnh ti p i vi ngi tiu dng, thu ht ngi tiu dng gia tng chi
tiu, u t vo nh t bng mt mc li sut thp m khng c thng tin
mt cch y v cc ri ro. Theo cch tip cn ny, nhng ngi vay n
di chun M khng vay cc khon n m h khng kh nng chi tr
nu ch da trn thu nhp hin ti, thu nhp tim nng v gi tr ti sn ca h,
h ch n gin l khng c thng tin tin hnh phn tch ri ro v khon
u t ca h mt cch hp l.
Cch gii thch ny c v l hp l, song n b qua mt s tht khng th
chi b. l, nhng ngi vay n di chun M mua mt gic m:
gic m v s tng trng v hn ca th trng nh t M. Thm ch ri ro
ca cc khon n c th chp khng c cng b mt cch hp l th cng
khng kh nhn ra rng gi c trong th trng nh t M ang mc cao
lch s v s tng trng ny s khng ko di mi, v cng khng phi l iu
b mt dnh cho ngi vay v ngi cho vay rng h vay-cho vay vt qu
gi tr ti sn th chp. Do , khng chc rng s thiu minh bch hay hnh vi
thiu o c ca cc nh mi gii l th phm duy nht ca s bng n khng
hong n di chun M.
y, hnh vi by n to ra cn st u c tp trung v s nng lc hiu bit
hn ch (gii hn duy l) ca mt b phn ln dn s ng vai tr quan trng
hn. Trong mt thi gian di trc cuc khng hong, M v nhiu nc
chu u duy tr mt mi trng li sut thp vi cc iu kin tn dng d
di. c s h tr t mi trng li sut thp, iu kin tn dng lng lo ny,
th trng nh t M c iu kin tng trng mnh, to ra bong bng
bt ng sn phnh to ra. S tng trng ca th trng nh t M ko theo
s tng trng ca th trng nh t cc nc phng Ty, dn ti s tn
nhim tn dng tiu dng qu mc. Nhng ngi i vay th chp M v cc
quc gia phng Ty c xu hng gn cht tham chiu l mi trng li sut
thp ph bin lc by gi trong qu trnh ra quyt nh, v h tin tng qu

54

mc rng s tng trng th trng nh t s ko di mi mi x vo

tro lu tch ly ti sn bng cc khon vay, v tham gia tr chi u t theo
xu th. Khi m th trng ang say mu vi vic tm kim mt mc sinh li
cao qu d dng khi tham gia u c, h min cng trong vic tnh ton
mt cch cn thn nhng ri ro m cc khon vay ca h c th gnh chu. V
trong iu kin th trng c li hnh x ph bin nh th, cng vi s tin
tng qu mc v nng lc hn ch, th rt kh cc c nhn ngi tiu dng
hnh ng khc i so vi m ng th trng, ngay c khi h c y thng
tin mt cch chnh xc v ri ro cc khon cho vay di chun cng nh mu
thun li ch gia cc trung gian mi gii.
Cng lc, cc tiu chun bo him cho cc khon n c th chp c li sut
iu chnh gim t ngt gia cui nm 2004 v u nm 2007 v cc khon
vay c th chp c m rng cho cc khch hng c tiu s tn dng km
hn.37 Hin tng by n v gii hn duy l cng gii thch cho hnh x ca
cc nh cung cp tn dng khi h tp trung vo cc khon li nhun t tin hoa
hng ca cc khon vay di chun pht sinh v thiu kim sot tn dng. C
th cho rng, chnh nh cung cp tn dng cng b chi phi mnh bi s tin
tng qu mc mt cch bt hp l, bi v tn dng c cp d di (do tnh
thanh khon mnh m ca th trng ti chnh ton cu) v gi c ti sn tng
vt. Khng mt nh cung cp tn dng no sn sng b l c hi to ra cc
khon li nhun khng l t cc khon vay di chun gim thiu ri ro tn
dng, khi h thy rng cc i th ca h cng ang hnh ng nh th. ng
thi, h hiu sai c ch to ra cc sn phm phi sinh v tin tng rng ri
ro tn dng (m h chuyn sang cc SIV thng qua qu trnh chng khon
ha hay chuyn sang cc bn giao dch v th i lp thng qua cc CDS) s
bin mt khi h thng v khi bng cn i k ton ca h. Nim tin ny l sai

37

PWGFM, Cng b chnh sch, trn hng n 51, 8.

55

lm v n biu hin cho hiu bit c gii hn ca h v cc sn phm phi

sinh.38
2.3. Quy tc bo v h thng ti chnh-ngn hng
Mc tiu quan trng nht ca cc quy tc ngn hng l ngn nga s v ti
chnh. c trng ca h thng ti chnh-ngn hng l mc lin kt cao ca
cc mc xch trong h thng, nu mt mc xch gp vn th c th e da
n s n nh ca c h thng. Trong s cc quy tc bo v ngn hng th quy
tc quan trng nht gp phn m bo cho s lnh mnh v sc khe ti chnh
ca cc nh ch ngn hng l tiu chun mc vn an ton. Cc tiu chun hin
thi p dng cho hu ht cc ngn hng c a ra bi Hi ng Basel v
Gim st Ngn hng (Basel Committee on Banking Supervision).
Cc tiu chun Basel II i hi mt s lng ln nhng quy tc v nguyn tc
cng b thng tin ra th trng, iu ny c k vng rng s ng vai tr
gim st v iu chnh hot ng ca cc ngn hng. K vng ny da trn gi
nh rng, nu cc ngn hng cng b thng xuyn cc v th vn v nhy
cm ri ro i ca cc ngn hng quc t th cc ngn hng ny s i mt vi
nhiu kh khn khi theo ui mt chin lc kinh doanh ri ro, v th trng s
thc hin trng pht nhng hnh ng thng qua vic khng sn lng cho
nhng ngn hng ny vay tip. Do , cng khai thng tin tr thnh cng c
quan trng trong vic gim st v bt buc thc thi nguyn tc v mc vn an
ton.
Tuy nhin, s k vng ny l khng kh thi. Thc t l tt c cc ngn hng ln
u nhn c mt s bo m ngm ca chnh ph, v s thc l thm ch cc
ngn hng hot ng km hiu qu cng khng c php ph sn v nu h
lm vy th nhng ngi ng thu v nhng nh bo him s gnh chu hu
ht nhng tn tht ca nh tn dng. iu ny c ngha l nhng nh qun l
ngn hng km ci c th kh nng tn ti tip tc hnh x v trch
38

Thc t, cc ngn hng ch cng b thng tin mt cch hn ch cc khon cho vay c chng khon
ha t c mc tiu pht hnh. Cng lc, ri ro tn dng che y nhng phn n giu trong h
thng do cc t chc cho vay phi ngn hng (shadow banking) v hon i ri ro tn dng (credit
default swaps), nhng n bin mt hon ton.

56

nhim v nhng nh tn dng tip tc cho vay v lm suy yu k lut th

trng. Di s bo m ca chnh ph, cc nh ch ngn hng nhn thc
mnh m rng h phi pht trin ti sn s sch ca h (cc khon vay), do ,
khi cc nh ch cng tng quy m th cng lm tng mc lin kt ln nhau
v s sp ca mt nh ch s ko theo s sp ca cc nh ch khc
trong mi lin kt . Bo co Goodhart gi ri ro ny l sng lan truyn
trong mi lin kt ln nhau.39 Hin nhin cc nh ch cng gia tng quy m
v mi lin kt cng mnh th kh nng chnh ph gii cu cc nh ch khi
tnh hung xu xy ra cng ln.40 Mt ln na, hnh vi by n th hin r rng
trong hnh x ca nhng ngi tham gia th trng, c th l cc ngn hng,
cc nh ch ti chnh. Nhng ngi iu hnh qun l cc ngn hng, cc nh
ch ti chnh b qua nhng phn tch ri ro hp l m h c th a ra v tham
gia vo m ng cc ngn hng thc hin cc chin lc kinh doanh ri ro vi
nim tin v mt s gii cu ca chnh ph khi gp kh khn. iu ny ti lt
n, li to ra nhn thc sai lm v thc y m rng bng cn i k ton ca
cc nh ch ngn hng v ph hy sc mnh gim st, kim ch ca k lut th
trng.
M rng vn , c th thy rng thm ch nu n c kh nng gim thiu ri
ro o c v to ra nhn thc ph hp cc nh tn dng tr thnh nhng
ngi gim st hiu qu ca cc ngn hng (trong trng hp cng b thng
tin th trng s tr nn hu ch), th gim st th trng vn t c ngha v
phng din ngn nga tht bi ca cc nh ch/bo v s n nh ca h
thng v hai l do.
Th nht, theo nh quan st ca Hellwig:41 Bi v s ph thuc ln nhau mang
tnh h thng, ri ro ca mt ngn hng ring l khng th c xc nh mt
cch chc chn bng cch nhn vo ti sn v n ca n trn bng cn i k
39

Bo co Goodhart, trn hng n 49, 20-21

40

Nh trn

41

Hellwig, trn hng n 50, 59-60. Hellwig lu mt cch chnh xc rng: Nhng kh khn m cc
cng ty bo him n tuyn (monoline insurers) v ri ro ca cc chng khon phi sinh t n c th
chp gnh chu trong nhng nm qua hay cuc khng hong gn y ca AIG cung cp mt
bng chng n tng v vn ny. Cng tc gi nh trn

57

ton chnh thc v phi chnh thc. Nu v th ti sn ca mt ngn hng lin

quan n mt ri ro no v ngn hng phng nga ri ro bng cch giao
kt hp ng vi mt bn th ba, hiu qu phng nga ph thuc vo kh nng
thc hin ngha ca bn th ba khi cn thit. Nu ri ro ang c ni ti thuc
v chiu hng bin ng kinh t v m ri ro li sut, ri ro t gi, ri ro gi
c nh t th nng lc thc hin ngha v ca bn th ba ty thuc vo s
lng hp ng bn th ba k kt vi cc ch th khc tham gia th trng.
Nu tng quan ri ro cho gia cc hp ng qu ln v bn th ba phi thc
hin chng cng mt lc th vic ny c th e da kh nng tn ti ca bn th
ba.
Trong th trng ton cu ha ngy nay, khng c mt nh ch ring l no c
th c nng lc, ngun vn v kh nng tip cn thng tin c th thc
hin phn tch tn nhim ca tt cc nh ch ti chnh khc d l c chu s
gim st, qun l hay khng. Thm ch, nu nhng c tn ti nhng nh ch
nh vy th chi ph gim st chung qu ln v s vt qu c li ch k vng.
Th hai, thm ch nu mt nh ch hnh x khn ngoan, hay tt c cc nh
ch u nh vy nhng thiu s phi hp th cha chc ngn chn mt cuc
khng hong mang tnh h thng. c bit trong bi cnh tnh thanh khon mt
i mc cho cch hnh x khn ngoan ca cc nh ch c th to ra nhng
t sng lan truyn lm xi mn v ph hy s n nh ca h thng. Vn
ny l do mt tc ng ngoi vi (externality) mang tnh lan truyn n t bn
ngoi: chng khon mt tnh thanh khon v gi rt thp (Fire-sales).42Trong
cuc khng hong ti chnh ton cu va qua, c th nhn thy rng h thng
ti chnh th gii thiu i mt s lin kt cht ch trong vic ngn nga,
chng cuc khng hong. Nu khng hong nm 1997 c quy m khu vc,
ch yu tc ng n chu , th cuc khng hong nm 2008 mang tm ton
42

Nhng tc ng ngoi vi ny c gii thch u tin trong m hnh ca John Geanakoplos v

Heracles Polemarchakis, S tn ti, Tnh quy tc, S ti u khng hon ton c tnh bt buc ca S
phn phi mang tnh cnh tranh khi Th trng Ti sn khng hon chnh trong Heller, Starr, Starrett,
Tnh thiu chc chn, Thng tin v Truyn t, Tiu Lun trong l vinh danh ca Kenneth J. Arrow,
phn 3 (CUP, 1996).

58

cu, bt u t M sau lan nhanh sang chu u v ra ton th gii. Nu

cuc khng hong 1997, IMF tr thnh ch da vng chc cho h thng ti
chnh chu th n nm 2008, khng c mt nh ch no sc m
nhn iu ny. Mc d c kinh nghim i ph vi nhiu cuc khng hong
trong qu kh, nhng i ph vi cuc khng hong va qua c tnh khc bit
khi mc ton cu ha ca cuc khng hong mc cao. Tuy nhin, trong
nhiu thi im, i ph ca cc nc mang tnh a phng khi lnh o cc
nc ch nhn bc tranh trong bin gii ca mnh m khng ch ra bn ngoi.
iu l mt sai lm.
Tm li, v s tht bi trong cc lnh vc (qun tr ri ro, bo v ngi tiu
dng, quy tc ngn hng) nhng lnh vc c lng thng tin ln - trong cuc
khng hong ti chnh nm 2008, mt nguyn nhn quan trng v ni bt l
yu t tm l, v hnh vi by n (di tc ng ca cc nhn t hnh vi) ca
nhng ngi tham gia th trng lm suy yu k lut th trng v khuch
i, y nhanh tin trnh dn ti khng hong.

59

Bng 1: Thng k c bn TTCK (HOSE)

S m CK
S CP giao dch
Tng GTGD
(1000 VND)

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

10

20

22

27

33

106

141

170

196

3,641,000

19,028,200

35,715,939

28,074,150

76,393,008

120,959,797

643,281,249

2,008,535,798

2,934,639,516

10,556,299,300

90,214,760

964,019,550

959,329,653

502,022,234

2,003,868,492

3,040,370,004

38,175,024,441

205,732,389,629

124,576,000,000

423,299,000,000

th 1: VN-Index

VNIndex
1400
1200
1000
800
600
400
200
0

60

th 2: Khi lng giao dch HOSE

Khi lng giao dao dch

160,000,000
140,000,000
120,000,000
100,000,000
80,000,000
60,000,000
40,000,000
20,000,000

Date/Time
3/16/2001
10/29/2001
5/9/2002
9/20/2002
2/13/2003
7/1/2003
11/13/2003
4/6/2004
8/19/2004
1/4/2005
5/27/2005
10/10/2005
3/1/2006
7/14/2006
11/27/2006
4/18/2007
9/6/2007
1/21/2008
6/20/2008
11/5/2008
3/26/2009
8/11/2009
12/23/2009

Bng 2: Thng k c bn beta cho theo tng thng

Thng

S m
CK

Min

Max

2002:03
2002:04
2002:05
2002:06
2002:07
2002:08
2002:09
2002:10
2002:11
2002:12
2003:01
2003:02
2003:03
2003:04

12
12
17
17
17
17
19
19
19
19
20
21
21
21

0.1276
0.0566
0.0468
0.0956
-0.0340
0.0138
0.0498
-1.3314
-1.5094
0.1509
-1.2359
-0.1578
-0.2211
-0.0543

0.9466
1.3729
1.3864
1.0008
1.2825
1.8229
2.0236
2.7200
1.9924
1.2807
2.3206
2.0054
1.3950
1.2779

Beta trung bnh Phng sai lch chun

0.6534
0.7976
0.7884
0.7374
0.7054
0.8784
0.7660
0.6871
0.2198
0.7522
0.5586
0.7397
0.6208
0.7417

0.0766
0.1058
0.1055
0.0481
0.0920
0.3240
0.2957
1.0483
0.4646
0.0948
0.8402
0.3581
0.2309
0.1204

0.2768
0.3253
0.3249
0.2192
0.3034
0.5692
0.5437
1.0239
0.6816
0.3079
0.9166
0.5984
0.4805
0.3471

61
2003:05
2003:06
2003:07
2003:08
2003:09
2003:10
2003:11
2003:12
2004:01
2004:02
2004:03
2004:04
2004:05
2004:06
2004:07
2004:08
2004:09
2004:10
2004:11
2004:12
2005:01
2005:02
2005:03
2005:04
2005:05
2005:06
2005:07
2005:08
2005:09
2005:10
2005:11
2005:12
2006:01
2006:02
2006:03
2006:04
2006:05
2006:06
2006:07
2006:08
2006:09
2006:10
2006:11
2006:12

21
21
21
21
21
21
22
22
22
22
22
22
23
23
23
23
23
24
24
24
25
25
26
27
27
27
27
29
29
29
29
29
32
33
35
36
36
37
40
47
50
50
53
64

0.2387
-3.0117
-0.9125
-0.6357
-0.2229
-0.3876
0.0918
0.0245
0.5104
0.5936
0.0174
-0.3156
-0.2062
-0.1512
-0.3808
-0.0120
-0.7645
-1.1077
0.1222
-0.1589
-1.0360
-0.6326
-0.2190
-0.6330
-1.3403
-0.5128
-1.5577
-0.0420
0.5110
-0.1045
0.0288
-1.5181
-0.3407
-0.6343
-0.1771
-0.0421
0.3518
0.6217
-0.3387
0.0133
-0.3843
-0.3388
0.0009
-0.3353

1.9444
2.7618
2.5196
3.4525
2.1887
1.8937
1.5528
2.0679
1.2166
1.2890
1.6889
1.6687
1.5126
1.6914
2.0756
1.2795
2.4830
2.1936
1.4280
1.6183
2.5337
1.7487
1.3397
1.7972
2.7282
2.8719
2.7673
1.5823
1.2774
2.2829
2.0551
2.3141
1.4002
1.3062
1.4489
1.2174
1.1607
1.7271
1.2609
1.3169
1.4727
2.5948
1.2455
1.2815

0.8021
0.5962
0.5872
0.8909
0.4774
0.7343
0.9040
0.9242
0.9281
1.0219
0.9498
0.6681
0.4846
0.6835
0.5249
0.7711
1.0428
0.7337
0.6744
0.6105
0.8594
0.3580
0.6391
0.3423
0.6783
0.7064
0.4944
0.7093
0.9103
0.9888
0.7649
0.2567
0.4347
0.4989
0.7234
0.5918
0.8209
1.0655
0.7852
0.8755
0.8036
1.1264
0.6558
0.5053

0.2112
1.8619
0.7550
0.9252
0.4276
0.2155
0.1275
0.3058
0.0223
0.0434
0.1675
0.1996
0.2028
0.2446
0.3070
0.1453
0.7535
0.5054
0.1158
0.1973
0.5931
0.3732
0.1567
0.3336
0.7091
0.7161
0.8062
0.2287
0.0596
0.3558
0.3026
0.6425
0.1681
0.1586
0.2080
0.1215
0.0536
0.0633
0.1014
0.0722
0.1151
0.3586
0.1209
0.1688

0.4596
1.3645
0.8689
0.9619
0.6539
0.4642
0.3571
0.5530
0.1495
0.2083
0.4092
0.4468
0.4504
0.4945
0.5540
0.3812
0.8681
0.7109
0.3403
0.4442
0.7701
0.6109
0.3958
0.5776
0.8421
0.8462
0.8979
0.4782
0.2441
0.5965
0.5501
0.8015
0.4101
0.3983
0.4561
0.3486
0.2314
0.2517
0.3184
0.2687
0.3392
0.5989
0.3478
0.4109

62
2007:01
2007:02
2007:03
2007:04
2007:05
2007:06
2007:07
2007:08
2007:09
2007:10
2007:11
2007:12
2008:01
2008:02
2008:03
2008:04
2008:05
2008:06
2008:07
2008:08
2008:09
2008:10
2008:11
2008:12
2009:01
2009:02
2009:03
2009:04
2009:05
2009:06
2009:07
2009:08
2009:09
2009:10
2009:11
2009:12
2010:01
2010:02
2010:03
2010:04

107
108
108
108
108
108
108
111
114
118
123
130
142
148
152
152
151
153
156
159
161
163
166
171
174
175
177
180
180
163
162
165
173
179
185
191
203
213
214
221

-0.7698
-0.3569
-0.0115
-0.5304
-0.5207
-1.8689
-0.3090
-0.1743
-0.3951
-0.7169
-0.0199
-0.1506
0.0751
0.0412
0.4208
-0.1763
-3.7010
-0.2004
-0.1678
-0.0795
0.2901
0.1528
-0.0762
-0.1952
-1.8997
-0.6163
-0.2601
0.0687
-0.1524
0.3210
0.3014
-1.0072
-1.0756
-0.2106
0.2095
-0.0247
-0.1952
-0.4381
-0.5124
-2.3733

1.6676
1.6351
2.0870
1.4560
1.7375
2.4379
1.7930
1.7201
1.3245
1.7728
1.8808
3.2026
1.4034
1.4532
1.2367
1.6190
3.0152
1.4857
1.2954
1.5229
1.3146
1.3232
1.4241
1.7274
2.3055
1.6174
1.5262
1.4320
1.5586
1.3145
1.3122
2.1371
2.4407
1.8254
1.5836
1.5501
1.6496
2.0296
2.4604
2.5680

0.3388
0.5037
0.8740
0.9451
0.7150
0.5451
0.9856
0.7267
0.6136
0.6187
1.0894
0.9060
1.0337
1.0298
0.9739
0.9385
0.5814
0.8216
0.9461
0.9011
0.8751
0.9018
0.7752
0.7970
0.7758
0.7328
0.6753
0.8389
0.8205
0.9978
0.9278
0.8027
0.7492
1.0643
1.0084
1.0675
0.9435
0.8465
0.9697
0.4934

0.2637
0.1598
0.0892
0.1267
0.1845
0.5378
0.1602
0.1477
0.1644
0.2410
0.1904
0.1843
0.0436
0.0626
0.0228
0.0969
0.8326
0.1363
0.0587
0.1304
0.0464
0.0547
0.1076
0.1444
0.5501
0.1731
0.1518
0.0741
0.1290
0.0442
0.0429
0.3651
0.2997
0.1206
0.0596
0.0858
0.1068
0.1821
0.2542
0.7315

0.5136
0.3998
0.2986
0.3560
0.4295
0.7333
0.4003
0.3843
0.4054
0.4909
0.4363
0.4293
0.2087
0.2503
0.1509
0.3113
0.9125
0.3692
0.2423
0.3610
0.2154
0.2339
0.3280
0.3800
0.7417
0.4160
0.3896
0.2722
0.3591
0.2102
0.2072
0.6043
0.5475
0.3473
0.2442
0.2930
0.3267
0.4268
0.5042
0.8553

63

Bng 3: Log ( lch chun ca beta cho)*

Thng

Std() Ln(Std()) Thng

Std() Ln(Std())

2002:03
2002:04
2002:05
2002:06
2002:07
2002:08
2002:09
2002:10
2002:11
2002:12
2003:01
2003:02
2003:03
2003:04
2003:05
2003:06
2003:07
2003:08
2003:09
2003:10
2003:11
2003:12
2004:01
2004:02
2004:03
2004:04
2004:05
2004:06
2004:07
2004:08
2004:09
2004:10
2004:11
2004:12
2005:01
2005:02
2005:03
2005:04
2005:05
2005:06
2005:07

0.2768
0.3253
0.3249
0.2192
0.3034
0.5692
0.5437
1.0239
0.6816
0.3079
0.9166
0.5984
0.4805
0.3471
0.4596
1.3645
0.8689
0.9619
0.6539
0.4642
0.3571
0.5530
0.1495
0.2083
0.4092
0.4468
0.4504
0.4945
0.5540
0.3812
0.8681
0.7109
0.3403
0.4442
0.7701
0.6109
0.3958
0.5776
0.8421
0.8462
0.8979

0.3486
0.2314
0.2517
0.3184
0.2687
0.3392
0.5989
0.3478
0.4109
0.5136
0.3998
0.2986
0.3560
0.4295
0.7333
0.4003
0.3843
0.4054
0.4909
0.4363
0.4293
0.2087
0.2503
0.1509
0.3113
0.9125
0.3692
0.2423
0.3610
0.2154
0.2339
0.3280
0.3800
0.7417
0.4160
0.3896
0.2722
0.3591
0.2102
0.2072
0.6043

-1.2843
-1.1231
-1.1243
-1.5176
-1.1928
-0.5635
-0.6093
0.0236
-0.3832
-1.1779
-0.0870
-0.5134
-0.7329
-1.0583
-0.7775
0.3108
-0.1405
-0.0389
-0.4248
-0.7674
-1.0297
-0.5923
-1.9007
-1.5689
-0.8935
-0.8057
-0.7977
-0.7041
-0.5905
-0.9645
-0.1415
-0.3412
-1.0779
-0.8115
-0.2612
-0.4928
-0.9268
-0.5489
-0.1719
-0.1670
-0.1077

2006:04
2006:05
2006:06
2006:07
2006:08
2006:09
2006:10
2006:11
2006:12
2007:01
2007:02
2007:03
2007:04
2007:05
2007:06
2007:07
2007:08
2007:09
2007:10
2007:11
2007:12
2008:01
2008:02
2008:03
2008:04
2008:05
2008:06
2008:07
2008:08
2008:09
2008:10
2008:11
2008:12
2009:01
2009:02
2009:03
2009:04
2009:05
2009:06
2009:07
2009:08

-1.0538
-1.4635
-1.3796
-1.1445
-1.3142
-1.0811
-0.5127
-1.0562
-0.8894
-0.6664
-0.9168
-1.2086
-1.0329
-0.8451
-0.3101
-0.9156
-0.9563
-0.9028
-0.7115
-0.8294
-0.8457
-1.5667
-1.3852
-1.8915
-1.1671
-0.0916
-0.9964
-1.4177
-1.0188
-1.5352
-1.4527
-1.1148
-0.9676
-0.2988
-0.8770
-0.9426
-1.3014
-1.0241
-1.5598
-1.5743
-0.5037

64
2005:08
2005:09
2005:10
2005:11
2005:12
2006:01
2006:02
2006:03

0.4782
0.2441
0.5965
0.5501
0.8015
0.4101
0.3983
0.4561

-0.7377
-1.4101
-0.5167
-0.5977
-0.2212
-0.8915
-0.9206
-0.7850

2009:09
2009:10
2009:11
2009:12
2010:01
2010:02
2010:03
2010:04

0.5475
0.3473
0.2442
0.2930
0.3267
0.4268
0.50417
0.85525

-0.6024
-1.0576
-1.4098
-1.2277
-1.1186
-0.8515
-0.6848
-0.1564

*: y l s liu chnh s s dng trong vic chy m hnh

Ph lc 7: Kt qu t chy m hnh bng chng trnh Eviews

M hnh (7)&(8):
Sspace: MODEL78
Method: Maximum likelihood (Marquardt)
Date: 06/15/10 Time: 22:27
Sample: 2002M03 2010M04
Included observations: 98
Convergence achieved after 15 iterations
Coefficient

Std. Error

z-Statistic

Prob.

-0.863096
0.427426
-1.821825

0.071005
0.109353
0.136237

-12.15541
3.908683
-13.37248

0.0000
0.0001
0.0000

Final State

Root MSE

z-Statistic

Prob.

SV1

-0.068104

0.402157

-0.169346

0.8655

Log likelihood
Parameters
Diffuse priors

-50.39533
3
0

C(1)
C(2)
C(3)

Akaike info criterion

Schwarz criterion
Hannan-Quinn criter.

1.078694
1.157334
1.110511

M hnh (9)&(8):
Sspace: MODEL98
Method: Maximum likelihood (Marquardt)
Date: 06/15/10 Time: 22:33
Sample: 2002M03 2010M04
Included observations: 98
Convergence achieved after 14 iterations

C(1)
C(2)
C(3)
C(4)

SV1

Coefficient

Std. Error

z-Statistic

Prob.

-0.860943
0.430258
-1.825499
-0.230262

0.071246
0.111292
0.141554
0.350965

-12.08415
3.866020
-12.89613
-0.656083

0.0000
0.0001
0.0000
0.5118

Final State

Root MSE

z-Statistic

Prob.

-0.076076

0.401419

-0.189518

0.8497

65
Log likelihood
Parameters
Diffuse priors

-50.21508
4
0

Akaike info criterion

Schwarz criterion
Hannan-Quinn criter.

1.095254
1.200107
1.137678

M hnh (10)&(8):
Sspace: MODEL108
Method: Maximum likelihood (Marquardt)
Date: 06/15/10 Time: 22:34
Sample: 2002M03 2010M04
Included observations: 98
Failure to improve Likelihood after 4 iterations
Coefficient

Std. Error

z-Statistic

Prob.

-3.632324
0.418408
-2.842202
-0.618957

0.168920
0.091809
0.159821
0.032851

-21.50320
4.557358
-17.78370
-18.84137

0.0000
0.0000
0.0000
0.0000

Final State

Root MSE

z-Statistic

Prob.

SV1

0.037368

0.241448

0.154767

0.8770

Log likelihood
Parameters
Diffuse priors

-0.964583
4
0

C(1)
C(2)
C(3)
C(5)

Akaike info criterion

Schwarz criterion
Hannan-Quinn criter.

0.100295
0.205148
0.142718

Ph lc 8: Gi tr c lng ca hmt da vo m hnh (10)&(8)

Thng

Thng

Thng

2002:03
2002:04
2002:05
2002:06
2002:07
2002:08
2002:09
2002:10
2002:11
2002:12
2003:01
2003:02
2003:03
2003:04
2003:05
2003:06
2003:07
2003:08
2003:09
2003:10

0.282426
0.381242
0.315258
0.505287
0.428626
0.13439
0.159276
-0.21037
0.215776
0.408879
-0.38915
-0.33011
0.077037
0.021561
0.276188
-0.28737
0.068068
-0.25098
0.156161
0.28214

2004:12
2005:01
2005:02
2005:03
2005:04
2005:05
2005:06
2005:07
2005:08
2005:09
2005:10
2005:11
2005:12
2006:01
2006:02
2006:03
2006:04
2006:05
2006:06
2006:07

0.24431
0.043193
0.246164
0.256269
0.288471
0.045607
0.264749
-0.08367
0.164917
0.272316
-0.32056
-0.21223
0.028815
0.27154
-0.0466
-0.38934
-0.32805
-0.01746
0.236721
-0.09506

2007:09
2007:10
2007:11
2007:12
2008:01
2008:02
2008:03
2008:04
2008:05
2008:06
2008:07
2008:08
2008:09
2008:10
2008:11
2008:12
2009:01
2009:02
2009:03
2009:04

-0.0183
-0.24228
-0.06162
-0.08228
0.211188
0.057449
0.331081
0.315928
-0.27362
-0.03733
0.215551
-0.19495
0.004467
0.018193
-0.26723
-0.29354
-0.5656
-0.40729
-0.31111
-0.13112

66
2003:11
2003:12
2004:01
2004:02
2004:03
2004:04
2004:05
2004:06
2004:07
2004:08
2004:09
2004:10

-0.12117
0.119169
0.546303
0.215963
-0.23929
-0.12559
0.100302
0.118847
0.031138
-0.24286
0.192599
0.090157

2004:11

0.439765 2007:08 -0.04867

2006:08
2006:09
2006:10
2006:11
2006:12
2007:01
2007:02
2007:03
2007:04
2007:05
2007:06
2007:07

0.017902
0.168224
-0.17212
-0.20345
-0.46597
-0.80522
-0.51557
-0.07124
-0.20168
-0.22372
-0.60846
-0.07391

2009:05
2009:06
2009:07
2009:08
2009:09
2009:10
2009:11
2009:12
2010:01
2010:02
2010:03
2010:04

-0.24793
0.100586
0.210271
-0.2551
-0.30651
-0.0813
0.047176
-0.08496
-0.17301
-0.17407
-0.21583
-0.48928

Ph lc 9: M hnh khng gian trng thi (State-space model) v Phng

php lc Kalman (Kalman filter)
M hnh khng gian trng thi cho mt chui s liu Yt N chiu bao gm mt
phng trnh o lng biu th mi quan h gia d liu quan st c Yt v
mt vector trng thi m chiu Xt l bin khng quan st c, v mt phng
trnh chuyn ha m t s pht trin ca vector trng thi theo thi gian.
Phng trnh o lng c dng:

Yt = ZtXt + dt + i , vi t = 1,, T

Trong Zt l mt ma trn N x m, dt l mt vector N x 1 v i l vector sai s

N x 1 v i ~ iid N(0,Ht).

Phng trnh chuyn ha i vi vector trng thi Xt l mt qu trnh Markov

bc 1:
Xt = TtXt-1 + ct + Rtt, vi t = 1,..., T
Trong Tt l mt ma trn chuyn ha, ct l mt vector m x 1, Rt l mt ma
trn m x g, v t l vector sai s g x 1 (t ~ iid N(0, Qt).
i vi hu ht cc trng hp, sai s trong phng trnh o lng v sai s
trong phng trnh chuyn ha l c lp nhau:
E[i s] = 0 i vi mi s, t = 1,, T

Mt dng n gin ca m hnh trng thi gm phng trnh o lng c dng:

Yt = mXt + i , vi tham s m khng i theo thi gian

(1)

67

Phng trnh chuyn ha c dng:

Xt = aXt-1 + t, vi tham s a khng i theo thi gian

(2)

c lng cc tham s ca bin khng quan st c, phng php lc

Kalman tr thnh cng c hu hiu trong vic ny. Phng php lc Kalman
da trn tng a ra cc gi tr d bo ca bin khng quan st c (XP)
v tin hnh iu chnh khi c d liu ca bin quan st c phng sai
ca bin khng quan st sau khi iu chnh (XP-Adj) l b nht. C th,
phng php lc Kalman c tin hnh theo cc bc sau:
Gn gi tr ban u X0 cho bin Xt (X0 c gi tr trung bnh l 0 v lch

chun ;j ) v a vo phng trnh (2). Phng trnh (2) tr thnh:

X1P = aX0 + 0

(3)

X1P l gi tr d bo ca X1.
Gi tr X1P thu c a vo phng trnh (1) to ra gi tr d bo ca Y1,
t l Y1P:

Y1P = mX1P + i? = m (aX0 + 0) + i?

(4)

Khi c gi tr thc t Y1, tnh sai s d bo Y1E bng cch ly gi tr thc t Y1

tr i gi tr d bo Y1P:
Y1E = Y1 Y1P

(5)

Sai s Y1E c s dng iu chnh gi tr d bo ca X1. phn bit gi

tr d bo iu chnh ca X1 vi gi tr d bo X1P trong cng thc (3), gi tr
d bo iu chnh ca X1 c k hiu l X1P-Adj:
X1P-Adj = X1P + k1Y1E
= X1P + k1(Y1 Y1P)

= X1P + k1(Y1 mX1P i? )

= X1P(1 mk1) + k1Y1 k1i?

(6)

Trong k1 c gi l tham s Kalman v k1 c xc nh bng cch ly o

hm theo k1 phng sai ca X1P-Adj. Gi p1 l phng sai ca X1P (p1 = (a;j )2 +

Q0).

T (6) suy ra:

Var(X1P-Adj) = p1(1 mk1)2 + k?' H1

(7)

68
lmnopSqRrst 
luS

k? =

{S

= 2m1 mk? p? + 2k? H? = 0

{S |}~S

f<S ,S 
IS 

(8)
(9)

Bc tip theo l s dng X1P-Adj tnh c v a tr li vo phng trnh

(2), lp li quy trnh nh trn tm cc gi tr tng ng khi t = 2.
Vy th thun li ca X1P-Adj so vi X1P l g? Tr li cng thc (7), thay gi tr
k1 va tnh c vo cng thc ny ta c:

Var(X1P-Adj) = p11

?}

S
S |

' + k?' 6?

(10)

p1 l phng sai ca X1P, nhn vi mt lng b hn 1 nn Var(X1PAdj)<Var(X1P).

Cc tham s nh gi tr trung bnh, phng sai ca XtP-Adj, YtP c tnh theo

nhng cng thc sau:
E(XtP-Adj) = E(XtP + ktYtE) = E(XtP) + kt(Yt E(YtP))

Var(XtP-Adj) = pt1

?}


 |

' + k' 6

E(YtP) = E(mXtP-Adj + i ) = mE(XtP-Adj)

Var(YtP) = Var(XtP-Adj)m2 + rt

(11)
(12)
(13)
(14)

Vic gii quyt cc m hnh khng gian trng thi bng phng php lc
Kalman ngy nay c s dng kh ph bin trong cc m hnh trong lnh vc
kinh t, ti chnh. Cc phn mm h tr cho quy trnh trn nh Matlab, Eviews
v WinRats. Trong ti nghin cu ny, chng ti s dng phn mm Eviews
h tr gii quyt.

69

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Chng khon Nh nc i vi hot ng trong lnh vc chng khon ca
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Trang web S Giao dch Chng khon H Ni: http://hnx.vn

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72

http://cafef.vn/
http://www.stox.vn/