Professional Documents
Culture Documents
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.
1.2.1.
1.2.1.1.
Hnh vi bt hp l ............................................................................. 9
1.2.1.3.
1.2.2.1.
2.2.
2.3.
ii
Nng lc nh u t cn hn ch .......................................................................... 22
Bin giao dch, chnh sch cm bn khng ....................................................... 23
2.4.
2.4.1.
2.4.1.1.
2.4.1.2.
i.
D liu..................................................................................................... 30
2.4.2.1.
Mu d liu ...................................................................................... 30
2.4.2.2.
2.4.3.
Kt qu t m hnh ................................................................................ 31
ii
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
Xem thm ph lc 1
Tm l by n theo th lao
Bikhchandani S., and S. Sharma, "Herd Behavior in Financial Markets", IMF Staff Papers, 47, 3
(2001)
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
Hnh vi bt hp l
Jay R. Ritter, Behavioral Finance, The Pacific-Basin Finance Journal, Vol. 11, No. 4, (9/2003) pp.
429-437
10
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
12
13
14
15
16
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.
17
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:
19
20
21
22
23
24
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.
=
Trong :
(1)
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
27
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,
< , c phiu tr nn t ri ro hn so vi thc cht (theo CAPM)
> , c phiu tr nn ri ro hn so vi thc cht (theo CAPM)
28
do )
#=1
(3)
(4)
Trong :
log2*+, 3 = 5 + 7
(5)
v 6 = log 1
(6)
'
vi 5 = 2log2*+,) 33 v 7 ~99,0, ; ,<
6 = = 6 ,>? + @
(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
] c ng gp vo nhng bin ny v khng phi hin tng
log[Stdc (
16
Xem Ph lc 9
30
log0*+,)
#1 = 5 + 6 + GH IJK, + 7
(9)
log0*+,)
#1 = 5 + 6 + GL MNO;IJK, +7
(10)
Mu d liu
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.
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
20
0.402157
(0.136237)*
0.401419
(0.141554)*
0.241448
(0.170978)*
0.8928042
0.889444
0.5460056
32
a,b
3
cdefg 2 cd) h
(cn c
n gii thch 89% s bin ng ca *+,G
. Nhng dn chng trn chng
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 (
]
55%, iu ny cho thy bin ng ca Stdc (
phn ln c gii thch bi
hnh vi by n.
21
33
2010M03
2009M03
2008M03
2007M03
2006M03
2005M03
2004M03
-0.4
2003M03
-0.2
2002M03
-0.6
-0.8
-1
34
35
36
37
38
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
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
42
43
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
26
46
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
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
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
Tht bi trong kim sot tn dng v xem xt tiu chun cho vay
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
32
Nh trn
51
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.
52
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
53
54
37
55
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
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
58
59
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
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
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
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
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
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)
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
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)
0.100295
0.205148
0.142718
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
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
Yt = ZtXt + dt + i , vi t = 1,, T
N x 1 v i ~ iid N(0,Ht).
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
(1)
67
(2)
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:
(4)
(5)
(6)
Q0).
(7)
68
lmnopSqRrst
luS
k? =
{S
{S |}~S
f<S ,S
IS
(8)
(9)
Var(X1P-Adj) = p11
?}
S
S |
' + k?' 6?
(10)
Var(XtP-Adj) = pt1
?}
|
' + k' 6
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
GS.TS Trn Ngc Th, "Gio trnh: Ti chnh doanh nghip hin i",
NXB Thng k (2007)
Christie, W.G. and R.D. Huang, "Following the Pied Piper: Do Individual
Returns Herd Aroundthe Market?", Financial analysts Journal, pp. 31-37
(1995)
70
Kim, W. and S-J Wei, "Foreign Portfolio Investors Before and During a
Crisis, Journal of International Economics, 68, 1, pp. 205-224 (2002)
71
http://www.vietstock.vn/
http://vneconomy.vn/
72
http://cafef.vn/
http://www.stox.vn/