Nghiên cứu mối quan hệ giữa chính sách tiền tệ và tính thanh khoản của thị trường chứng khoán việt nam

– ăm 2014 C :T - : 60340201 : Minh – ăm 2014 L m m ă m 11 ăm 2014 Ừ Ắ Ắ : 2 : m : : : Ằ 1.1 Mối quan hệ sách tiền tệ tính khoản CK .6 Ngu n t c a or m o ng tính khoản th tr ng ch ng khoán .9 ác động ếu tố vĩ mơ n tính khoản TTCK .10 2.3 Mối quan hệ sách tiền tệ tính khoản TTCK 12 15 m Mô h nh CK 15 thu ết mối quan hệ sách tiền tệ tính khoản ch ng khốn Mơ h nh CSTT c p độ vi mô 15 thu ết mối quan hệ sách tiền tệ tính khoản ch ng khốn c p độ vĩ mơ: 16 m : 18 iến giải thích 18 2.1.1 n t 18 212 n (tính kho n): 21 iến ki m soát 24 2.2.1 Bi n ki m soát th hi 2.2.2 Các bi n ki m ặ ng khoán riêng lẽ 25 m : 26 ác giả thiết ki m đ nh 28 : 29 Dữ iệu i n quan đến cổ phiếu ni m ết 29 Dữ iệu i n quan đến iến kinh tế vĩ mô 29 31 m : 31 p độ vi mô 31 1.2 p độ vĩ mô 36 1.2.1 m 36 122 40 1.2.3 45 m : 48 p độ vi mô 48 p độ vĩ mô 52 2.2.1 Ki m nh nhân qu Granger 52 2.2.2 Hàm ph n 223 y 57 .61 .64 .64 .65 D Ừ Ắ CSTT Chính sách ti n t HNX Sàn giao d ch ch ng khoán Hà N i HOSE Sàn giao d ch ch ng khốn thành ph H Chí Minh NHNN NHTW TSSL Tỷ su t sinh l i VAR HNX Index phi Vn Index phi Chỉ s th ờng ch ng khoán Vi t Nam (bao g m t t c c c niêm y t HNX) Chỉ s th ờng ch ng khoán Vi t Nam (bao g m t t c c c niêm y t HOSE) Bảng 1: Tóm tắt bi n CSTT bi n kho n c a ch ng khốn 23 Bảng 2: Mơ t tác bi n ki m soát th hi Bảng 3: Tóm tắt bi n ki m Bảng 4: ng k v ng c ặ m riêng c a CK riêng lẽ 25 m 27 ă ng cung ti n M0 L ờng ti n t n m i bi n mơ t tính kho n 28 Bảng 5: Th ng kê mô t c n t 30 Bảng 6: ng b ng cho sàn giao d ch ch ng khoán HOSE v i bi CSTT t ă Bảng 7: ng b ng cho sàn giao d ch ch ng khoán HOSE v i bi CSTT L Bảng 8: Ki m ờng ng cung ti n M0 31 ờng ờng ti n t (monetary stancei,t-1) 33 nh nhân qu Granger gi a tính kho n sách ti n t cho sàn giao d ch ch ng khoán TP HCM (HOSE) 37 Bảng 9: CSTT t Bảng 10: CSTT L Bảng 11: Ki m ng b ng cho sàn giao d ch ch ng khoán HNX v i bi ă ờng ng cung ti n M0 48 ng b ng cho sàn giao d ch ch ng khoán HNX v i bi ờng ờng ti n t (monetary stancei,t-1) 50 nh nhân qu Granger gi a tính kho n sách ti n t cho sàn giao d ch ch ng khoán Hà N i (HNX) .53 Hình 1: Hàm ph n kho n t ng th ă y VAR cho sàn HOSE: ph n iv is ă ng c l ch chu n c a t ng cung ti n M0 .42 Hình 2: Hàm ph kho n t ng th n iv is y ă cho sàn HOSE: ph n ng c l ch chu n c a L ờng ti n t 44 Hình 3: th R a bi ch ch ng khoán TP HCM ờng tính kho n cú s ă ng cung ti n M0 .46 Hình 4: th R a bi ch ch ng khoán TP HCM ờng tính kho n cú s c L p ờng ti n t 47 Hình 5: Hàm ph n th iv is y VAR: ph n ng c n t ng l ch chu n c a t ă ng cung ti n M0 sàn HNX 58 Hình 6: Hàm ph n v is y: ph n ng c Hình 7: l ch chu n c a L th R a bi n t ng th i ờng ti n t sàn HNX 60 ch ch ng khốn Hà N i ờng tính kho n cú s ă ng cung ti n M0 .62 Hình 8: th ng sai bi R ch CK Hà N i Phân rã ờng tính kho n cú s c L ờng ti n t 63 : : Th ng kê mô t bi n mơ hình h i quy b ng sàn giao d ch ch ng khoán HOSE Ma tr a bi n (Trên sàn giao d ch ch ng khoán TP.HCM –HOSE) : : ă : Th ng kê mô t bi n mơ hình h i quy b ng sàn giao d ch ch ng khoán Hà N i- HNX : Ma tr a bi n (Trên sàn giao d ch ch –HNX) : ă : ờ 10: m – 11: m – 12: m – m GDCK HOSE m m GDCK HNX m m R m R GDCK HOSE 13: m – m m GDCK HNX Ắ ù m ặ ỉm m m m n giá ẵ , m ă ễ ầ ầ Khi t ă cao m ính , m m m m R c m m m 06/2014 ẽ m 1/2009 m m ẽ m m ắ W m m CSTT m ẽ m quy m m ò m Panel unit root test: Summary Series: VN_INDEX Sample: 2009M01 2014M06 Exogenous variables: Individual effects Userspecified lags: Newey-West automatic bandwidth selection and Bartlett kernel CrossMethod Statistic Prob.** sections Obs 299 15691 Null: Unit root (assumes common unit root process) Levin, Lin & Chu t* -10.0533 0.0000 Null: Unit root (assumes individual unit root process) Im, Pesaran and Shin W-stat -10.0284 0.0000 299 15691 ADF - Fisher Chi-square 1172.53 0.0000 299 15691 PP - Fisher Chi-square 598.379 0.4879 299 15990 ** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution All other tests assume asymptotic normality Panel unit root test: Summary Series: MOSTANCE Sample: 2009M01 2014M06 Exogenous variables: Individual effects Userspecified lags: Newey-West automatic bandwidth selection and Bartlett kernel CrossMethod Statistic Prob.** sections Obs 299 15691 Null: Unit root (assumes common unit root process) Levin, Lin & Chu t* -5.43619 0.0000 Null: Unit root (assumes individual unit root process) Im, Pesaran and Shin W-stat -4.82793 0.0000 299 15691 ADF - Fisher Chi-square 586.806 0.6204 299 15691 PP - Fisher Chi-square 579.612 0.6977 299 15990 ** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution All other tests assume asymptotic normality hụ ục ết ki m tra tính ng iến mô h nh h i qu p độ vi mô – sàn D Panel unit root test: Summary Series: TOVER Sample: 2009M01 2014M06 Exogenous variables: Individual effects User-specified lags: Newey-West automatic bandwidth selection and Bartlett kernel CrossMethod Statistic Prob.** sections Obs 356 18763 Null: Unit root (assumes common unit root process) Levin, Lin & Chu t* 26.1200 1.0000 Null: Unit root (assumes individual unit root process) Im, Pesaran and Shin W-stat -40.2973 0.0000 356 18763 ADF - Fisher Chi-square 3134.18 0.0000 356 18763 PP - Fisher Chi-square 4394.81 0.0000 356 19120 ** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution All other tests assume asymptotic normality Panel unit root test: Summary Series: D(TOVER) Sample: 2009M01 2014M06 Exogenous variables: Individual effects User-specified lags: Newey-West automatic bandwidth selection and Bartlett kernel CrossMethod Statistic Prob.** sections Obs 355 18402 Null: Unit root (assumes common unit root process) Levin, Lin & Chu t* -4.91550 0.0000 Null: Unit root (assumes individual unit root process) Im, Pesaran and Shin W-stat -115.723 0.0000 355 18402 ADF - Fisher Chi-square 10967.0 0.0000 355 18402 PP - Fisher Chi-square 14160.7 0.0000 355 18758 ** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution All other tests assume asymptotic normality c Panel unit root test: Summary Series: TB_TV =TV Sample: 2009M01 2014M06 Exogenous variables: Individual effects Userspecified lags: Newey-West automatic bandwidth selection and Bartlett kernel CrossMethod Statistic Prob.** sections Obs 356 18766 Null: Unit root (assumes common unit root process) Levin, Lin & Chu t* -11.5964 0.0000 Null: Unit root (assumes individual unit root process) Im, Pesaran and Shin W-stat -18.9383 0.0000 356 18766 ADF - Fisher Chi-square 1592.63 0.0000 356 18766 PP - Fisher Chi-square 1950.60 0.0000 356 19122 ** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution All other tests assume asymptotic normality Panel unit root test: Summary Series: TB_D = D Sample: 2009M01 2014M06 Exogenous variables: Individual effects Userspecified lags: Newey-West automatic bandwidth selection and Bartlett kernel CrossMethod Statistic Prob.** sections Obs 356 18766 Null: Unit root (assumes common unit root process) Levin, Lin & Chu t* -48.7303 0.0000 Null: Unit root (assumes individual unit root process) Im, Pesaran and Shin W-stat -65.5092 0.0000 356 18766 ADF - Fisher Chi-square 4435.41 0.0000 356 18766 PP - Fisher Chi-square 7319.21 0.0000 356 19122 ** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution All other tests assume asymptotic normality Panel unit root test: Summary Series: TB_PS = PS Sample: 2009M01 2014M06 Exogenous variables: Individual effects Userspecified lags: Newey-West automatic bandwidth selection and Bartlett kernel CrossMethod Statistic Prob.** sections Obs 355 18747 Null: Unit root (assumes common unit root process) Levin, Lin & Chu t* 19.3362 1.0000 Null: Unit root (assumes individual unit root process) Im, Pesaran and Shin W-stat -47.1186 0.0000 355 18747 ADF - Fisher Chi-square 3814.38 0.0000 355 18747 PP - Fisher Chi-square 6443.14 0.0000 355 19102 ** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution All other tests assume asymptotic normality Panel unit root test: Summary Series: D(TB_PS) = D(PS) Sample: 2009M01 2014M06 Exogenous variables: Individual effects Userspecified lags: Newey-West automatic bandwidth selection and Bartlett kernel CrossMethod Statistic Prob.** sections Obs 354 18388 Null: Unit root (assumes common unit root process) Levin, Lin & Chu t* -6.77838 0.0000 Null: Unit root (assumes individual unit root process) Im, Pesaran and Shin W-stat -126.982 0.0000 354 18388 ADF - Fisher Chi-square 12138.4 0.0000 354 18388 PP - Fisher Chi-square 11075.1 0.0000 354 18742 ** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution All other tests assume asymptotic normality Panel unit root test: Summary Series: TB_S = S Sample: 2009M01 2014M06 Exogenous variables: Individual effects Userspecified lags: Newey-West automatic bandwidth selection and Bartlett kernel CrossMethod Statistic Prob.** sections Obs 356 18766 Null: Unit root (assumes common unit root process) Levin, Lin & Chu t* -74.4155 0.0000 Null: Unit root (assumes individual unit root process) Im, Pesaran and Shin W-stat -50.0483 0.0000 356 18766 ADF - Fisher Chi-square 3742.51 0.0000 356 18766 PP - Fisher Chi-square 6145.60 0.0000 356 19122 ** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution All other tests assume asymptotic normality Panel unit root test: Summary Series: RET Sample: 2009M01 2014M06 Exogenous variables: Individual effects Userspecified lags: Newey-West automatic bandwidth selection and Bartlett kernel CrossMethod Statistic Prob.** sections Obs 355 18409 Null: Unit root (assumes common unit root process) Levin, Lin & Chu t* -57.7690 0.0000 Null: Unit root (assumes individual unit root process) Im, Pesaran and Shin W-stat -72.9839 0.0000 355 18409 ADF - Fisher Chi-square 6429.70 0.0000 355 18409 PP - Fisher Chi-square 11574.3 0.0000 355 18765 ** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution All other tests assume asymptotic normality Panel unit root test: Summary Series: STDV01 =STDV Sample: 2009M01 2014M06 Exogenous variables: Individual effects Userspecified lags: Newey-West automatic bandwidth selection and Bartlett kernel CrossMethod Statistic Prob.** sections Obs 352 15661 Null: Unit root (assumes common unit root process) Levin, Lin & Chu t* -17.6905 0.0000 Null: Unit root (assumes individual unit root process) Im, Pesaran and Shin W-stat -36.3970 0.0000 352 15661 ADF - Fisher Chi-square 2915.78 0.0000 352 15661 PP - Fisher Chi-square 5314.44 0.0000 352 16347 ** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution All other tests assume asymptotic normality Panel unit root test: Summary Series: LNMV Sample: 2009M01 2014M06 Exogenous variables: Individual effects Userspecified lags: Newey-West automatic bandwidth selection and Bartlett kernel CrossMethod Statistic Prob.** sections Obs 356 18763 Null: Unit root (assumes common unit root process) Levin, Lin & Chu t* -7.40272 0.0000 Null: Unit root (assumes individual unit root process) Im, Pesaran and Shin W-stat -7.70475 0.0000 356 18763 ADF - Fisher Chi-square 1010.29 0.0000 356 18763 PP - Fisher Chi-square 1023.97 0.0000 356 19120 ** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution All other tests assume asymptotic normality Panel unit root test: Summary Series: IP Sample: 2009M01 2014M06 Exogenous variables: Individual effects Userspecified lags: Newey-West automatic bandwidth selection and Bartlett kernel CrossMethod Statistic Prob.** sections Obs 356 18766 Null: Unit root (assumes common unit root process) Levin, Lin & Chu t* -59.6867 0.0000 Null: Unit root (assumes individual unit root process) Im, Pesaran and Shin W-stat -83.8812 0.0000 356 18766 ADF - Fisher Chi-square 7485.44 0.0000 356 18766 PP - Fisher Chi-square 15765.5 0.0000 356 19122 ** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution All other tests assume asymptotic normality Panel unit root test: Summary Series: IR Sample: 2009M01 2014M06 Exogenous variables: Individual effects Userspecified lags: Newey-West automatic bandwidth selection and Bartlett kernel CrossMethod Statistic Prob.** sections Obs 356 18766 Null: Unit root (assumes common unit root process) Levin, Lin & Chu t* -17.3406 0.0000 Null: Unit root (assumes individual unit root process) Im, Pesaran and Shin W-stat -16.8032 0.0000 356 18766 ADF - Fisher Chi-square 1298.19 0.0000 356 18766 PP - Fisher Chi-square 697.538 0.6436 356 19122 ** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution All other tests assume asymptotic normality Panel unit root test: Summary Series: HN_INDEX Sample: 2009M01 2014M06 Exogenous variables: Individual effects Userspecified lags: Newey-West automatic bandwidth selection and Bartlett kernel CrossMethod Statistic Prob.** sections Obs 356 18766 Null: Unit root (assumes common unit root process) Levin, Lin & Chu t* -16.9866 0.0000 Null: Unit root (assumes individual unit root process) Im, Pesaran and Shin W-stat -10.4798 0.0000 356 18766 ADF - Fisher Chi-square 1268.17 0.0000 356 18766 PP - Fisher Chi-square 1399.56 0.0000 356 19122 ** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution All other tests assume asymptotic normality Phụ ục ết ki m tra tính ng iến mô h nh độ vĩ mô – sàn D Null Hypothesis: Mo has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.025420 0.2755 Test critical values: 1% level -3.536587 5% level -2.907660 10% level -2.591396 *MacKinnon (1996) one-sided p-values Null Hypothesis: NMO= D(Mo) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -14.86239 0.0000 Test critical values: 1% level -3.536587 5% level -2.907660 10% level -2.591396 *MacKinnon (1996) one-sided p-values Null Hypothesis: TOVER has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.338477 0.0171 Test critical values: 1% level -3.534868 5% level -2.906923 10% level -2.591006 *MacKinnon (1996) one-sided p-values cp Null Hypothesis: TV has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.523768 0.5154 Test critical values: 1% level -3.534868 5% level -2.906923 10% level -2.591006 *MacKinnon (1996) one-sided p-values Null Hypothesis: NTV = D(TV) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.763643 0.0000 Test critical values: 1% level -3.536587 5% level -2.907660 10% level -2.591396 *MacKinnon (1996) one-sided p-values Null Hypothesis: D has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.856936 0.3501 Test critical values: 1% level -3.542097 5% level -2.910019 10% level -2.592645 *MacKinnon (1996) one-sided p-values Null Hypothesis: ND0 = D(D) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.170792 0.0001 Test critical values: 1% level -3.542097 5% level -2.910019 10% level -2.592645 *MacKinnon (1996) one-sided p-values Null Hypothesis: PS has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.286714 0.1793 Test critical values: 1% level -3.534868 5% level -2.906923 10% level -2.591006 *MacKinnon (1996) one-sided p-values Null Hypothesis: NPS = D(PS) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -7.513249 0.0000 Test critical values: 1% level -3.536587 5% level -2.907660 10% level -2.591396 *MacKinnon (1996) one-sided p-values Null Hypothesis: S has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.611594 0.0958 Test critical values: 1% level -3.534868 5% level -2.906923 10% level -2.591006 *MacKinnon (1996) one-sided p-values Null Hypothesis: NS = D(S) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -7.034320 0.0000 Test critical values: 1% level -3.538362 5% level -2.908420 10% level -2.591799 *MacKinnon (1996) one-sided p-values Null Hypothesis: MOSTANCE has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -7.625648 0.0000 Test critical values: 1% level -3.536587 5% level -2.907660 10% level -2.591396 *MacKinnon (1996) one-sided p-values hụ ục ết ki m tra tính ng iến mô h nh độ vĩ mô – sàn D Null Hypothesis: TOVER has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.302416 0.0188 Test critical values: 1% level -3.534868 5% level -2.906923 10% level -2.591006 *MacKinnon (1996) one-sided p-values Null Hypothesis: TV has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.001817 0.2854 Test critical values: 1% level -3.534868 5% level -2.906923 10% level -2.591006 *MacKinnon (1996) one-sided p-values Null Hypothesis: NTV = D(TV) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -7.835374 0.0000 Test critical values: 1% level -3.536587 5% level -2.907660 10% level -2.591396 *MacKinnon (1996) one-sided p-values cp Null Hypothesis: D has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.041927 0.7330 Test critical values: 1% level -3.540198 5% level -2.909206 10% level -2.592215 *MacKinnon (1996) one-sided p-values Null Hypothesis: ND = D(D) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -9.506079 0.0000 Test critical values: 1% level -3.540198 5% level -2.909206 10% level -2.592215 *MacKinnon (1996) one-sided p-values Null Hypothesis: PS has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.791456 0.3815 Test critical values: 1% level -3.534868 5% level -2.906923 10% level -2.591006 *MacKinnon (1996) one-sided p-values Null Hypothesis: NPS = D(PS) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.811754 0.0000 Test critical values: 1% level -3.536587 5% level -2.907660 10% level -2.591396 *MacKinnon (1996) one-sided p-values Null Hypothesis: S has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.497585 0.0111 Test critical values: 1% level -3.534868 5% level -2.906923 10% level -2.591006 *MacKinnon (1996) one-sided p-values ... 1.1 Mối quan hệ sách tiền tệ tính khoản CK .6 Ngu n t c a or m o ng tính khoản th tr ng ch ng khoán .9 ác động ếu tố vĩ mô n tính khoản TTCK .10 2.3 Mối quan hệ sách tiền tệ. .. sách tiền tệ tính khoản TTCK 12 15 m Mô h nh CK 15 thu ết mối quan hệ sách tiền tệ tính khoản ch ng khốn Mơ h nh CSTT c p độ vi mô 15 thu ết mối quan hệ sách tiền tệ tính khoản ch ng... t qu ù n m k t lu n r ng sách ti n t c a ECB quy ờng ch ng khoán l n khu v ng euro nh tính kho n c a th ả : 1.1 Mô h nh thu ết mối quan hệ sách tiền tệ tính khoản chứng khốn c p độ vi mơ ầ m