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BỘ GIÁO DỤC VÀ ĐÀO TẠO NGÂN HÀNG NHÀ NƯỚC VIỆT NAM TRƯỜNG ĐẠI HỌC NGÂN HÀNG TP.HỒ CHÍ MINH VÕ KIỀU TRINH KIỂM ĐỊNH HÀNH VI BẦY ĐÀN TRÊN THỊ TRƯỜNG CHỨNG KHOÁN VIỆT NAM TRONG GIAI ĐOẠN 2012-2018 KHĨA LUẬN TỐT NGHIỆP CHUN NGÀNH: TÀI CHÍNH – NGÂN HÀNG MÃ SỐ: 52340201 TP HỒ CHÍ MINH, NĂM 2019 Tai ngay!!! Ban co the xoa dong chu nay!!! BỘ GIÁO DỤC VÀ ĐÀO TẠO NGÂN HÀNG NHÀ NƯỚC VIỆT NAM TRƯỜNG ĐẠI HỌC NGÂN HÀNG TP.HỒ CHÍ MINH VÕ KIỀU TRINH KIỂM ĐỊNH HÀNH VI BẦY ĐÀN TRÊN THỊ TRƯỜNG CHỨNG KHỐN VIỆT NAM TRONG GIAI ĐOẠN 2012-2018 KHĨA LUẬN TỐT NGHIỆP CHUYÊN NGÀNH: TÀI CHÍNH - NGÂN HÀNG NGƯỜI HƯỚNG DẪN KHOA HỌC THS Trần Minh Tâm MÃ SỐ: 52340201 TP HỒ CHÍ MINH, NĂM 2019 i TĨM TẮT KHÓA LUẬN Mục tiêu nghiên cứu nhằm kiểm định hành vi bầy đàn thị trường chứng khốn Việt Nam giai đoạn 2012-2018, thơng qua sàn giao dịch chứng khốn Hồ Chí Minh (HOSE) Tác giả xem xét hành vi bầy đàn điều kiện thị trường khác nhau, cụ thể thị trường tăng giảm trường hợp khối lượng giao dịch cao thấp Bên cạnh đó, tác giả xem xét hành vi theo nhóm cổ phiếu phân loại dựa quy mô thị trường Nghiên cứu kiểm định hành vi bầy đàn tồn thị trường thơng qua mối quan hệ độ phân tán cổ phiếu riêng lẻ so với tỉ suất sinh lời thị trường, dựa phương pháp tiếp cận Chang, Cheng Khorana (2000) Mơ hình hồi quy thực phương pháp OLS kết hợp Newey-West cho thấy hành vi bầy đàn tồn thị trường chứng khốn Việt Nam Trong đó, nhà đầu tư bị chi phối hành vi đám đông thị trường tăng giảm, vậy, tác giả khơng tìm thấy tính bất đối xứng hành vi hai trường hợp Hay nói cách khác, nhà đầu tư thị trường chứng khoán Việt Nam bỏ qua phân tích thân theo đám đông không phụ thuộc vào chuyển động lợi nhuận thị trường Trái lại, tính bất đối xứng hành vi bầy đàn lại tìm thấy trường hợp khối lượng giao dịch cao thấp Bên cạnh đó, kết nghiên cứu cho thấy hành vi bầy đàn tồn năm nhóm cổ phiếu, mức độ bầy đàn cho mạnh mẽ nhóm cổ phiếu có mức vốn hóa thấp Ngồi ra, khóa luận góp phần đưa kiến nghị cho nhà đầu tư nhà hoạch định sách việc hạn chế hành vi bầy đàn tăng cường phát triển bền vững cho thị trường chứng khốn Việt Nam Từ khóa: CSAD; Hành vi bầy đàn; Hiệu ứng bất đối xứng; Mối quan hệ phi tuyến ii ABSTARCT This study aims to contribute to detect herding behavior in the Vietnamese stock market based on the market-wide herding approach which proposed by Chang, Cheng and Khorana (2000) This research is conducted by collecting data of listed company on Ho Chi Minh stock exchange from Jan 2012 to December 2018 The author employs Ordinary Least Squares (OLS) with Newey-West consistent estimators to consider the relationship between the dispersion of individual stocks and market return In order to provide a clear picture of herding behavior in the Vietnamese stock market, the research also considers this herd mentality in different market conditions and firm sizes The result indicates strong evidence of herding behavior over the whole period studied Moreover, during rising and declining days, investors tend to ignore their beliefs and make decisions based on collective information However, there is no asymmetry effect in these market conditions Regarding the prevalence herding under high and low volume days, the herding is only evidenced during days with high volume, but not low volume days It is concluded that participants in Vietnam’s stock market have a tendency to imitate the other’s actions based on trading volume, but not the direction of market movements Besides, there is a greater propensity for herding in stock with low capitalization compared to those with high capitalization In addition, these research findings could increase the awareness of investors and policymakers about the characteristics of this behavior Chapter 1: Introduction Imperativeness of the thesis With the characteristics of the emerging market, Viet Nam’s stock market experienced excessive and unstable growth, which results in anomalies and stock market bubble, particularly the crisis in 2008 Herd behavior is considered the main reason for this crisis, especially individual investors According to the efficient market hypothesis (EMH), investors are rational, they receive the same set of information, and therefore, they hold the same expectation about the stock prices iii Hence, stock prices will fully reflect all available information on the market (Fama, 1970) However, this herd behavior seems to be a challenge to EMH, because investors are not eminently rational In certain circumstances, they simply ignore their own beliefs and information and make investment decisions based on market consensus Obviously, this action could cause instability in financial markets since the stock price is far from their intrinsic value At that time, stock prices reflect not only investors’ rational expectations but also irrationality in their investment decisions (Demirer & Kutan, 2006) Consequently, it is essential to study the herd behavior in Viet Nam’ stock market, which can enhance the investors’ awareness of herd mentality as well as suggest policies to policymakers in order to reduce herd bias Research objective This study aims to contribute to detect herding behavior in the Vietnamese stock market in the period 2012-2018 Besides, the level of herding behavior is different under market conditions and firm characteristics This paper is aimed to achieve the following objectives: - To examine the presence of herding behavior in Vietnam’s stock market particularly Ho Chi Minh stock exchange (HOSE) - To examine herding behavior under increasing and decreasing markets as well as high and low volume days - To determine herding behavior by stock groups, classified by firm sizes Scope of the study The paper is going to employ the approach of market-wide herding to examine this herding mentality in the Vietnamese stock market Therefore, this research concentrates on considering the relationship between dispersion of individual stocks and market return Due to time and human resources restraints, this study is conducted only in Ho Chi Minh stock exchange during from Jan 2012 to December 2018 iv Research questions - Does herd behaviour exist in Vietnamese stock market? - How is the presence of herding behaviour in Vietnamese stock market under different market conditions? - With different firm sizes, how does herding behaviour occur? Contribution of the Thesis This thesis provides a greater understanding of herding mentality for both investors and policymakers Through the research results, regulators can make effective and timely policies to limit the behavior of investors In addition, investors in the market are more aware of this behavior, which can help them avoid being dominated by the crowd when making trading decisions Chapter 2: Literature Review This chapter presents the theoretical background in behavioral finance and herd behavior Regarding behavioral finance, there are three main blocks such as investor sentiment, limits to arbitrage and investor preference (De Bondt et al, 2008) The author also refers to a concept, types of herding and causes Herding behavior among investors can be classified into intentional herding and spurious herding (Bikhchandani & Sharma, 2001) Besides, according to Devenow & Welch (1996), there are two different views of herding, such as rational and non-rational herding Concerning reasons for herding behavior, herding could derive from informational cascades, concern for reputation and compensation structure, investigative herding and characteristic herding Also, the theory of herd behavior is developed by Banerjee (1992) with the assumption that humans are rational when making decisions, individuals act rationally based on their analysis In this theory, the information that individuals use to make decisions is based on two factors, such as private information and public information However, the research finding depicts that individuals tend to ignore their signs, mimic the action of others even when they are unaware that others have right or not v Besides, in this literature review, the previous studies are presented to provide a clear picture of herding behavior through two main approaches, namely direct and indirect methods The direct method focuses on observing the trading behavior of the investor groups, while the other concentrates on examining the presence of herding behavior Chapter 3: Research Methodology The model of this research follows the approach of Chang, Cheng, and Khorana (2000) to identify market-wide herding The author will consider the relationship between the dispersion of the return of each stock and market return The author expects the dispersion will decrease or increase with a decreasing rate as the absolute value of market return increases The relationship will gradually shift from linearity to non-linearity The research employs ordinary least squares analysis (OLS), combining descriptive statistics to consider the non-linear relationship between the dispersion and market return Besides, to ensure the stability of the model, the author carried out the following tests: stationarity test, detection of multicollinearity and autocorrelation and heteroskedasticity Chapter 4: Results The dispersion of individual stocks that increases at decreasing rate or even decreases with an increase in market return, so the author concludes that herding exists in the Vietnamese stock market One of the main reasons for the prevalence of herding is the lack of information transparency According to Bikhchandani and Sharma (2001), individuals tend to follow the crowd when they face information non-transparency This issue is caused by imperfect regulatory frameworks, inexperienced investors and government intervention (Tung Nguyen, 2018) Besides, investors tend to herd when the market is up and down, nonetheless, there is no asymmetric effect between these market conditions In other words, investors on the Vietnamese market disregard their analysis and abide by market consensus regardless of the movement of the market return Also, herding just occurs under conditions of high volume days High trading vi volume induces more herding since, at that time, investors face uncertainty So, they make decisions following others or market could reduce risks and make them feel more secure In addition, the author also considered herd behavior for five portfolios classified by firm sizes The herd behavior all exists in five stock groups, however, the herding level is thought to be stronger for stocks with low capitalization This is explained by the information asymmetry in stocks with lower capitalization than those with high capitalization Chapter 5: Recommendations Based on research findings, the author provides some recommendations for both investors and policymakers Firstly, regarding investors, they should be cautious when making investment decisions under high volume days Besides, these decisions should be based on private information and rational analysis through risk and return aspects and avoid being distracted by rumors, the general trend in the market Although the herding behavior is psychological form, it cannot be eliminated Therefore, to minimize the impact of collective actions in the market, investors should improve their knowledge and analytical skill, especially individual investors Secondly, to enhance the information transparency, the State Securities Commission needs to strengthen their supervision of listed companies (especially those with small capitalization) such as in compliance with information disclosure is to ensure that all investors have equal access to information through official channels with high reliability (Tran Thi Hai Ly, 2010) vii LỜI CAM ĐOAN Khóa luận cơng trình nghiên cứu riêng tác giả, kết nghiên cứu trung thực, khơng có nội dung công bố trước nội dung người khác thực ngoại trừ trích dẫn dẫn nguồn đầy đủ khóa luận Tác giả xin hoàn toàn chịu trách nhiệm lời cam đoan danh dự TP Hồ Chí Minh, ngày 10 Tháng 12 năm 2019 Tác giả Võ Kiều Trinh viii LỜI CẢM ƠN Trước tiên, xin bày tỏ lòng biết ơn sâu sắc đến thầy Ths Trần Minh Tâm hướng dẫn tận tình, hỗ trợ hết lòng thầy động viên q báu giúp tơi hồn thành tốt khóa luận Tơi xin cảm ơn phịng Đào tạo, Trường Đại học Ngân hàng TP.HCM tạo điều kiện để hồn thành tốt việc học tập, nghiên cứu suốt thời gian vừa qua Cuối cùng, xin bày tỏ lịng biết ơn sâu sắc đến gia đình tôi, người thân yêu ủng hộ tạo điều kiện tốt để tơi thực hồn thành nghiên cứu TP Hồ Chí Minh, ngày 10 Tháng 12 năm 2019 Tác giả Võ Kiều Trinh 71 Rook, S (2006) An economic psychological approach to herd behaviour Journal of Economic Issues, 15, 75–95 Scharfstein, D.S., Stein, J.C., (1990) Herd behaviour and investment The American Economic Review 80(3), 465–479 Sebora, T C., & Cornwall, J R (1995) Expected utility theory versus prospect theory: implications for strategic decision makers Journal of Managerial Issues, 7, 41–61 Shah, M U D., Shah, A., & Khan, S U (2017) Herding behaviour in Pakistan stock exchange: Some new sights Research in International Business and Finance, 42, 865-873 Shiller, R J (1984) Stock Prices and Social Dynamics Brookings Papers on Economic Activity, 457-498 Shiller, R J (2003), From efficient market theory to behavioral finance, Journal of Economic Perspectives, 17, 83–104 Shyu, J., Sun, H 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