Luận văn thạc sĩ Phân tích tác động của các nhân tố kinh tế vĩ đến chỉ số giá chứng khoán Việt Nam

B TR NHÂN T GIÁ CH LU TP H – B TR NHÂN T GIÁ CH Chuyên ngành: Mã s : Kinh t ài – Ngân hàng 60.31.12 LU NG D N KHOA H C TS THÂN TH THU TH Y TP H – L ng n i dung lu t qu c a trình h c t p, nghiên c u khoa h c l p nghiêm túc c a Tôi Các s li u lu trung th c thu th p t nh ng ngu n th oan r ng lu y c cơng b b t k m t cơng trình nghiên c u Thành ph H Tác gi ng M L M CL C DANH M C CÁC T VI T T T DANH M C B NG, BI U DANH M C HÌNH V M TH U tv M c tiêu nghiên c u ng ph m vi nghiên c u u K t c u c a lu T NG QUAN CÁC NHÂN T KINH T V NG N CH S GIÁ CH NG KHOÁN 1.1 T ng quan v th ng ch ng khoán ch s giá ch ng khoán 1.1.1 T ng quan v th ng ch ng khoán 1.1.1.1 Khái ni m v th ng ch ng khoán 1.1.1.2 Các ch th tham gia th 1.1.1.3 Hàng hóa th ng ch ng khoán ng ch ng khoán 1.1.2 Ch s giá ch ng khoán 1.1.2.1 Khái ni m 1.1.2.2 Ý ngh 1.1.2.3 Phân lo i 1.1.2.4 1.2 Các nhân t kinh t v s giá ch ng khoán n ch s giá ch ng khoán 11 1.2.1 T ng s n ph m qu c n i 11 1.2.2 L m phát 12 1.2.3 Lãi su t 13 1.2.4 T giá h 16 1.2.5 Cung ti n 16 1.2.6 1.3 ng tín d ng 18 Các nghiên c u th c nghi m v nhân t v n ch s giá ch ng khoán th gi i 19 1.3.1 Serkan Yilmaz Kandir nghiên c u bi n kinh t v i t su t sinh l i c a ch ng khoán Th Nh 19 1.3.2 Ramin Cooper Maysami, Lee Chuin Howe, Mahoamad Atkin Hawzah 20 K t lu 22 PHÂN TÍCH M I QUAN H GI A CÁC NHÂN T KINH T V À CH S GIÁ CH NG KHOÁN VI T NAM 23 2.1 T ng quan v th ng ch ng khoán Vi t Nam 23 2.1.1 L ch s hình thành phát tri n 23 2.1.2 Th c tr ng ho ng 23 2.2 Phân tích bi 2.3 Phân tích m i quan h gi a nhân t kinh t v ch s giá ch ng khoán Vi t Nam 37 2.3.1 Giá tr s ng c a ch s giá ch ng khoán Vi t Nam 27 ng công nghi p 39 2.3.2 L m phát 40 2.3.3 Lãi su t 41 2.3.4 T giá h 42 2.3.5 Cung ti n 43 2.3.6 2.4 ng tín d ng 44 ng ng c a nhân t kinh t v n ch s giá ch ng khoán Vi t Nam 45 2.4.1 Mơ hình phân tích 45 2.4.2 Ch n m u d li u mơ hình ng 45 2.4.2.1 Ch n m u d li u 45 2.4.2.2 Mơ hình ng 45 2.4.3 Phân tích k t qu h i quy 46 2.4.3.1 Ki nh tính d ng c a s li u 46 2.4.3.2 ình h i quy 48 2.4.3.3 Ki 2.4.4 Ki ng liên k t 49 nh mơ hình h i quy 49 2.4.4.1 Ki nh m c ý ngh a h s h i quy 49 2.4.4.2 Ki ng n 49 2.4.4.3 Ki i 52 2.4.5 Mơ hình K t lu ng t 53 55 GI I PHÁP NH M H N CH S NG B NG C A CÁC NHÂN T KINH T V N CH S GIÁ CH NG KHOÁN VI T NAM 56 c l p b i NHNN 56 3.1 Chính sách ti n t ph 3.2 Tái c u trúc h th 3.3 Tái c u trúc n n kinh t 3.4 nh t giá h 3.5 Các gi i 58 sách hi u qu 60 65 i v i th 3.5.1 Nâng cao ch 67 ng ch ng phân tích, d báo th ng ch ng khốn 67 3.5.2 Cơng khai, minh b ch hóa thơng tin 68 3.5.3 Nâng cao nâng l c qu n lý nhà n i v i th 3.5.4 ng c a th ng ch ng khoán 70 3.5.5 d ng công c phái sinh 71 3.5.6 D báo bi n kinh t v 3.5.7 K t lu K T LU N ng d ng mơ hình c quy ng ch ng khốn 68 73 ng vào d báo giá ch ng khoán 73 .74 75 TÀI LI U THAM KH O 76 PH L C .77 DANH M CPI : Ch dùng DNNN : Doanh nghi DNNY : Doanh nghi EPS : Thu nh ETF : Exchange Traded Fund GDP :T HASTC : Trung tâm giao d HNX :S ành ph HOSE :S ành ph êm y ên m m qu NHTM NHNN NHTW SGDCK :S UBCK : TTCK : Th TTGDCK : Trung tâm giao d TTLKCK ý ch àN àN DANH M B Các bi B K B K B K B K B Ma tr B K B K B K B K B K ình (2.3) B H – 2007 tính theo v ình (2.1) ên k ình (2.2) ình (2.1) ình (2.1) ình (2.1) ài s DANH M HÌNH V V ên GDP S êm y S – 2011 ài kho – 2011 S Di công ty qu - Di Di - -2007 - Di Di -2007 - 3/2009 - - 3/2009 - - 8/2010 Di -Inde Di - 8/2010 - Di -12/2011 - - 12/2011 VN – Index HNX- – 12/2011 Giá tr L ch ch ch Lãi su liên ngân hàng ch T Cung ti ch ch ch - 2010 M Th àm n n ên th th ãt Ngày 28/07/2011 v tròn 11 n ho ã i nh ị m tr ì ành m òi h doanh nghi Vi ên, th ã bi ên nhân tác – 2007 mà ch -Index ên, ã gi àt th -Index ch òn n m Chúng ta c c ìm nguyên nhân tác mà bi às khốn, th khốn, m Chính l ên nhân ch ên nhân quan tr ài “ ên c nhân t ch 93 PH K t qu ki nh nghi c a bi n IO Null Hypothesis: D(IO) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) t-Statistic -6.979223 -3.639407 -2.951125 -2.614300 Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(IO,2) Method: Least Squares Date: 02/09/12 Time: 18:30 Sample (adjusted): 2009M03 2011M12 Included observations: 34 after adjustments Variable Coefficie nt Std Error t-Statistic Prob D(IO(-1)) C -1.199840 0.171916 1037.541 751.5456 -6.979223 1.380543 0.0000 0.1770 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.603517 0.591126 4284.548 5.87E+08 -331.5475 48.70955 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 63.73529 6700.550 19.62044 19.71023 19.65106 2.119422 94 PH K t qu ki nh nghi c a bi n CPI Null Hypothesis: D(CPI) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -2.162904 -3.639407 -2.951125 -2.614300 0.2228 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(CPI,2) Method: Least Squares Date: 02/09/12 Time: 18:32 Sample (adjusted): 2009M03 2011M12 Included observations: 34 after adjustments Variable Coefficie nt Std Error t-Statistic Prob D(CPI(-1)) C -0.224417 0.103757 0.044923 0.163853 -2.162904 0.274166 0.0381 0.7857 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.127546 0.100282 0.954503 29.15443 -45.63010 4.678155 0.038127 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.029412 1.006292 2.801771 2.891556 2.832390 2.065195 95 PH K t qu ki nh nghi c a bi n IR Null Hypothesis: D(IR) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -5.780035 -3.639407 -2.951125 -2.614300 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(IR,2) Method: Least Squares Date: 02/09/12 Time: 18:33 Sample (adjusted): 2009M03 2011M12 Included observations: 34 after adjustments Variable Coefficie nt Std Error t-Statistic Prob D(IR(-1)) C -1.019640 0.176407 0.193576 0.170823 -5.780035 1.133195 0.0000 0.2656 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.510769 0.495481 0.975220 30.43371 -46.36015 33.40880 0.000002 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.007353 1.372978 2.844714 2.934500 2.875334 1.976554 96 PH K t qu ki nh nghi c a bi n EX Null Hypothesis: D(EX) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -6.332432 -3.639407 -2.951125 -2.614300 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(EX,2) Method: Least Squares Date: 02/09/12 Time: 18:33 Sample (adjusted): 2009M03 2011M12 Included observations: 34 after adjustments Variable Coefficie nt Std Error t-Statistic Prob D(EX(-1)) C -1.102245 0.174063 103.9732 51.78847 -6.332432 2.007652 0.0000 0.0532 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic 0.556170 0.542300 285.0831 2600716 -239.4078 40.09970 Mean dependent var 4.176471 S.D dependent var 421.3871 Akaike info criterion 14.20046 Schwarz criterion 14.29025 Hannan-Quinn criter 14.23108 Durbin-Watson stat 2.002195 97 PH K t qu ki nh nghi c a bi n M2 Null Hypothesis: D(M2) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -3.572279 -3.639407 -2.951125 -2.614300 0.0118 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(M2,2) Method: Least Squares Date: 02/09/12 Time: 18:34 Sample (adjusted): 2009M03 2011M12 Included observations: 34 after adjustments Variable Coefficie nt Std Error t-Statistic Prob D(M2(-1)) C -0.526655 0.147428 -0.165563 0.250187 -3.572279 -0.661757 0.0011 0.5129 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.285095 0.262754 1.452847 67.54443 -59.91314 12.76117 0.001145 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.084706 1.692051 3.641949 3.731735 3.672569 2.375606 98 PH K t qu ki nh nghi c a bi n CR Null Hypothesis: D(CR) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -2.966082 -3.639407 -2.951125 -2.614300 0.0484 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(CR,2) Method: Least Squares Date: 02/12/12 Time: 01:56 Sample (adjusted): 2009M03 2011M12 Included observations: 34 after adjustments Variable Coefficie nt Std Error t-Statistic Prob D(CR(-1)) C -0.425012 0.143291 -0.034494 0.375093 -2.966082 -0.091962 0.0057 0.9273 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.215641 0.191130 2.183927 152.6252 -73.77153 8.797642 0.005663 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.025882 2.428279 4.457149 4.546934 4.487768 1.867274 99 PH K T QU NG MƠ HÌNH H I QUY Dependent Variable: VNI Method: Least Squares Date: 02/09/12 Time: 18:36 Sample: 2009M01 2011M12 Included observations: 36 Variable C IO CPI IR EX M2 CR R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficie nt Std Error t-Statistic Prob -0.964094 2.894598 -0.757571 -1.194506 1.094316 0.929330 3.092109 0.3430 0.0071 0.4548 0.2420 0.2828 0.3604 0.0044 -263.6069 0.004436 -3.160483 -9.229879 0.018421 3.791304 4.472228 273.4243 0.001532 4.171862 7.726945 0.016834 4.079608 1.446336 0.761876 0.712609 41.39676 49697.05 -181.2251 15.46424 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 449.9436 77.22004 10.45695 10.76485 10.56442 1.007877 100 PH KI NG LIÊN K T Null Hypothesis: UT has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -4.155090 -3.646342 -2.954021 -2.615817 0.0027 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(UT) Method: Least Squares Date: 02/09/12 Time: 18:39 Sample (adjusted): 2009M04 2011M12 Included observations: 33 after adjustments Variable UT(-1) D(UT(-1)) D(UT(-2)) C R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficie nt Std Error t-Statistic Prob -4.155090 1.283318 2.763305 0.295190 0.0003 0.2095 0.0098 0.7700 -0.731555 0.228065 0.453377 0.450353 0.176062 0.177715 0.164071 1.525639 0.419189 0.359105 8.737130 2213.786 -116.2232 6.976731 0.001127 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.236278 10.91379 7.286253 7.467648 7.347287 1.942018 101 PH K T QU NG H I QUI PH Dependent Variable: CPI Method: Least Squares Date: 02/10/12 Time: 21:55 Sample: 2009M01 2011M12 Included observations: 36 Variable C IO IR EX M2 CR R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficie nt Std Error t-Statistic Prob 1.482506 -2.877766 3.032330 0.358231 -6.573335 0.205085 0.1486 0.0073 0.0050 0.7227 0.0000 0.8389 20.85430 -0.000191 1.237437 0.000316 -0.756380 0.013518 14.06693 6.65E-05 0.408081 0.000882 0.115068 0.065915 0.922544 0.909635 1.895154 107.7483 -70.81481 71.46356 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 11.60417 6.304408 4.267489 4.531409 4.359604 0.638526 102 PH KI PH Ki NH B B T BI N nh b b t bi n CPI ình (2.1) Redundant Variables Test Equation: UNTITLED Specification: VNI C IO CPI IR EX M2 CR Redundant Variables: CPI t-statistic F-statistic Likelihood ratio Value 0.757571 0.573914 0.705487 df 29 (1, 29) Probability 0.4548 0.4548 0.4009 Sum of Sq 983.5116 50680.56 49697.05 49697.05 df 30 29 29 Mean Squares 983.5116 1689.352 1713.691 1713.691 Value -181.5778 -181.2251 df 30 29 F-test summary: Test SSR Restricted SSR Unrestricted SSR Unrestricted SSR LR test summary: Restricted LogL Unrestricted LogL Restricted Test Equation: Dependent Variable: VNI Method: Least Squares Date: 02/09/12 Time: 20:22 Sample: 2009M01 2011M12 Included observations: 36 Variable C IO IR EX M2 CR Coefficient Std Error -313.8556 0.004944 -12.43949 0.016560 6.227378 4.373627 263.3667 0.001368 6.415830 0.016535 2.492661 1.430201 t-Statistic Prob -1.191706 3.614468 -1.938875 1.001535 2.498285 3.058049 0.2427 0.0011 0.0620 0.3246 0.0182 0.0047 103 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.757164 0.716691 41.10173 50680.56 -181.5778 18.70802 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 449.9436 77.22004 10.42099 10.68491 10.51310 1.024852 104 PH Ki nh b b t bi n ình (2.1) Redundant Variables Test Equation: UNTITLED Specification: VNI C IO CPI IR EX M2 CR Redundant Variables: CPI EX F-statistic Likelihood ratio Value 0.781370 1.889489 df (2, 29) Probability 0.4672 0.3888 Sum of Sq 2678.055 52375.11 49697.05 49697.05 df 31 29 29 Mean Squares 1339.028 1689.520 1713.691 1713.691 Value -182.1698 -181.2251 df 31 29 F-test summary: Test SSR Restricted SSR Unrestricted SSR Unrestricted SSR LR test summary: Restricted LogL Unrestricted LogL Restricted Test Equation: Dependent Variable: VNI Method: Least Squares Date: 02/09/12 Time: 20:19 Sample: 2009M01 2011M12 Included observations: 36 Variable Coefficient Std Error C IO IR M2 CR -62.58264 0.005413 -7.950967 5.080590 4.945104 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood 0.749044 0.716663 41.10377 52375.11 -182.1698 80.11240 0.001285 4.591279 2.214216 1.311511 t-Statistic Prob -0.781185 4.211785 -1.731754 2.294532 3.770540 0.4406 0.0002 0.0933 0.0287 0.0007 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 449.9436 77.22004 10.39832 10.61826 10.47509 105 F-statistic Prob(F-statistic) 23.13196 0.000000 Durbin-Watson stat 1.008082 106 PH K T QU H I QUY SAU KHI B B T BI N Dependent Variable: VNI Method: Least Squares Date: 02/10/12 Time: 22:06 Sample: 2009M01 2011M12 Included observations: 36 Variable C IO IR M2 CR R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficie nt Std Error t-Statistic Prob -0.891332 4.605251 -2.374176 1.798969 4.198233 0.3796 0.0001 0.0240 0.0818 0.0002 -68.81363 0.006363 -12.52848 4.019018 5.537137 77.20313 0.001382 5.276978 2.234067 1.318921 0.767218 0.737182 39.58745 48582.15 -180.8167 25.54301 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 449.9436 77.22004 10.32315 10.54308 10.39991 1.120623 107 PH KI I Heteroskedasticity Test: White F-statistic Obs*R-squared Scaled explained SS 2.193240 21.37869 8.096125 Prob F(14,21) Prob Chi-Square(14) Prob Chi-Square(14) 0.0504 0.0923 0.8843 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 02/11/12 Time: 06:45 Sample: 2009M01 2011M12 Included observations: 36 Variable C IO IO^2 IO*IR IO*M2 IO*CR IR IR^2 IR*M2 IR*CR M2 M2^2 M2*CR CR CR^2 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficie nt Std Error t-Statistic Prob 0.254777 -1.952555 1.994810 -2.498751 1.398065 0.690074 3.879051 -1.083895 -2.258074 -0.037779 0.030178 0.417271 -0.732494 -1.944790 1.247089 0.8014 0.0643 0.0592 0.0208 0.1767 0.4977 0.0009 0.2907 0.0347 0.9702 0.9762 0.6807 0.4720 0.0653 0.2261 6995.899 -2.570800 2.28E-05 -0.153505 0.037208 0.013874 18704.68 -164.9682 -216.4122 -3.192706 50.90499 17.87050 -32.96527 -1515.624 22.18334 27458.90 1.316634 1.14E-05 0.061433 0.026614 0.020105 4821.974 152.1995 95.83929 84.50990 1686.805 42.82707 45.00415 779.3254 17.78810 0.593853 0.323088 1138.050 27198333 -294.7144 2.193240 0.050409 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 1349.504 1383.233 17.20636 17.86616 17.43665 2.414638 ... nguyên nhân tác mà bi às khoán, th khoán, m Chính l ên nhân ch ên nhân quan tr ài “ ên c nhân t ch M nghiên c giá ch Vi – Index kinh t v Vi giá ch g khoán àm h sách kinh t t ph v ò kênh huy kinh. .. ng 23 2.2 Phân tích bi 2.3 Phân tích m i quan h gi a nhân t kinh t v ch s giá ch ng khoán Vi t Nam 37 2.3.1 Giá tr s ng c a ch s giá ch ng khốn Vi t Nam 27 ng cơng nghi... 100.00 - (Ngu 2.3 Phân tích m nhân t kinh t v ) ch khoán Vi Các nhân t ph ãi su liên ngân hàng, t ài ra, có s – Index HNX – Index nên ình phân tích ch ký hi – Index Các bi 38 B STT Các bi Bi Mã Ngu