1 1 NGHIEN ClJfU - TRAO DOI QUAN HE GIlJA HNX - INDEX VA KHOI Ll/OfNG CO PHIEU GIAO DjCH CUA NHA DAU Tl/ Nl/dC NGOAI PGS., TS Trvidng D o n g Lpe ThS D a n g Thi T h u y Du-ttog D a i h o c Can Thtf M lic tieu ciia nghien ciiu la kiem dinh moi quan he nhdn qua giita si/ bien dqng cua ehi so thi triictng vd khoi liCotng co phieu giao dich cua nhd ddu tit (NDT) nUdc ngodi tren Sd Giao dich Chiing khodn Hd Ngi (HNX) So lieu svC dung nghien ciiu ndy hao gom chudi chi so HNX-Index vd khdi liigtng cd phieu giao dich rdng theo thdi gian v&i tdn sudt tuan (weekly series) diicfc thu thap ket khodng thdi gian td ngdy 51612006 den ngdy 31fl2f2009 Si]( dung kiem dinh Granger, qud nghien ciiu cho thay sd thay ddi ciia chi sd HNX-Index co dnh hii&ng den khdi liicfng giao dich rong cua NDT niidc ngodi Tuy nhien, d chieu ngiicTc lai khdi liigtng gian dich rong ciia NDT niidc ngodi khong co dnh hiidng den si£ thay ddi cua chi sd HNX-Index Gidri t h i f u Cling vdi Sd Giao dich Chiing k h o a n Tp Hd Chi Minh, HNX da cd nhiing ddng gdp d a n g ke cho sif p h a t t r i e n ciia n e n k i n h te nudc ta t r o n g nhiing n a m viia qua Cac cd phieu n i e m yet t r e n HNX chii y€'u la cac cd phieu cd vdn hda nhd Vi vay, p h a n ldn cac NDT t h a m gia t r e n t h i trttdng la cac NDT nhd le va day la n h d m ddi tugng m a quyet dinh dau ttt bi chi phdi r a t ldn bdi yeu to t a m ly Trong thdi gian gan day da cd nhieu n h a n dinh m a n g t i n h chu quan cho r i n g khdi lugng cd phieu giao dich cua cac NDT nifdc ngoai cd nhiing a n h hudng n h a t dinh den t a m ly ciia cac NDT nhd le t r o n g nttdc va vi vay nd cd a n h hudng den sU bien ddng cua chi sd' thi trttdng Tuy n h i e n , theo stt hieu biet tdt n h a t ciia chiing tdi, cho den chtta cd mot n g h i e n cttu d i n h lugng nao ve mdi quan h e giiia chi sd' HNX-Index va khdi lugng cd phieu giao dich cua NDT nttdc ngoai dugc cdng bd' Vi vay, mue tieu eua n g h i e n n a y la k i e m dinh gia thuyet ve mdi quan h e n h a n qua giCa sU bien ddng ciia chi so' t h i trttdng va khdi Ittdng cd phieu giao dich cua NDT I nudc ngoai t r e n HNX Ket qua cua n g h i e n cttu n a y la b a n g chdng khoa hgc cd gia tri giup cac NDT nhd le cd quyet dinh hdp ly h d n t r o n g dau ttt, qua dd gdp p h a n dn dinh va p h a t t r i e n mdt each ben viing t h i trttdng chttng k h o a n Viet N a m Kiem dinh nghiem dctn vi De k i e m t r a t i n h dttng ciia cac chuoi so lieu nghien cttu, n g h i e n cttu n a y ehung tdi stt dung k i e m dinh ADF (Augmented Dickey Fuller) Phttong t r i n h cua kie'm dinh ADF cd d a n g nhtt sau: '^y, = ao + py,_,+X«*;'^>'.-;+e Ay, = a„ +8,+ Py,.,+T.^,^y,^j + £, PhUofng p h a p n g h i e n cufu Trong n g h i e n cttu nay, k i e m dinh Granger (Granger causality test) dttgc stt dung de xac dinh md'i quan he n h a n qua gitta chi sd HNX-Index va khdi Ittgng co phieu giao dich rdng cua NDT nttdc ngoai Kiem d i n h G r a n g e r yeu cau cac chuoi sd lieu p h a i cd t i n h nganhang So 62 •Thing 05/2011 dttng ( s t a t i o n a r y ) Vi vay, trttdc k h i suf dung k i e m dinh G r a n g e r , k i e m d i n h nghiem don vi (unit root test) dttdc stt dung de' k i e m t r a t i n h dttng cua cac chudi sd' lieu (1) (2) Md h i n h (2) k h a c vdi md h i n h (1) la ed t h e m bien xu httdng ve thdi gian 8^ Cac ky hieu t r o n g md h i n h (1) va (2) dttdc giai thich nhtt sau: ^ y t = yt - Yt-i y^: chudi sd lieu theo thdi gian dang xem xet k: chieu dai t r e (lag time) NGHIEN cufu - TRAO DOI s^: nhieu t r i n g Vi ket qua ciia kiem dinh ADF rat n h a y cam tdi stt Itta chon chieu dai tre (k) nen tieu chuan thdng tin dttgc p h a t trien bdi Akaike (Akaike Information Criterion - AIC) dttgc stt dung de Itta chgn k tdi tttt cho md hinh ADF (gia tri k dttgc Itta chgn cho AIC nhd nhat) Gia thuye't Hg(NulI Hypothesis) kiem dinh ADF la tdn tai mot nghiem don vi (P=0) va nd se bi bac bd neu gia tri kiem dinh ADF ldn hon gia tri tdi han cua nd Trong kiem dinh ADF, gia tri kiem dinh ADF khdng theo phan phdi chuan, vi vay gia tri tdi han dttdc dtta tren bang i H gia tri tinh s i n cua Mackinnon (1991) So sanh gia tri kiem dinh ADF vdi gia tri tdi han cua Mackinnon chttng ta se cd dttgc ket luan ve tinh ditag cho cac chudi quan sat - Neu 6, khac khdng va cd y nghia thdng ke, nhiftig p, khdng cd y nghia thi chttng ta ket luan r i n g stt bien ddng cua X la nguyen nhan gay stt bien ddng cua Y (uni-directional causality) Kiem dinh - Ne'u 5, khdng cd y nghia thdng ke, nhttttg p, khac khdng va cd y nghia thdng ke, thi chttng ta ket luan rang X chiu anh httdng bdi stt thay ddi ciia Y (unidirectional causality) Granger Kiem dinh Granger dttdc stt dung nghien ciiu nham xac dinh md'i quan he nhan qua gitta hai bien sd nao dd PhttOng trinh hdi quy kiem dinh Granger cd dang nhtt sau: t Y,= 00+ Z A * ^ - ' i- + Y.^,^-i+ '=1 k e I.I * _X, = ai+Y,,fiX,_, +'ZPiy,.i+v, - Neu ca 5, va p, deu khac khdng va cd y nghia thdng ke thi chiing ta ket luan r a n g X va Y tac ddng qua lai l i n (3) (bi-directional causality) (4) - Neu ca 6, va p, deu khdng cd y nghia thdng ke thi ehung ta ket luan rang X va Y la dgc lap vdi Trong nghien cttu nay, Y la khdi Ittgng giao dich rdng cua NDT nudc ngoai tren HNX va X la stt thay ddi cua chi so HNX-Index Chieu dai t r i (k) kiem dinh Granger cung dttdc Itta chgn dtta t r e n tieu chuan AIC So lidu suf d u n g So lieu dttgc stt dung nghien cttu bao gdm chudi chi sd HNX-Index va khdi IttOng giao dich rdng cua NDT nttdc ngoai t r e n HNX theo thdi gian vdi t a n suat (daily series) Cac chuoi dtt lieu dttgc thu t h a p khoang thdi gian ttt 5/6/2006 den 31/12/2009 Khdi Ittgng giao dich rdng cua NDT nttdc ngoai t r e n HNX dttgc congngh ngan hang So 62 •Thang 05/2011 Hi NGHIEN curu-TRAO edi thu thap la tdng khdi Ittdng giao dich mua trtt tdng khdi Ittgng giao dieh ban tinh theo Cac chuoi sd' lieu dttgc thu thap ttt website cua HNX (www.hnx.vn) va Cdng ty Cd phan Chttng khoan FPT (www.fpts.com.vn) Ket qua nghien cttfu Ket qud kiem dinh dam vi nghidm Do kiem dinh Granger yeu cau cac chudi so lieu quan sat phai cd tinh dttng (stationary), nen trttdc thtte hien kiem dinh Granger, kiem dinh nghiem ddn vi phai dttdc thttc hien nhtt mdt dieu kien bat bude Ket qua kiem dinh nghiem ddn vi ADF cd va khdng cd De thttc hien kiem dinh Granger, ben eanh viec kiem tra tinh dttng cua chuoi nghien cttu chttng ta cdn phai xac dinh dttdc chieu dai tre (k) thich hdp cho cac bien sd md hinh Trong nghien cttu nay, chieu dai tre (k) thich hdp nhat cho md hinh Granger dttdc xac dinh theo tieu chuan AIC vdi 12 tre khae (k=l de'n k=12) va t r i vdi gia tri AIC nho nhat dttdc tim thay tieu chuan la k=7 bac nhat (stt thay ddi cua chi so gitta hai phien lien ke) cua chi sd HNX-Index dttgc kiem dinh thi ke't qua lai cho thay gia thuye't H^ ve tinh khdng dttng bi bac bd d mttc y nghia 1% Ngoai ra, ke't qua nghien cttu dttdc trinh bay d Bang edn chi r i n g gia thuyet H^ ve tinh khdng dttng cua chuoi khdi Ittdng giao dieh rdng cua NDT nttdc ngoai tren HNX cung bi bac bd d mttc y nghia 1% Ke't qua eho phep ehung ta ke't luan rang chudi khdi Ittgng giao dich rdng cua NDT nttdc ngoai va chuoi khac biet bae nhat cua chi sd HNX-Index la cd tinh dttng Dieu cd nghia la hai chudi sd' lieu thda man dieu kien eua kiem dinh Granger Ke't qud kiem dinh Granger Tren ed sd ket qua kiem dinh nghiem ddn vi ADF va tieu chuan AIC, kiem dinh Granger dttdc thttc hien de xac dinh mdi quan he nhan qua gitta stt thay ddi cua chi sd HNX-Index va khdi Ittdng giao dich rdng cua NDT nttdc ngoai Ke't qua kiem dinh Granger dttdc trinh bay d Bang B&ng 1: Ket qua k i e m d i n h n g h i d m dota vi ADF ong CO xu hvorng thoi gian Chuoi so li^u Cliis6 HNX-Index (lc= 15) Khoi lugng giao dich rong cua NDT (k=6) Thay d6i cua HNX-Index (k=5) C6 xu huthig thoi gian -0,65 -1,66 -7,74" -7,76" -10,66' -10,66" Ket qua kiem dinh Granger cho thay gia thuye't H^ cho rang khdi Ittdng giao dich rdng cua NDT nttdc ngoai khdng cd ' : Co y nghia thong ke d mile 1% Nguon: Ket qud truy sudt tit phdn mim thong ke xu httdng ve thdi gian cho cac chudi sd lieu nghien cttu dttgc trinh bay d Bang Ke't qua kiem dinh ADF cho thay gia thuye't Hg ve tinh khdng dttng (non-stationary) cua chudi chi sd HNX-Index khdng the bi bac bd bdi vi gia tri kiem dinh cua nd nhd hdn gia tri tdi han tttdng lifng (Mackinnon's critical value) Tuy nhien, chudi khac biet B a n g 2: Ket qua k i e m d i n h Granger Gia thuyet (Ho) Gii trj thong ke F Khoi lugng giao dich rong cHa NBT nuoc ngoai tren HNX khong co anh huong den su thay d6i cua chi so HNXIndex 0,73 Chap nhan gia thuyet Ho Su thay doi cua chi so HNX-Index khong CO anh huong din khdi lugng giao djch rong ciia NDT nuoc ngoai tren HNX 1,52" Bac bo gia thuyet Ho b: Co y nghla thong he d miic 5% Nguon : Ket qud truy sudt tic phdn mem thong k& Cong nghe n g a n h a n g So 62 "Thang 05/2011 tre (k) DQ Ket luan NGHllNCtlU-TRAODdl a n h httdng de'n stt thay ddi cua chi sd HNX-Index khdng the bi bac bd Dieu cd nghia la khdi Ittdng giao dich rdng cua NDT nttdc ngoai k h d n g a n h httdng den stt thay ddi cua chi sd HNX-Index Ngttgc lai, gia thuyet H^ la stt thay ddi eua chi sd HNXIndex khdng a n h httdng de'n khdi Ittdng giao dich rdng cua NDT nttdc ngoai lai bi bac bd d mttc y nghia thdng ke 5% Viec bac bd gia thuyet H^ cho phep chttng t a k e t luan rSng stt t h a y ddi eua chi sd HNXIndex ed a n h httdng de'n khdi Ittdng giao dich rdng cua cac NDT nttdc ngoai t r e n HNX (vdi t r i b a n g 7) Anh hiidng cua sd thay doi chi sd HNX-Index den khdi liigtng giao dich rdng cua NDT niidc ngodi: kit qud phdn tich hoi quy Tr§n cd sd k e t qud kiem dinh Granger d tren, chiing tdi thttc hien bttdc tiep theo la xac dinh mttc a n h httdng cua stt thay ddi chi so HNXIndex de'n khdi Ittgng giao dich rdng cua NDT nttdc ngoai vdi cac t r i khac (k=7) b a n g phttttng phap p h a n tich hdi quy Phttdng t r i n h hdi quy dttdc stt dung p h a n cd dang nhtt sau: Hi B a n g 3: A n h hUdng c u a si^ thay doi c h i s o HNX-Index d e n khoi li^cfng giao dich r o n g c u a NDT nvidc ngoai Bien $6 He so ird'c lirong 9.019,92 Hang sd (C) (0,65) 0,40 Y(-l) (11,78)" 0,05 Y(-2) (1,39) 0,01 Y(-3) (0,25) 0,07 Y(-4) (2,18)" -384.542,9 X(-l) (-0,31) 4.216.900 X(-2) (3,33)" -785.757,5 X(-3) (-0,61) 253.622,6 (0,20) X(-4) -2.633.144 X(-5) (-2,08) " 544.506,1 X(-6) (0,43) -2.133.180 X(-7) (-1,74) Sd quan sat 892 R^ dieu chinh 0,21 Gia tri thdng ke F 21,40' ° '.• Co y nghla thong ke tuang iCng d miic 1% vd 5% Y(-l), Y(-2), Y(-3), Y(-4): Khoi liiang giao dich rong cua nhd ddu nUdc ngodi lan luat d cdc dd tri 1, 2, vd X(-l), X(-2), X(-3), X(-4), X(-5), X(-6), Xi-7): Sii thay doi cua chi sd VN-Index ldn luat a cac tri 1, 2, 3, 4, 5, 6, vd Gid tri thdng ke t duac trinh bay ddu ngoae dem Trong dd: Y^: khdi Ittdng giao dich rdng cua NDT nttdc ngoai d phien thttt Nguon: Ket qud truy sudt til phdn mem thdng ke X^: stt thay ddi cua chi sd HNXIndex d phien thtt t k: chieu dai t r i ve thdi gian (lag time) Cong nghe ngan hang So 62 "Thang 05/2011 I l l NGHIEN cufu - TRAO DOI Ke't qua phan tich hdi quy dttgc t r i n h bay d Bang eho thay khdi Ittgng giao dich rdng eua NDT nttdc ngoai d hien tai cd tttdng quan ty le thuan vdi khdi Ittgng giao dich rdng eua hg vdi tre k = l va k=4 Dieu cd nghia la neu khdi Ittgng giao dich rdng cua cac NDT nttdc ngoai t a n g d phien hien tai thi nd se tiep tuc t a n g d phien ke tiep va phien thtt ttt sau dd Cu the, neu khdi Ittgng giao dich rdng ciia NDT d phien hien tai tang t h e m trieu cd phieu thi khdi Ittgng giao dich rdng cua hg d phien lien ke va phien thtt ttt sau dd se t a n g them Ian Ittgt la 0,4 trieu va 0,07 trieu cd phieu Cac he so tttdng quan cd y nghia thdng ke tttong ttng d mttc 1% va 5% Ngoai ra, Bang cdn chi stt thay ddi cua chi so HNX-Index cd tttOng quan ty le thuan vdi khdi Ittgng giao dich rdng cua NDT vdi tre ve thdi gian la hai phien Dieu cd nghia la chi so HNX-Index t a n g d phien hien tai thi khdi Ittgng giao dich rdng cua NDT nudc ngoai tren HNX se tang d phien thtt hai sau dd va ngugc lai Cu the, neu chi so HNXIndex tang 1% d phien hien tai thi khdi Ittgng giao dich rdng cua cac NDT nudc ngoai d phien thtt hai sau dd se t a n g 4.216.900 cd phieu Mdi quan he ty le thuan cd y nghia thdng ke d mttc 1% Mat khac, ket qua phan tich hdi quy cdn cho thay, stt bien ddng cua chi sd HNX-Index cd tttong quan ty le nghich vdi khdi Ittdng giao dieh rdng cua NDT vdi t r i ve thdi gian la Cu the, ne'u chi sd HNX-Index d hien tai t a n g 1% thi khdi Ittgng giao dich cua NDT nttdc ngoai sau dd n a m phien se giam 2.633.144 cd phieu Md'i tttong quan cd y nghia thdng ke tttong ttng d mttc 5% Ket l u a n (2009), Mdi quan he giiia sii thay doi gid vdng vd gid cd phieu d Viet Nam, Tap chi Nghien cicu Kinh te, so 369 Brooks, Chris Econometrics (2002), Introductory for Finance, Cambridge, New York: Cambridge Dickey, D.A Autoregressive Root, Nghien cttu k i e m dinh mdi quan he n h a n qua gitta stt bien ddng cua chi sd' HNXIndex va khdi Ittdng giao dich rdng cua NDT nttdc ngoai Stt dung kiem dinh Granger, ket qua nghien cttu cho t h a y stt thay ddi cua chi sd' HNXIndex cd a n h httdng de'n khdi Ittgng giao dich rdng eua NDT nttdc ngoai Cu t h e , neu ehi so HNX-Index t a n g d h i e n tai thi khdi Ittgng giao dieh rdng ciia NDT nttdc ngoai t r e n HNX se t a n g d phien thtt hai va giam d phien thtt n a m sau dd Tuy nhien, d chieu ngttde lai khdi Ittgng giao dich rdng eiia NDT nttdc ngoai lai k h d n g cd a n h hudng de'n stt t h a y ddi eua chi sd HNX-Index N h d vay, md'i quan he gitta stt bien ddng ciia chi sd HNX-Index va khdi Ittgng giao dich rdng cua NDT nttdc ngoai chi dien r a mdt chieu (uni-directional causality) la ttt ehi sd HNXIndex de'n khdi Ittgng giao dich rdng cua NDT nttdc n g o a i " Tai lieu tham khao ; Truang Dong Lpe (2009), Moi quan he nhdn qud giQa gid co phieu vd khoi Tap chi Cong nghe TrUang Bdng Lpe, Vo Thi Hong Doan (1981), Likelihood conqnqhengan hang So 62 "Thang 05/2011 luong giao dich, Ngdn hdng sd 38, trang 32-37 University Press vd Fuller, W.A Ratio Statistics Time-Series Econometrica for with a Unit 49, trang 1057- 1072 Granger, C.W.J (1969), Investigating Causal Econometric Models Relations and Crose Spectral Econometrica, for R.F Engle J G (1991), Critical Cointegration tests, Cointegration, Press, trang vd C.Vf.J Granger: Long- Run Economic Relationships: in Methods, 37, trang 428-438 MacKinnon, Value by Oxford 267-276 Readings University ... chi sd HNXIndex ed a n h httdng de'n khdi Ittdng giao dich rdng cua cac NDT nttdc ngoai t r e n HNX (vdi t r i b a n g 7) Anh hiidng cua sd thay doi chi sd HNX- Index den khdi liigtng giao dich... cua chi sd HNX- Index cd tttong quan ty le nghich vdi khdi Ittdng giao dieh rdng cua NDT vdi t r i ve thdi gian la Cu the, ne'u chi sd HNX- Index d hien tai t a n g 1% thi khdi Ittgng giao dich... nghia la chi so HNX- Index t a n g d phien hien tai thi khdi Ittgng giao dich rdng cua NDT nudc ngoai tren HNX se tang d phien thtt hai sau dd va ngugc lai Cu the, neu chi so HNXIndex tang 1% d