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Kiem tra hanh vi theo d i m dong trong dieu kien thi trudng bat ddi xiing (thi trUcfng chi len hoac xudng) theo thdi gian ngay va tuan thi tam ly dam dong hien dien khong CO sii k[r]
(1)DAU Tl/TAI CHINH l l l l
TAIVI LY DAM DONG TREN THj TRl/GfNG CHIJfNG KHOAN THANH PHO HO c m IVIINH
ThS P h a m Thi Phufdng Loan DH T o n Dufc T h a n g ^ • F " ^ ^ di bdo sii dung mo hinh Chang, Cheng vd Khorana (2000) de kiem tra sU
K_^^^ hien dien cda tdm ly ddm dong tren thi trUdng chUng khodn (TTCK) Tp Ho Chi ^ ^^k Minh, dUa tren sd lieu hdng ngdy, hdng tuan, hdng thdng tU thdng 1/2001 den JKLa^^^ thdng 12/2008 Ket qud cho thdy tdm ly ddm dong hien hdu theo thdi gian ngdy vd tuan, tdm ly ddm dong theo ngdy mgnh hcfn theo tuan vd thdi gian ngdy thi thi trUdng xudng co tdm ly ddm dong mgnh han thi trUdng len
Gidfi t h i e u
T i m ly d i m dong h i n h t h a n h c i n h a n co h i n h vi t u i n theo h a n h dpng cua t a p t h e sau quan s a t nhufng dpng t h i i v i nhufng dupc-mi't p h a t sinh t u c i c dpng t h i i n i y (Hirshleifer va Teoh, 2003) H a n h vi theo d a m dong CO the t h o n g t i n r i e n g khong dupe chia se cong k h a i (Bikhchandani, Hirshleifer va Welch, 1992) h a y thieu t h o n g tin vi mo d i n g tin cay t r e n thi t r u d n g (Chang va c i c ddng t i c gia, 2000)
T i m ly d a m dong t h u h u t n h a dau tU chuyen n g h i e p v i n h a n g h i e n cdu hpc t h u a t Nhii'ng n h a dau tU chuyen n g h i e p quan t a m de'n t a m ly d a m dong vi k h i g i i CO t h e lech h u d n g k h o i gia t r i n e n t a n g va m a n g d e n cho hp ccf h p i giao dich s i n h ldi (Tan, C h i a n g , Mason va Nelling; 2008) T i m ly d a m dong cung t h u biit c i c n h a n g h i e n cdu vi t i c dpng ciia
h i n h vi cua n h a dau tU l e n sU dao d p n g ciia gia chUng k h o i n CO t h e a n h h u d n g de'n d i e d i e m riii ro, s i n h lpi cua chUng k h o i n va mo h i n h d i n h g i i t i i s a n (Tan v i c i c d d n g t i c gia, 2008)
S i n giao dich chUng k h o a n dau t i e n ciia Viet N a m r a ddi t h i n g 7/2000 t a i Tp Hd Chi M i n h vdi t e n gpi Trung t a m Giao dich ChUng k h o a n , sau ddi t e n t h i n h Sd Giao dich ChUng k h o i n Tp Hd Chi Minh (HOSE) De'n t h i n g 3/2005, s i n giao dich thU hai r a ddi t a i H i Npi co t e n gpi Trung t a m Giao dich ChUng k h o a n H i Npi (HASTC), sau
do ddi t e n t h i n h Sd Giao dich Cbijfng k h o a n H a Npi (HNX) Thi t r u d n g giao dich chUng k h o a n dang p h a t t r i e n cua Viet N a m la do'i tUpng de n g h i e n cUu n i y a p dung mo h i n h C h a n g va c i c ddng t i c gia (2000) de xua't n h a m k i e m t r a , lieu t a m ly d i m dong cd h i e n bUu khong Sd^ lieu giao dich cd phieu cua HOSE dupc chpn vi HOSE r a ddi sdm hofn so vdi HNX T i n h de'n n g a y 9/4/2010, t r e n s i n HOSE co 284 chUng k h o a n n i e m yet, t r o n g co 222 cd phieu, 58 t r i i phieu v i chdng chi vdi t d n g gia t r i n i e m y e t la 122.513, 834 ty ddng (Bang 1)
B a n g 1: Quy m o n i e m y e t thi trifolng t r e n HOSE
So chirng khoan niem yet Ti trpng (%)
Khoi lugng niem yet (ngan chijng khoan) Tl trQng(%)
Gia tri niem yet (trieu dong)
Ti trpng (%)
Toan thi truang
284,00
100,00
11.230.053,66
100,00
122.513.834,74
100,00
Co phieu
222,00
78,17
10.864.517,04
96,75
108.645.170,44
88,68
Chung chi
4,00
1,41
252.055,53
2,24
2.520.555,30
2,06
Trai phieu
58,00
20,42
1 ,
1,01
11.348.109,00
9,26
Khac
0,00
0,00
0,00
0,00
0,00
0,00
Nguon: Trang http://www.hnx.vn/, thdng 4.2010
Cong nghe ngan hang
(2)M h i n h v a so' l i e u
Christie a n d Huang (1995) sijf dung dp lech chuan cat n g a n g ciia s u i t sinh lpi (cross-sectional s t a n d a r d deviation of returns-CSSD) de k i e m t r a h i n h vi theo d i m dong t r e n TTCK My Cong thUe t i n h cua CSSD n h u sau:
CSSD 1 i:(.R,.-K.y (1) N-l
trong do:
R J la s u i t sinh lpi ciia chUng k h o a n eong ty i v i o thdi diem t, R^ J la trung b i n h cat ngang cua N s u i t sinh lpi d a n h muc chdng k h o i n ciia t h i trudng vao thdi diem t, N I i sd lupng chUng k h o i n d a n h muc t h i trUdng
PhUcfng p b i p t i n h n a y dinh lupng dp lech trung binh ciia c i c s u i t sinh lpi so vdi s u i t sinh lpi trung b i n h cua thi trUcfng
CSSD dupc hdi quy theo mo b i n h :
CSSD, =a + b^D^ + b.Df + e, (2)
Trong D^ v i D^ la hai bien gia D^ - neu s u i t sinh lpi t r u n g b i n h cua t h i trUcfng v i o t n a m 1% va 5% phia duoi dudi ciia p h a n phd^i s u i t sinh lpi trung binh thi trUcfng ( v i b a n g neu c i c trUdng hpp khac) D " = l neu s u i t sinh lpi trung b i n h cua t h i trudng vao t n a m 1% v i 5% phia duoi t r e n ciia p h i n phdi s u i t sinh lpi t r u n g binh t h i trUdng ( v i
b a n g neu c i c trudng hpp khac)
Trong dieu k i e n b i n h thudng, vi n h i dau tU c i n h i n giao dich dUa t r e n t h o n g tin rieng, da d a n g ciia m i n h n e n sU p h i n t i n s u i t sinh lpi t i n g cung vdi g i i t r i tuyet ddi cua s u i t sinh lpi t h i trUcfng
Tuy n h i e n t r o n g d i e u k i e n dao d p n g t h i trUcfng m a n h , n h i d a u tU co xu hUdng k h o n g dUa t r e n t h o n g t i n r i e n g cua m i n h m a cac q u y e t d i n h d a u tU t u a n t h e o h i n h d p n g t a p t h e t r e n t h i trUdng T r o n g t r U d n g h p p CO sU h i e n d i e n eiia h i n h vi t h e o d a m d o n g , s u i t s i n h lpi chUng k h o a n cd xu h u d n g tu h p p x u n g q u a n h s u i t s i n h lpi c h u n g c u a t h i t r u d n g H i n h vi n i y se d i n de'n sU gia t i n g p h i n t i n d toe dp g i a m d a n v a n e u t a m ly d a m d o n g m a n h , sU p h i n t a n g i a m di T h e o mo h i n h (2), g i i t r i b^ v i b^ a m CO y n g h i a tho'ng ke ngu y CO sU h i e n d i e n cua t a m ly d a m d d n g
Trong mpt n g h i e n cUu thUc tidn k h i c d n h i e u TTCK t r e n t h e gidi, C h a n g v i c i c ddng t i c gia (2000) de xua't c i e h tiep can mdi m a n h h p n de p h a t b i e n t a m ly d i m dong dUa t r e n quan h e giUa dp lech tuyet do'i cat n g a n g cua s u i t sinh lpi (cross-sectional absolute deviation of r e t u r n s -CSAD) va s u i t s i n h lpi chung cua t h i trUdng C i c h t i n h cua CSAD n h u sau:
=1 N
(3)
trong do:
R J sui't sinh lpi ciia chUng k h o i n cong ty i v i o t h d i diem t, R^j la t r u n g b i n h cat ngang cua N s u i t sinh lpi d a n h muc chUng k h o i n cua t h i trudng vao t h d i diem t, N I i sd lupng chUng k h o i n d a n h mue thi trUcfng
C i c t i c gia suf dung h a m hdi quy phi tuyen t i n h de kiem t r a quan he giOfa sU p h a n t i n s u i t sinh lpi (CSAD) va s u i t sinh lpi chung cua thi trUdng theo phuong t r i n h sau:
CSAD, =a + y, |i?„, | + y-^Rl, +e, (4)
Neu CO sU h i e n dien cua t a m ly d i m dong thi c i c t i c gia ky vpng sU p h i n t i n s u i t sinh lpi giam (hoac t a n g d td^c dp giam) cung vdi sU gia t a n g s u i t sinh lpi ciia thi trUdng Khi he so' Y2 m a n g da'u i m CO h i m y co sU h i e n dien cua h i n h vi theo d i m dong Neu k h o n g co t i m ly d i m dong, quan h e t r e n la tuyen t i n h t a n g , tUc I i sU p h a n t i n s u i t sinh lpi t a n g theo ty le vdi sU gia t a n g cua s u i t sinh lpi t h i trUcfng
De k i e m t r a k h a n a n g mUc dp ciia t a m ly d a m dong co t h e k h o n g ddng bp dieu k i e n t h i trUcfng len va xud^ng, C h a n g va cac ddng t i e gia (2000) dUa r a c i c phUdng t r i n h :
CSAD';- = a+/,"ã jô,";|+rf (RZJ+S, if ô,>o(5) C5.4D,""" =<=+r,"'"|C"|+rr1C"'f+Ê, if ^ <o(6)
(3)DAU Tl/TAI CHINH II
vdiK:|.|<r|la gia tri tuyet ddi cua trung binh sua't sinh lpi cua thi trudng vao n g i y t thi trudng len, xudng
De kiem tra tam ly dam dong tren TTCK Viet Nam, nghien cUu suf dung so lieu gii cac cd phieu h i n g ngiy, tuan, t h i n g tU 1/1/2001 den 31/12/2008 vdi sua't sinh lpi dupc tinh theo cong thufc rieng i?, = ln(P,) - ln(P,_,) suit sinh lpi thi trUofng tinh toin dUa tren chi sd VN-Index Ket qua thiic n g h i e m Bang tom t a t ket qua tho'ng ke cua CSAD^ va s u i t sinh lpi trung binh cua thi trudng R^J.Bang tdm t a t ket qua hdi quy toan thi trudng cua CSAD^ theo R^j theo ngay, tuan, t h i n g Cac he so' j,^ am v i cd y nghia thd^ng ke (trU trUdng hpp lieu t h i n g co he so' Yj am nhUng khong co y nghia thd^ng ke) cho t h i y CO sU hien dien ciia t i m ly dam dong T i m ly d i m dong thdi gian manh hcfn thcfi gian tuan vi gia tri tuyet dd^i ciia y^ theo sd^ lieu ldn horn theo so lieu tuan Ket qua n i y nhat quan vdi quan s i t ciia Christie va Huang (1995) "hanh vi theo dam dong la hien tUpng ngan ban" va vdi cac trudng hpp khao s i t cua Tan va cac ddng t i c gia (2008), Caporale, Economou va Philippas (2008)
B a n g 2: Th6'ng k e mo
Jan 2001-Dec 2008 Observations Minimum Maximum Mean Standard deviation
DO-CSAD
1,881 0.0002 0.0820 0.0129 0.0084
ta
leu
K.,
1,881 -0.0766 0.0774 0.0002 0.0178
Dir lieu tuan CSAD
400 0.0000 0.1104 0.0251 0.0184
K,.,
400 -0.1350 0.1277 0.0012 0.0370
Du lieu thang CSAD
96 0.0058 0.2465 0.0691 0.0445
R„, 96 -0.3550 0.3369 0.0032 0.1188
Nguon: Ket qud truy sudt tU Eviews 4.0 B a n g 3: Ket qua h o i quy t o a n thi trvfofng
a
t-statistic X t-statistic
t-statistic Adjusted
R-CSAD, =
Du lieu 0.0092 (29.963)* 0.4992 (13.857)* -7.0196 (-10.266)* 0.110
a+hR,„.,+r2K
Dii lieu tuan 0.0144 (10.743)* 0.6411 (8.243)* -3.6160 (-5.185)* 0.214
+ e,
Du lieu thang
0.046 (6.603)* 0.269 (1.916)*** -0.004 (-0.007) 0.234
Ohi chu: Sd lieu ngoac la cdc thdng ke t dUa tren cdc sai sd chudn theo nghien cUu cUa Newey-West (1987) Ky hieu *,** vd *** tuang Ung vdi cdc mice y nghia 1%, 5% vd 10%
Nguon: Ket qud truy sudt tii Eviews 4.0
ca^„.,„ ,i s ngan hang
(4)K e t l u a n
Nghien cUu dUa t r e n mo hinh cua Chang va c i c ddng t i c gia (2000) de k i e m t r a sU h i e n dien h a n h vi theo d i m dong t r e n TTCK Tp Hd Chi Minh DUa t r e n sd lieu hang n g i y , tuan, t h i n g tU 1/1/2001 de'n 31/12/2008, k e t qua cho tha'y CO sU h i e n dien cua h i n h vi theo d i m dong t r e n thi trudng T i m ly d i m dong thdi gian n g i y m a n h hon thdi gian tuan, eon thdi gian thing, chUa the khang dinh co t i m ly
B a n g t o m t a t k e t qua hdi quy dieu k i e n t h i trUdng b i t c i n xUng (chi len hoac xud^ng) theo ngay, tuan, t h i n g C i c he sd^ y^ ^^^ va co y nghia t h d n g ke (trU trUdng hpp dOf lieu t h i n g co cac he sd^ Yg k h o n g co y nghia thd^ng ke) Ddi vdi sd^ lieu n g i y v i tuan, k e t qua cho t h i y t i m ly d i m dong d thi trUdng xud^ng m a n h hun d thi trUdng len (gii tri tuyet ddi ciia Yg of thi trUdng xudng ldn hOn cf thi trudng len) nhUng k e t qua kiem dinh Wald cho tha'y t i m ly d i m dong d thi trudng len va xud^ng chi co sU khac biet t h d n g ke t i n h b i t c i n xdng d thdi gian ngay, khong co sU k h a c biet tho'ng ke d thcfi gian tuan Rieng ddi vdi sd lieu t h i n g , k e t q u i hdi quy t o i n thi trudng cho t h i y he sd Ya khong co y nghia t h d n g ke n e n khong xet den t i m ly d i m dong co t i n h b i t c i n xUng hay khong dieu kien thi trUdng len v i xud^ng
B a n g K e t qua h o i quy thi trUdng l e n v a x u o n g
4A: Ket qua hoi
a t-statistic
Tl
t-statistic t-statistic Adjusted R^
4B: K6tquah6i
a t-statistic
Yi
t-statistic
ll
t-statistic Adjusted
R-4 C: Wald Test
11 l l
F-statistic value
quy thi truong len CSAD"," = Dii lieu (912 quan sat) 0.0097 (20.225)* 0.3963 (7.182)* -5.8966 (-5.359)* 0.062
a+rr RZ +yT[R::he
Dii lieu tuan (191 Du lieu thang (48 quan quan sat) sat) 0.0153
(6.786)* 0.56129 (4.526)* -2.7522 (-2.333)** 0.180
quy thi truong xuong CSAD°°'"' = Dii lieu (963 quan sat) 0.0087 (22.110)* 0.6188 (12.987)* -8.5082 (-9.810)* 0.174
^ + /°°™ nD'OWN
Dii lieu tuan (187 quan sat) 0.018 (9.799)* 0.493 (4.478)* -2.766 (-3.022)** 0.1399
H,: /f-rr'™=0
Dii lieu (5.633762)**
Du lieu tuan (0.000136)
0.050 (4.496)* 0.0958 (0.418) 0.9857 (1.119) 0.272
+ r?°'^{R°u"'l+e, Dii lieu thang (48 quan 0.0430
(5.560)* 0.3728 (2.414)** -0.660 (-1.266) 0.219
Dii lieu thang sat)
Nguon: Ket qud truy sudt tic Eviews 4.0
• ongngbf ngan hang
(5)DAU Tl/TAI CHINH
d i m dong Kiem tra hanh vi theo d i m dong dieu kien thi trudng bat ddi xiing (thi trUcfng chi len hoac xudng) theo thdi gian va tuan thi tam ly dam dong hien dien khong CO sii khac biet thdng ke giOfa hai thi trUdng thdi gian tuan nhung co sU khac biet thdng ke thcfi gian Dua vao gia tri tuyet ddi ciia he sd Ya thcfi gian thi thi trUcfng xudng c6 t i m ly d i m dong manh hcfn thi trUdng len
Tam ly d i m dong hien hOfu tren nhijfng TTCK dang phat trien nhu Viet Nam nhieu nguyen nhan: (i) Theo Chang va cic ddng t i c gia (2000), h a n h vi theo d i m dong co the la ket qua cua sU can thiep cao cua Chinh pbij thong qua chinh sich tai khoa hay thong qua lenh mua b i n true tiep vdi sd lUPng ldn; (ii) Hanh vi theo d i m dong thieu thong tin vi mo d i n g tin cay tren thi trUdng Khi viec cong bd thong tin khong day du, n h i dau tU thieu thong tin ccf ban ve cic cong ty va do n h i dau tU giao dich dUa tren cac tin ddn hoac tap trung vio cic thong tin vi mo; (iii) TTCK dang p h i t trien nhu Viet Nam CO nhieu nha dau tU ludt song ngan ban Loai n h i dau tU thudng chi dUa vao mot ngudn thong tin va dan tcfi c6 h a n h vi tUtfng ddng (Froot, Scharfstein va Stein; 1992), tUc gay tam ly d i m dong tren thi trUdng Tai Viet Nam, cac ccf quan quan ly tang cUdng cac bien p h i p de bao ve nha dau tU va giup TTCK boat dong minh bach Cu
the, Bp Tai chinh da ban h a n h Thong tu sd 09/2010/TT-BTC, 15/1/2010 hUcfng d i n ve cong bd thong tin tren TTCK Mot nhijCng npi dung chinh sLia ddi dupc quan t a m nha't tai Thong t u la cic quy dinh ve cong bd thong tin cua cong ty dai chiing v i td chUc niem yet n h a m tang cUdng tinh minh bach cua thi trUdng, bao ve tdt hcfn quyen lpi ciia nha dau tU Ddi vdi cic td chUc p h i t h i n h , cong ty niem yet, viec cong bd thong tin cong khai v i chinh x i c de n h a dau tU an t i m khong phai dUa v i o tin ddn hoac thong tin khong chinh x i c r a quyet dinh giao dich Theo nghien cUu ciia Chang v i cic ddng t i c gia (2000), tam ly d i m dong hien hOfu tai cac TTCK p h i t trien it hom tai cic TTCK dang p h i t trien Co the ly giai rang, mpt nhiJfng ly I i n h i dau tu tren TTCK phat trien c6 nhieu kinh nghiem giao dich v i trang bi tdt kie'n thUc, thong tin Ddi vdi nha dau tU tai Viet Nam, chef dpi thi trUdng van h a n h mpt cich hoan hao thi nha dau tU phai biet chpn lifa thong tin dung va r a quyet dinh phu hpp
H a n che cua nghien eUu la phan xuf ly sd lieu phai trai qua nhieu bUdc trung gian nen thdi gian keo dai Ngoii ra, nghien cUu chUa xem xet h i n h vi theo d i m dong tren TTCK Ha Npi de CO cai nhin tdng quan tren toan TTCK dang p h i t trien cua Viet N a m "
Tai lieu tham khao
1 Bikkciiandcmi, S., Hirshleifer, D., and Welch, I (1992), A Theory of Fads, Fash-ion, Custom, and Cultural Change as In-formational Cascades, Joumal of Politiad Economy, Vol 100, No 5, pp 992-1026 2 Caporale, G.M., Economou, F., and Philippas, N (2008), Herding behaviour in extreme market conditions: the case of the Athens Stock Exchange, Economics Bulletin, Vol 7, Na 17, pp.1-13
3 Chang, E.C., Cheng, J.W., and Kho-rana, A (2000), An Examination of Herd Behavior in Equity Markets: An International Perspective, Journal of Banking and Finance, Vol 24, pp 1651-1679
4 Christie, W.G., and Huang, RD (1995), Following the Pied Piper: Do Individual Returns Herd around the Market?, Financial Analysts Journal, Vol 51, pp 31-37
5 Newey, W K and West, K (1987), A simple positive semi-definite,
heteroskedasticity and autocorrelation consistent covariance matrix, Econo-metrica Vol 55, No 3, pp 703-708 6 Hirshleifer, D and Teoh, S.T (2003), Herd Behaviour and Cascading in Cap-ital Markets: a Review and Synthesis, European Financial Management Jour-nal, Vol 9, No 1, pp 25-66
7 Froot, K A, Scharfstein, D S., and Stein, J C (1992), Herd on the Street: Informational inefficiencies in amarket with short-term speculation, Joumal of Finance, Vol 47, pp 1461-1484 8 Tan, L., Chiang, T C, Mason, J R and Nelling, E (2008), Herding behav-ior in Chinese stock markets: An ex-amination of A and B shares, Pacific-Basin Finance Journal, Vol 16, No 1-2, pp 61-77
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