HIEU
UTNGLAN TRUYEN GI0A THj TRl/OfNG DAU THO
VA TH! TRUdNG CHUfNG KHOAN TRONG THdl KY KHUNG HOANG TAI CHINH
Ngdy nhan: 08 12/2015 Ngdy nhan lai: 17/02/2016 Ngiy diiy$t dang; 10 10'2016 Ma a8: 10-16-15
Huynh Thi Thuy Vy (*)
»
Tdm tdt: Bdi viit nghien ciiu hieu iing lan truyen giUa thi triCdng ddu thd (TTDT) thi gidi vd thi trudng chang khodn (TTCK) Viet Nam trong thdi ky khung khodng tdi chinh 2008-2009. Si2 dung cdc hdm Copula khdc nhau, tdc gid khong tim thdy si/ phu thugc giSa hai chuSi sudt sinh lgi (SSL) cua ddu vd chiing khodn. Do dd, khdng ton tgi hieu iing lan truyen gida hai thi trUdng ndy.
Tic do, tdc gid dUa ra mot so di xudt dudi goc do qudn tri riii ro vd dieu hdnh kinh ti vi md trong giai dogn khung hodng gid ddu.
Tut khda: Copula, lan truyen, thi trUang chdng khodn, thi trUdng ddu thd.
Abstract: The paper investigates spillovers between world oil and Vietnam stock markets during the 2008-2009 financial crisis. Using Copula functions, the author did not find any evidence of the co-movement between oi prices and stock returns. Thus, there is no spillover effects between those markets. The empirical results suggest important policy implications for risk management and macroeconomics policies in the period of oil price shocks.
Keywords: Spillovers, oil price, stock return, financial crisis.
Gidi t h i # u
TTDT dong vai trd quan trgng trong qud trinh phdt trifi'n kinh tfi. Mfit cu sfi'c gid ddu ed thfi phd vd sif on dinh cua nen kinh te'. Difin hinh Id vdo ndm 2007, viec gid ddu tdng vgt da ldm bung nfi chifi'n tranh nfing lugng gifla ede qufic gia cfi trfl lUOng ddu ldn. Gid ddu tdng cao ciing vdi bong bdng tdi sdn da ddn dfi'n khung hodng tdi chinh vdo gifla ndm 2007 tai My vd lan rgng ra todn thfi' gidi. Vi tdm anh hudng ngdy cdng ldn cua gid ddu, nhieu nhd hoach dinh chinh sdch, nhd kinh tfi' vd nhd ddu tu chu trgng dfi'n mfi^i tUOng quan gifla TTDT vdi TTCK. Da xudt hifin nhifiu nghifin cdu tap trung vdo mfi'i quan hfi nay nhu Chiou vd Lee (2009), Fills (2010), Miller vd Ratti (2009), Nandha vd Faff (2008), Obemdorfer (2009), Park vd Ratti (2008), Xiaoquai va ctg (2012). Ngodi ra, Geman vd Kharoubi (2008)
nhdn ra, cdc nhd ddu tU cfi xu hudng dua ddu thfi vdo mfit danh muc ddu tU chdng khodn do gid cua nd gia tdng ddng kfi trong nhflng ndm qua vd tim thd'y mfii tuong quan ngUge chifiu gifla TTDT vd TTCK.
Tuy nhifin, mfit edu hoi d^t ra, lieu rdng sfl chuyen dfing giila TTDT thg' gidi vd TTCK Viet Nam cfi ton tai trong cugc khung hodng tai chfnh gdn ddy? Khung hodng tai chinh ldm gid tdi san sut giam manh, tao ra mfit ldn sfing rdt vfi^n ddu tu 6 at, ddn dfi'n sU bat ^n cho thi trudng. Hon nfla, dieu ndy tdc dgng dfi'n niem tin cua nhd ddu tU, gdy rui ro cho tfing trudng kinh tfi'. Mdc dg truyfin d i n ed sfi'c trfin thi trudng Id khfi ly gidi nfi'u nhd nghifin edu chi dUa vdo nhflng thay dfi'i trong cdc nguyfin tdc co bdn cua kinh tfi' hgc vi mfi. Nhieu nha nghifin cdu sd dung cum tfl "lan truyin' (contagion) dfi dm chi hien
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tuong ndy va tdp trung vao viec do ludng sU
^ V t r u y e n hdng cdch cung cdp bdng chdng vfi su gia t d n g ddng ke t r o n g mfi'i lien k e t cheo gifla cdc thi trfldng.
Tuy nhien, cho dfi'n nay, vdn chUa co n g h i e n cflu ndo phdn tich hieu dng lan truyen gifla TTDT thfi' gidi vd TTCK Viet Nam trong t h d i ky khung khoang tdi chfnh. Do vay, tde gia t a p trung phdn tich mfl'i quan he ndy b a n g cdch sd dung cdc h a m Copula k h a c nhau trong thdi ky khung khoang t a i chfnh 2008-2009.
T o n g q u a n c a c n g h i e n cvtu trxldc Cfi nhieu mfi hinh khdc nhau dUOc sd dung dfi' phdn tfch tde dgng lan truyen gifla cdc thi trfldng tdi chfnh. Chdng b a n , nhflng nghien edu trong thdp nien 1990 xoay quanh cdc khdi niem v l sif tuong quan nhu Calvo vd Reinhart (1996), King vd Wadhwani (1990), Ramchand vd Susmel (1998). Sau dfi, mgt so tdc gia khdc lap ludn rdng cdc nghifin cdu ve sU lan truyen dua trfin he so' tUOng quan Id khflng ddy du vi khfing xem xet dfi'n phuong sai thay doi CO dilu kien (Boyer vd ctg, 1999; Forbes vd Rigobon, 2002; Longin vd Solnik, 2001), do do hg nhdn dinh, phdn tich tuyfi'n tfnh Id khfing phil hgp nfi'u lan truyen la mfit hifin tugng ddc trung, cfi mfii quan hfi phi tuyfi'n tfnh.
Cung cfi rd't it cdc nghien cdu thflc nghifim v l sif dnh hudng lan t r u y i n gifla TTDT va TTCK trong thdi ky k h u n g khoang t a i chfnh.
Cfi mfit sfi' nghifin edu v l mfi'i tuong quan gifla hdng h(5a vd cdc tdi s a n tdi chfnh trong thdi ky khung hodng duge cfing bfi' (Buyuksahin vd Robe, 2010; Lautier vd Raynaud, 2011;
Silvennoinen vd Thorpy, 2010; Tang vd Xiong, 2010), tuy nhifin, cdc tdc gia ndy khfing chu trgng den hifiu flng lan truyen gifla ddu thfi vd TTCK trong thdi ky khung h o a n g tdi chinh.
Mgt vdi nhd nghien cflu khde thi tdp trung xem xfit mfi'i quan hfi gifla TTDT vd TTCK nhung phuong phdp sd dung chi dflng lai d mfi hinh VAR hode VECM (Apergis vd Miller, 2009; Cong vd ctg, 2008; Fills, 2010; Huang
vd ctg, 1996; Jones vd Gautam, 1996; Miller vd R a t t i , 2009; P a r k vd Ratti, 2008). Mfi hinh VAR va VECM cd nhflng flu difi'm nhfl tinh don g i a n vd l i n h b o a t cho vific mfi hinh hoa moi quan h e gifla cac t h i t r u d n g md khfing cdn dfi'n gia d i n h ve ngi sinh hay ngoai sinh, t i n h d l d a n g t r o n g quan s d t sU tUong tae gida eac bie'n. C h a n g h a n , cd the' xac dinh sU anh hudng cua gid ddu d e n t h i t r u d n g khde thong qua h a m p h d n d n g xung. Tuy nhien, cdc mo h i n h n a y cung cd mgt sfi' nhUOc difi'm nha p h a i gia dinh SSL cua t a i s a n theo phdn pho'i chuan, bo qua sU gia t a n g don dieu gifla cdc bifi'n vd quan t r g n g h o n la chdng khfing thfi"
ndm bdt dUgc sfl phu thuge dufii cua dUdng cong SSL cua tdi s a n . Do vdy, mfi hinh VAR va VECM khfing thich h g p de' do ludng hifiu dng lan truyen gifla cdc t h i trfldng. Thfim vdo do, cdc mfl h i n h k h d e nhU mfl hinh ehuyfi'n dfl'i Markov hay mfl h i n h GARCH da bifin (Ramchand vd Susmel, 1998; Boyer vd ctg, 1999; Chesney vd Jondeau, 2000; Rodriguez, 2007; Chiang vd ctg, 2007) eung chi phu hgp dfli vdi cdc bifi'n binh t h u d n g , d i u bfi qua hieu dng don dieu gifla cac bifi'n vd tinh chdt phi tuyfi'n tfnh eua mfli quan he lan t r u y i n gida cdc thi trudng.
Gdn ddy, xudt hifin mgt so' nghien cdu cung cdp n e n t d n g vflng chde v l hifiu dng lan truyin gifla TTDT vd TTCK. Lautier vd Raynaud (2011) sd dung ly thuyfi't do thi d l dilu tra thi t r u d n g n d n g lugng p h d i sinh trong giai doan 2000-2009. Cdc tdc gid ndy phdt hi^n ddu thfi CO thfi n d m d t r u n g t d m cua do thi, lien kfi't vdi cd hai s d n p h a m nfing nghifip vd tdi s a n tdi chfnh, do do duge xem Id dng vifin tot nhd't cho vific t r u y i n tdi cdc cd sfi'c gid.
Silvennoinen va Thorpy (2010) cho thd'y, tat ed cdc chufli SSL cua ddu cd tflong quan chfit che vdi chdng k h o d n My trong todn bfi thdi ky bifi'n dflng m a n h cua TTCK. Cfin Westner vd Madlener (2012) vd Xiaoqian vd ctg (2012) sd dung eung mgt phuong phdp trong nghifin cdu thi t r u d n g n d n g lugng. Cu thfi, Xiaoqian vd ctg (2012) sd dung cdc hdm Copula cfi cdc d i l u kien khdc nhau dfi' nghifin cdu su Idy lan
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S6'127»Thdng 10/2016
gifla thi trudng nfing lUOng va TTCK cua My vd Trung Quoc. Cdc tdc gia ndy dd tim thd'y dugc su phu thufic ngdy cang gia tang gifla cdc thi trudng ndy ke tfl sau sU kien Lehman Brothers sup do. Thfim vao dfi, hg cung tim thd'y su Idy lan gifla TTDT va TTCK My manh hon nhilu so vdi TTCK Trung Qufic.
Phrfdng p h a p n g h i e n ctJu Dd li?u
Nghifin cdu sd dung gid ddu giao ngay WTI (West Texas Intermediate) dai dien cho TTDT the' gidi. VN-Index duge lUa chgn de dai dien cho TTCK Viet Nam. Thfim vdo dd, de do ludng chuyfin dfing dong thdi cua gid dau thfi vd TTCK Viet Nam, tdc gid sd dung ty gid hfii dodi de chuyen dfi'i gid ddu thfi' gidi (USD) thdnh gid ddu Viet Nam (VND). Dfl lieu gid d M g i a o ngay WTI dflgc thu thdp tfl lEA, con VN-Index tfl website www.cophieu68. Dfl lifiu ty gid hfli dodi tfl Ngdn hdng Nhd nUdc Viet Nam. De' trdnh cdc tuong quan gid, bdi vifit loai bfi nhflng quan sdt bi bo trfing do cdc ngdy l l hode cdc nguyfin nhdn khdc. Bdi viet sd dung khoang thdi gian nghifin cflu dflgc dl xudt bdi Ngdn hang Dfl trfl Lien bang St. Louis (2009), BIS (2009) vd Baur (2012) cho thdi ky khung hoang bdt ddu tfl thdng 8/2007 (duge xem Id sU khdi dau cua thdi ky khung hodng) vd keo ddi cho dfi'n thdng 3/2009. Thfim vdo dd, de tao nfin nghien edu dong nhat, bdi vifit nghifin edu thfim mgt ndm vdo thdi gian trUde vd sau khung hoang.
Nhu vdy. bdi vifit sd dung SSL theo ngdy cua chuoi gid ddu (RO) va ehi so' VN-Index (RS) theo ngdy vdi thdi gian nghifin cdu tfl 01/8/2006 dfi'n 31/3/2010.
Md hinh nghien ctiu
Copula (Joe. 1997; Cherubini vd ctg. 2004;
Nelsen, 2006) Id mgt ham phdn phfi'i tich luy da bie'n vdi ede hdm phdn pho'i bien dong dang U vd V, vdi C(u,v)= Pr[U<u, V<v]. Hdm ndy ndm bdt sfl phu thugc gifla hai bie'n ngdu
nhifin X va Y bat chdp cdc phdn phfi'i bien Fx(x) va FY(y) tuong dng eiia ehung. Dinh ly Sklar (1959) cho rdng ton tai mgt hdm Copula sau:
FxY<x,y) = C(Fx(x), FY(y)), (1) Trong do: F-xy(x,y) la phan phfi'i lifin ke't eua X vd Y; u = Fx(x) vd v = FyCy) Id ham phdn phfii bifin.
C dugc xdc dinh duy nhd't trfin RanFx x RanFy khi ham phdn phfi'i bien u, v la lifin tue. Hay noi mfit cdch khdc, nfi'u C Id mgt Copula thi ham FxY trong phUOng trinh (1) Id mgt ham phdn phfi'i bifin lifin ket cua cdc bien Fx vd Fy. Oo dfi, hdm Copula co lifin quan dfi'n cae phdn vi eua phdn phfi'i bifin hon Id cdc bifin ban ddu. D i l u ndy co nghia la Copula khong bi anh hudng bdi su gia tfing don dieu eua cdc bie'n. Cdc Copula cung cd thfi' dUOe sd dung de kfi't nfii bifin cua ehdng cho mfit hdm phdn pho^i da bie^n gom cdc hdm phdn phfl'i bien don bifi'n vd mgt Copula co the cho thd'y edu trdc phu thugc gifla hai bifi'n ngdu nhien. Nhfl vay, cdc Copula cho phfip cdc dang phdn phfi'i bifin vd cdu trdc phu thufic eua cdc bifi'n ngdu nhifin cd the duge mo hinh hoa rieng 11 vd dilu ndy dua dfi'n sU linh hoat ldn hon so vdi cdc tham sfi' phdn phfi'i da bifi'n. Hon nfla, viec mo hinh hda eau true phu thugc bdng Copula rdt hflu ich khi phan pho'i lien kfi't cua hai bifi'n cdng xa phdn phfi'i hinh elip.
Trong nhflng trfldng hgp trfin, cdc thudc do sU phu thufic truyin thfi'ng bdng he so' tuong quan tuyfi'n tfnh khfing du dfi' mfi td cdc cdu trdc eua mfi'i quan h^ phu thufic (Embrechts vd ctg, 2003).
Mfit dac di^m cua Copula Id phu thufic dufii (tail dependence). Day Id thudc do xu hudng tang hoSc gidm cung nhau cua hai bifi'n ngdu nhifin khi thi trUdng cfi nhflng bifi'n dgng manh. Cac ddc difi'm ky thudt eua ham Copula rd't quan trgng de xdc dinh hieu dng lan truyen gifla TTDT vd TTCK. Bdi nghifin cdu sd dung cdc hdm Copula Gaussian, Copula
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t-Student vd Copula Clayton. Theo Joe vd Xu (1996), nhflng thfing so' cua hdm Copula dugc Ude lugng bdng cdch toi da hfia like-lihood (ML) bfing cdch sd dung tifin trinh hfii quy hai bude. Cfing cu nay duge ggi Id phuong phdp suy ludn phdn phfi'i bifin (IFMs). Hdm mfit do hai bifi'n duge phdn tich tfl mat do phdn phfii bien va hdm Copula theo phUOng trinh 1. TrUde hfi't, Ude lugng cdc thfing so' cua phdn pho'i bien mgt cdch dgc lap bang ML, sau dfi cae thfing sfi' cua Copula nhfl sau:
e = argmax£[, lnc(u,, fi,; 9) (2)
Trong do: 8 Id ede tham sfl' trong ham Copula;
u, = Fx(X,:a^) vd u,= FY(Y,;ay) la nhflng gia tri quan sdt mdu gia tfl hdm Copula (Joe, 1997).
= 1, T, tao thanh ma trdn 10x10. Theo cdch nay, cdc ddng ma trdn bao gom cdc ngdn sdp xe'p theo thfl tif tdng ddn tfl trfin xuong dudi vd cdc cot ma trdn bao gom cac ngdn sdp xfi'p theo thfl tu tdng dan tfl trdi sang phai. Nhd vdy, nfi'u hai chufli tUOng quan duong (fim) vdi nhau, chdng ta se thfi'y hdu hfi't cdc quan sdt ndm tren dUdng cheo lien kfi't gfic trfin bfin trdi vdi gdc dudi bfin phdi (goc dudi bfin trdi vdi goc tren bfin phdi) eua ma trfin vd nfi'u chung khong phu thufic thi hdu hfi't sfi' quan sdt trong mfli 6 cua ma trdn se gdn gifi'ng nhau. Hon nfla, neu cd sU phu thugc dufii ben trdi gifla hai chufii, ehung ta se ky vgng cfi nhieu quan sdt hon trong 6 (1,1) vd nfi'u cfi sil phu thugc dufii bfin phai, chung ta se k^ vgng cfi n h i l u quan sdt hon trong 6 (10,10) cua ma trdn 10x10.
D6'ivdiphdnphfi'ibifin,d6"dongidnh6a,nghifin Bdng 1 trinh bdy kfi't qua Copula thifc cdu sd dung mfi hinh AR(1)-GJRGARCH(1,1) nghifim gifla ddu thfi vd chflng khodn. Bfing
chdng cho thd'y, quan sdt hai dudng chfio cua ma trdn, khflng nhdn thd'y cd su tuong quan rg rfit gifla ddu vd chdng khodn, sfi' quan sdt tdp trung dgc dfldng cheo trfin bfin trdi/dudi theo Xiaoquian vd ctg (2012)
Kfi't q u i nghifin ci2u Hdm Copula thifc nghidm
Trudc khi di vdo phdn tfch cdc hdm Copula tham sfi', theo Reboredo (2011),
Westner vd Madlener(2012), Xiaoquian vd ctg (2012), cfi thfi kifi'm tra cd^u true eda mfi'i quan hfi phu thufic gifla hai thi trUdng bfing cdch xdy dung cdc bang Copula thuc nghifim theo cdch sau: Xfi'p hang mfii chuSi SSL cua ddu vd chdng khodn theo thd tU tdng ddn vd chia mfii chufii thdnh 10 ngdn, vdi ngdn ddu tifin bao gfim cdc quan sdt cfi gid tri thd'p nhd't vd ngdn thd 10 bao gfim cdc quan sdt cfi gid tri ldn nhd't. Sau do, dfi'm sfi' quan sdt tuong dng vdi mfii cdp (i, j) vdi i, j = 1,2,...10 trong sufiTt thdi ky mdu, vdi t
bfin phdi vd dudi bfin trai/trfin bfin phdi thi da phdn khflng ldn hon sfi' quan sdt trong cdc fi khde. Da phdn cdc quan sdt nfim rai
B a n g RO-RS
1.1]
1,2]
1,3]
1,4]
[.5]
1.6]
1,7]
1,8]
[,91 1,10]
l.U
8 14
5 4 10
6 6 10 12 14
1: Ke't q u i [.2]
7 8 9 7 11
9 7 7 14 10
[,3]
8 7 11
3 9 13 11 13 8 6
m a [,4 12 9 10 17 6 11
8 9 4 3
ir|ln [,5]
9 8 13 13 14 7 5 4 9 7
Copula thvfc nghifim [,6]
7 9 9 12
7 6 9 12 12 6
[.7]
8 8 8 8 3 16 12 8 7 11
[,8]
7 3 8 9 11 10 9 8 14 10
[,9]
8 13 13 10 9 2 11 10 5 8
1,10]
15 10 3 6 9 9 11
8 4 9 M6i chuSi SSL cd 885 quan sdt. SSL cia ddu duoc sdp xip dgc theo true hodnh vd tdng ddn (tit trin zuSng dudi); SSL chiing khodn dugc tdp xip dgc Iheo true tung ud tdng ddn (til trdi sang plidi). MSi 6 bao g6m t6 quan sdt md dgc theo titng phdn vi tuang iJCng cila dQ lieu tidu vd chdng khodn.
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rdc g a n n h u gifla cdc 6 vdi n h a u . T a i hai fi (1,1) vd (10, 10), so' quan s d t ldn lugt chi la 8 vd 9. D i l u n d y eung cho thd'y, khfing cd su phu thugc dufii gifla ddu vd c h d n g k h o d n . Do vay, tfl ke't qua ma t r a n Copula, khfing tim thd'y hifin t u g n g l a n t r u y i n gifla hai t h i t r u d n g t r o n g t h d i ky k h u n g k h o d n g t d i chinh.
K^t qud md hinh phdn phoi bien Kfi't qua t r o n g B a n g 2 cho thd'y: (i) He so' phuong sai t r e cua hai chufii bie'n dgng, p, d i u cd y nghia thfi'ng kfi d mdc 1%, h a m y r d n g cdc bifi'n dfing t a i t h d i diem t phu thugc vdo sU bifi'n dgng cua t h d i d i e m t - 1 ; (ii) He sfi' a chi cfi y nghia thfi'ng kfi chufii SSL cua ddu, hay noi mfit cdch khdc, bie'n dfing trong SSL cua TTDT hi a n h h u d n g bdi ede thflng tin cfi lifin quan d t h d i difi'm t - 1 ; (iii) He so' don bdy chi t o n t a i t r o n g chufii ddu thfi. Cufii eung, kiem dinh Kolmogorov cho thd'y, mfi hinh p h d n phfi'i bifin Id phu hgp, hay nfii cdch khdc, mfi h i n h Copula cfi t h e n a m b d t mgt cdch chinh xdc dong chuyfi'n dgng gifla TTDT va TTCK.
Ket qud md hinh Copula
Bang 3 t r i n h bay kfi't qua cdc mfl hinh Copula khdc nhau. Kfi't qua cho thd'y, cdc he sfl' cua ca ba mfl h i n h Copula d i u khflng co y nghia thfi'ng ke d mdc 5%. T h e m vao dd, kifi'm dinh de lua chgn mo h i n h Copula tfi't nha't cung la khfing cd sfl phu thugc gifla dau vd chdng khodn. Kfi't hgp vdi ke't qua ma t r a n Cgpula thflc nghiem, co the' ke't luan rdng khfing t o n t a i sU phu thugc gifla ddu va chdng khodn.
Do do, k h o n g cfi sfl Idy lan gifla TTDT the' gidi vd TTCK Viet Nam trong thdi ky k h u n g khoang t a i chinh 2008-2009. Dieu ndy cfi the' gidi thich la trfin TTCK Viet Nam, tae dgng eua cdc yfiu to' nhfl sfl gia tfing m a n h cua von dau tfl gidn tifi'p nUdc ngodi, sfl thay dfli trong sd thich cua ngudi ddn tfl ngoai tfi vd tien gdi n g a n h a n g sang ndm gifl co phifi'u thi trfldng ngi dia, sfl gia tfing t r o n g ddu tfl sd dung ddn bdy trd nfin m a n h hon. Thfim vdo do, cdc cfing ty boat dfing trong linh vdc ddu khi chi chifi'm ty t r g n g nho hon so vdi cdc cflng ty khde trfin TTCK. Ngodi ra, cd t h e do tdc gid sd dung cdc mfi hinh Copula khflng cd dieu kien, chfla xet den sfl thay doi theo thdi gian cua ede he sfi'.
B a n g 2: Kfi't qua mo hinh phan phoi b i e n
RO
R S
n
0,0003 (0,000009)*
0,000012 (0,5736)
A 0,6298 (0,000012)*
0,1434 (0,1965)
P
0,4224 (0,0000)*
0,8049 (0,0000)*
Y -0,3990 (0,0128)**
0,0576 (0,1798)
Log.Lik 1903.427
2269.808
K-S test 0,7844
0,7764 Trong ngo^c dan IA gid tri P_value. Loglik Id gid tri log-likelihood. K-S test Id kiem dinh Kolmogorov v§ mdc do phit hop md hinh biin (vai gid thuyit HQ: nid hinh phdn phdi biin Id phd hap; vdi bdt ky gid tri P_vatue ndo nhd han 0,05 nghia Id bdc bd gid thuyit HQ; a Id he sd' md hinh ARCH, P la h^ so md hinh GARCH, y Id hiiu dng ddn bdy). Ddu ',
** ldn lugt CO y nghia thdng ki d miic 1% ua 5%.
B a n g 3: Kfi't qua mo hinh Copula RO-RS Gaussian
P -0,0584 (0,0335)
Student P
-0,0613 (0,0346)
u 3 0 N A
Rotated Clayon a -0,0552 (0,0384)
Best fit
Independent Copula P_value (0,1276) Vdi p td hi a6 tiamg quan giaa d&u vd chiing khodn, u td bdc tu do,a Id tham sd hdm Rotated Clayon. Trong ngodc dan Id gid tri aai ad chudn. Hdm Rotated Clayon dugc sd dung thay thi Clayon thdng thudng vl sit phu thudc gida liai biin Id dm. Dua vdo tiiu chudn AIC, md hinh tdt nhdt dugc lua chgn Id khdng c6 su phu thupc gida ddu va chiing khodn.
cAngn^ ngdn hang
Stfl27»Thang 10/2016
Dfiy eung la ggi y cho nhflng nghien cdu trong tuong lai. Do vdy, kfi't qua nghien cflu chUa tim thfi'y SU lan t r u y i n gifla TTDT t h e gidi va TTCK Viet Nam trong thdi ky k h u n g khoang tdi chinh 2008-2009.
Ke't l u d n
Bdng cdch sd dung dfl lieu gid ddu giao ngay vd VN-Index dai difin TTCK trong nUdc, tdc gid nghifin edu hifiu dng lan t r u y i n gifla TTDT the gidi vd TTCK Viet Nam thfing qua cdc hdm Copula khdc nhau trong thdi ky k h u n g khoang tdi chfnh 2008-2009. Kfi't qua khfing tim thfi'y sU phu thufic gifla hai chufii SSL cua ddu thfi vd chflng khodn. Do dfi, khfing co sfl lan t r u y i n gifla hai thi trfldng ndy.
Dua trfin kfi't qud nghifin cflu, tdc gid dfla ra hai d l xudt:
• Dudi gfic dfi q u a n tri r d i ro, m d c dfl nghifin cdu ndy khfing tim thd'y su lan t r u y i n gifla
TTDT thfi' gidi vd T T C K V i e t N a m , tuy n h i e n , cac n h d ddu tfl c u n g cdn ehu y dfi'n sfl di chuyfi'n dfing t h d i cua t h i trfldng hang h d a v d i TTCK, d a e b i e t t r o n g nhflng giai d o a n bie'n d g n g m a n h c u a t h i trfldng thi h a n g h d a ed thfi' khfing con Id sfl Ifla chgn tfi't nhd't t r o n g v i e c da d a n g h o a d a n h muc ddu tfl.
• Dfldi goe dg q u a n ly k i n h tfi' nhd nudc, chinh phii cdn co cac kich b a n dfi'i pho vfii cuflc k h u n g h o a n g n d n g lugng t i l m tdng de dga sU on dinh xd hfli vd t a n g trudng kinh te' eua d a t nUdc t r o n g tUOng lai. D i l u chinh gid x a n g ddu dflt ngflt Id giai p h d p bi dfing, keo theo nhflng b a t lgi t i e m d'n cho n i n kinh tfi' d a n g cdn sfl p h d t trie'n fin dinh. Vific xfiy dflng cdc kich b a n dfli vdi bifi'n dgng ciia gid ddu Id n h d m t d n d u n g cdc co hfii khi gid ddu t d n g hay gidm. D i l u ndy cdng quan t r g n g khi Viet N a m dflng trfin vi thfi' Id qufi'c gia xud't k h d u ddu thfl vd n h d p khdu thdnh p h d m "
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