^ G H I €N cuu TRflO

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^ G H I € N cuu TRflO 6 0 !

KHAM PHA VA XAY DUNG MO HJNH DO LlfdNG CAC YEU TO TAM LY CilA HANH VI NHA DAU TU'CA NHAN

TREN THI TRUONG CHU'NG KHOAN VIET NAM

Th.s Nguyen Dire Hien, PGS.TS Dim Vfin Hup Dgi hgc Kinh ti QuSc ddn

So lugng tdi khodn nhd ddu tu cd nhdn Iren thi tru&ng chung khodn (TTCK) Viit Nam chiim khodng 99% tdng so tdi khodn .song tdng gid trj giao dich chi dgt khodng 20% tdng gid tri giao dich cua thi tru&ng. Tuy vgy. cdc nhd ddu lu cd nhdn ed tdm ly rat phuc tgp vd rdl de bi Idn ihuang. Diin bien TTCK Viit Nam trong th&i gian qua cho thay, cdc ly thuyel tdi chinh chudn myc khdng the gidi thich dugc hdnh vi cua cdc nhd ddu tu cd nhdn tren TTCK Viit Nam.

Bdi viit ndy sir dung cdch tiep egn cua Ly thuyit tdi chinh hdnh vi di khdm phd vd xdy dyng md hinh do lu&ng cdc yeu td tdm ly ciia nhd ddu tu cd nhdn Iren TTCK Viit Nam. Kit qud nghien cuu cua bdi viet se giup cho cdc nhd qudn ly hogch dfnh cdc chinh sdch di phdt trien bin vung TTCK Viit Nam trong thdi gian lai

Til khda: tdi ehinh hdnh vi, hdnh vi nha dau tu cd nhdn, md hinh do ludng hdnh vi nhd dau tu, thj trudng chung khodn.

1. Nen tang ly thuyet

Cac try cOt cua ly thuyet tai chinh chuan myc (standard finance) nhu Ly thuylt ehgnh Ipch gid eua Merton Miller vd Franco Modigliani, Ly thuyet xdy dyng danh myc ddu tu cua Harry Markowitz (Nobel 1990); Md hinh djnh gid tdi sdn CAPM ciia John Linmer va William Sharpe (Nobel 1990) vd Ly thuygt djnh gid cdc chdng khodn quyen chgn ciia Fischer Black, Myron Seholes vd Robert Merton (Nobel 1997) deu dya tren gid djnh con ngudi la ly tri (rational). Tuy nhign, thye tl cho thdy cdc ly thuylt va md hinh ciia tdi chfnh chudn myc khdng the giai thich dugc cdc hipn tugng bong bdng vd nhihig cuge khiing hodng ciia thj trudng chung khoan thi gidi cung nhu nhung thdng tram eiia thj trudng chung khoan Vipt Nam trong thdi gian qua.

gidi Nobel nhd cdng trinh nghien ciru ve tai chinh hanh vi va dua ra "thuylt ky vgng" (prospect theory), tgo nen tang vihig chdc dl xay dyng ly thuyet tdi chinh hdnh vi. Thuygt ky vgng dugc xay dyng tu nhimg ndm 1979 dugc eoi nhu mOt thay thi hodn hdo cho thuylt vl dO thda dyng ki vgng trudc day.

Tuy la ITnh vye mdi me song tdi chinh hdnh vi co vj the quan trgng vdi nhieu cdng trinh dd sg vd eo gid trj, gdp phdn giai thich cdc vdn de ve tdm ly ciia cdc thj trudng ndi chung va thj trudng chung khodn ndi rieng.

Tdm ly qud ty tin (Overconfidence): ty tin Id trgng thdi tdm ly lot song qua ty tin cd the ddn den cac Ipch Ige trong hanh vi. Ket qua nghien cuu ciia Shiller (2000) va Thaler (2002) cho thdy diln hinh Ly thuyet tai chfnh hanh vi (behavioral finance) eiia nhOng Ipch Igc do sy qua ty tin gdy ra la cdc nhd la su kit hgp tdm ly hgc vdo tdi chinh vdi nin tdng dau tu qua ty tin thudng it da dgng hda danh mgc gid djnh ea bdn Id "thi tru&ng khdng ludn ludn ddu tu va ddu tu vao nhung edng ty ma hg thay quen dimg" va "nhd ddu tu la phi ly Iri", da ddt ra mpt thuOe. Nghign cdu cua Odean (1998) cho thdy, cac ddi trgng Idn ddi vdi ly thuylt "thj trudng hipu qua", nha ddu tu cd tam ly qua ty tin cd xu hudng tin rdng ca sd ciia ede ly thuylt tai chinh chudn myc trong hg ddu tu gidi han ngudi khac song thyc t l yung suit gan 5 thgp ky gdn ddy. Nam 2002, Gido su tam binh sinh Igi cua nh&ng ngudi nay Igi thap hon truiij ly hge ngudi My Daniel Kahneman da nhan dugc binh cua thj trudng. Ve moi quan h? giua gidi tinh °

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NGHI€N CUU TRflO ei

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va lam ly ty tin, nghien cuu cua Odean (2001) vd Pulford (1997) da ehi ra rdng nam gidi thudng ed muc dO ty tin hon n& gidi. Ddng thdi, nghign cdu ciia Odean (1998) cung chi ra rdng, sy qua ty tin ldm cho cac nha dau tu thudng giao djch nhilu hon nhung nhd ddu tu khac vd kit qud la thanh qud giao dich thudng khdng hieu qua.

Tdm ly Igc quan qud mdc (Excessive Opti- mism): sy Igc quan qua mdc thudng xudt phdt td sy qud ty tin vd lien quan din nilm tin cho rang cdc sy kien xdy ra trong tuang lai se tdt dpp, tfch eye hem tinh trang hien tgi. Gido su Daniel Kahnemen dgt gidi Nobel nam 2002 cho rdng, sy Igc quan thai qua ciia nhd ddu tu Id do bdn than hg thudng thye hipn dau tu tren giae dO ben trong (tgp trung vdo tinh trgng hipn tgi ciia khodn ddu tu vd phdn dnh cdc ddnh gid mang tfnh ed nhdn ciia nhd dau tu) thay cho giae do ben ngoai (tgp trung vdo dy dodn tinh trgng hien tgi thdng qua cae d& lipu kit qua trong qua khu). Nghign ciru cua Gervais, Heaton, va Odean (2002) da cho thay tam ly Ige quan qua mdc gdy ra tac dOng tieu eye ddi vdi cdc nhd qudn trj bdi nd ddn dgn eae nha qudn trj dau tu vdo cdc ca hOi cd NPV am. Pompian (2006) eho rdng, tam ly Igc quan qua mue ddn din nha ddu tu thudng bd qua cdc tdc dgng tieu cyc ciia lgm phat, phf vd thug cung nhu ldm cho ede nhd dau tu tgp trung qud nhieu vao nh&ng du bao vd tap trung vdo dau tu nhimg cdng ty quen thuge.

Tdm ly bi quan qud muc (Excessive Pes- simistic): tam ly bi quan qua muc trai ngugc vdi tam ly lac quan qud mue. Nhd ddu tu trong trgng thai tam ly ndy eho rdng cdc sy kipn xdy ra trong tuong lai se xdu hem, tieu eye hon tinh trgng hipn tai.

Tdm ly bay bdn (HerdBehavior): tam ly bdy dan la viec cae nha ddu tu ciing cd mgt hanh vi khdng hgp ly nhu nhau, nha ddu tu ndy hanh dgng theo nhd ddu tu khde md khdng quan tam din ede thdng tin minh cd vd keo theo phdn dng day ehuyen doi vdi cdc nhd ddu tu khac. Tdm ly bdy ddn se lam meo md thj trudng. Hanh vi bay dan tdn tai d hai hinh thdi CO ban Id hanh vi bay dan cd chu y va hanh vi bdy dan khdng cd chii y. Xet tren giae dg hanh vi bdy dan khdng cd ehii y, Christie and Hwang (1995) da dinh nghTa hanh vi bdy ddn dd la khi cae nhd dau tu nhd le logi bd nhihig niem tin cua ca nhan vd tien hanh cde quylt djnh ddu tu chu yeu dya trgn nh&ng hdnh vi mang tfnh tap thi cua thj trudng. Theo ly

kinli teJ'liat trien

giai cua Chang, Cheng vd Khorana (1999), hanh vi bdy dan ed the Axxe/z xem nhu hdnh vi thj trudng khdng cd chii y khi md cac nha ddu tu ggt bd nh&ng nigm tin trudc dd ciia minh bdng vipe mil qudng theo gdt cde nha dau tu khde. Xgt tren gidc dg hanh vi bay dan ed ehii y, hdnh vi bay dan xdy ra khi nhimg nhd qudn ly quj vdi trinh dg thdp cd ehii djnh sao chep hanh dgng eiia cdc nhd ddu tu cd trinh dg tot hon, bang vi?e xda bd hoan todn nhung thdng tin md cd nhdn hg thu thgp dugc, bdi hg tin rang quyet djnh ciia cdc nha ddu tu khac dugc xudt phat tu nh&ng nguon thdng tin tilp egn tot hon. Mgt each chung nhat, ca hai hinh thdi co ban cua hdnh vi bay ddn da minh chdng rang cac nhd dau tu deu khdng dya trgn nh&ng phan tieh va nguon thdng tin ma hg thu nhgn dugc md chi dya theo nhung dOng thai chung eiia thj trudng de dua ra cdc quyet djnh ddu tucLia minh.

Thdi dg dii v&i rdi ro (Psychology of Risk):

Quan diem ciia tdi chi'nh chuan myc ve riii ro ket hgp vdi khia canh khdch quan ve riii ro (dinh lugng), trong khi quan digm ciia tdi chfnh hanh vi cdn xem xet thim cdc nhdn td chu quan (dinh tinh).

Cdc nghien eiiu vg tai ehinh hanh vi da dua ra rdt nhilu yeu td rui ro mang tinh nhan thue (tinh thdn) vd anh hudng (cdm xiic) khdc nhau, cd the duge ap dyng trong qua trinh dua ra quyet djnh va giai thich ve qua trinh mgt ca nhdn nhgn thdc duge riii ro ddi vdi cac dich vy tdi chfnh da dgng vd cac edng ey dau tu. Vi du, Rieeiardi (2008b) khai qudt 12 ylu td quan trgng anh hudng din viee nhan thirc riii ro eiia mOt cd nhdn ddi vdi eae djch vy tdi chfnh vd ede san pham dau tu. Nhimg ylu t l nay gdm sy qud ty tin, tam ly ngai mat mdt, ly thuylt triln vgng, suy nghipm, tinh dai dien, nhdn dinh, xu hudng quen thuge, hu cdu (tudng tugng), kien thde ciia ehuyen gia, kha ndng dilu khien dugc, lo ngai va anh hudng (cdm xiic). Cdc nhd dau tu ddnh gid ca hOi tigm dn dya tren niem tin ciia hg, kinh nghiem bdn than, vd thdng tin sdn cd. Tir dd, hg se dua ra nh&ng hanh vi khde nhau vd ap dyng nh&ng danh gid chii quan dg quyet dinh chgn lya cuoi ciing. Tdm lgi, riii ro Id mOt qua trinh da chieu (da ylu to) vd dya vao tinh hulng, phu thuOc vao cac yeu td cy thg ciia djch vy ddu tu hoae san pham tai chfnh (Rieeiardi, 2008a, 2008b).

2. Phirong phap va dii' lieu nghien ciru 2.1. Phuang phdp nghien cuu

Tae gid bai vilt tiln hanh khao sat va phan tich d&

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^ ( 'GHI6N CUU TRflO e o i

lipu tir eugc khao sat cde nhd ddu tu cd nhdn tren thj trudng ehung khodn Vipt Nam theo bdng hdi gIm 35 eau hdi dugc xdy dyng tren nin tdng tdi chfnh hdnh vi dl Idm ro cdc van de sau:

Thu nhdt: xdy d\mg md hinh do lu&ng cdc yeu tS tdm ly ciia nhd ddu lu cd nhdn.

Bgn cgnh s& dyng ede kit qud thdng qua thong kc md td, bdi nghien cdu su dyng ede phuang phdp phan tich djnh lugng bao gIm: phdn lieh nhan t l khdm pha (EFA), phan tich hoi quy va phdn tfch nhdn to khdng djnh thdng qua su dyng phuang phdp phan tich khdm phd lan 2.

Phuong phdp phdn tich nhdn to khdm phd (EFA):

Id phucmg phdp phan tich giiip nhgn dipn ede khia cgnh hay nhdn to gidi thich dugc cdc lien h? tuang quan trong mgt tgp hgp biln.

Phdn tich nhdn to khdng djnh thdng qua su dyng EFA lan 2 dugc six dyng dl kilm djnh ede biln quan sdt dgi dipn cho cdc nhan to tot din mdc ndo, ede

ddu lu cd nhdn trin TTCK Viit Nam.

Thu- tu, kiim djnh moi quan hi giica trinh dg hgc vdn vd quy md binh qudn ddu tu tren tdi khodn v&i hiiu qud ddu tu (lai hay Id trong ndm 2011): Tde gid sd dyng md hlnh Binary Logistic d l kilm djnh mil quan hO gi&a hipu qud dau tu vdi biln trinh dO hgc vdn vd quy md tdi khodn. Md hinh hoi quy Binary Logistic sd dyng biln phy thuOc (hiOu qua ddu tu) dgng nhj phdn de udc luge xdc sudt xay ra doi vdi cdc thdng tin ciia biln dgc Igp (trinh dO hge van va quy md tdi khodn cua nhd dau tu cd nhan).

2.2. Dirli^u nghien cuu

D& li$u nghign ciru Id cdc kit qud trd Idi philu khdo sdt, dilu tra ciia 500 nhd ddu tu cd nhdn dugc lya ehgn ngau nhien tgi cdc cdng ty chimg khodn.

3. Ket qua

3.1. Kit qud I: Md lunh do tu&ng cdc yeu to tdm /j' eda nhd dau tu cd nhdn.

Tdc gid nghien cuu dd dua 19 khia cgnh phdn dnh thang do ciia ede nhan to dugc xdy dyng cd tot hay tam ly nha ddu tu vao phdn tich nhan td nhdm xdc khdng ciing nhu ddnh gia mirc dg phii hgp eiia md ^1"^ nh&ng nhdm nhdn to tdm ly ea bdn cua nha dau hinh.

Ky vgng eiia bdi nghien euu sg khdm phd cdc ylu to cau thdnh tam ly cua nha ddu tu bao gom 5 nhdm:

tu ca nhan. Kit qud phan tich nhan td thi hipn nhu Bang 1: Kiem dinh KMG va Bartlett's Test (1) tam ly qud lac quan; (2) tam ly bay ddn; (3) tam

ly qud ty tin; (4) thai dg ddi vdi nii ro; (5) tam ly bi quan.

Thir hai, nhgn diin xem nhd ddu tu cd nhdn tren thf truang chicng khodn ViitNamcd "ly tri" khdng?

Cd tudn theo ly thuyet triin vgng khdng?

Thic ba, nhgn diin mdi quan hi giira hgc vdn vd tudi tdc v&i cdc yeu Id tdm ly ciia hdnh vi cua nhd

Bang 2: Tong phinrng sai giai thich KMO and Bartlett's Test Kaiser-Meyer-Olkin Mea- sure of Sampling Adequa- cy.

Bartlett's Test of Sphericity Approx.

Chi-Square df SIR.

0.779

8247.612 171

(

Total Variance Explained Compo-

nent 1 2 3 4 5 6 7 8 9

Initial Eigenvalues Total

6.684 3.664 1.651 1.493 1.232 0.891 0.781 0.49 0.4

% of Variance 35.179 19.286 8.69 7.856 6.485 4.69 4.112 2.58 2.107

Cumulative % 35.179 54.464 63.154 71.01 77.496 82.186 86.298 88.879 90.985

Extraction Sums of Squared Loadings Total

6.684 3.664 1.651 1.493 1.232

% of Variance 35.179 19.286 8.69 7.856 6.485

Cumulative % 35.179 54.46^

63.154 71.01 77.496

J \ 1 1

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kinh ty'hat tri

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NGHieN cuu TRflO Dl trong Bang I. thong ke tai miic y nghia 0.05 (Sig.=0.000 < 0.05).

Ket qua ki^m dinh tji Bang 1 cho chi so KMO Do d6, ky thujt phan tich nhSn to dug-c sii dling la

=0.779 la kha cao (>0.5). Ben canh do, ket qui kiem Phu h(?p.

dinh Bartlett's Test cho thSy cac khia c^nh phan anh Bing 2 cho thay v6i 19 khia canh do luong cho tam ly nha dau tu co tirong quan v6i nhau c6 y nghTa tam ly nha dau tu, c6 5 nhom nhan to co bin dugrc

BSng 3: Ma tr^n nhSn tt xoay Rotated Component Matrixa

235_4 Toi CO ke hoach tSng miic dau tu tren TTCKVN trong 12 thing tai

:35_5 Neu nhu chi so VNlndex giim 5% vio ngiy mai, toi se cho ring trong 1 vii ngay t6i, chi s6 se dugrc phyc hoi phin Ion nhihig syt giam tren

:35 9 TTCK Viet Nam vSn li 1 kenh dau tu hap din c35 3 Trong thai diem niy, t6i se tiep tyc diu tu tren TTCKVN

:35 2 Tren TTCK. Vi?t Nam, gia co phieu se c6 xu huong tang trong vong 12 tiling tcfi

c28 Tin tuonp ve Icri gioi thieu cua ngucri khic c32 5 Thong tin giao dich ciia NDT nuac ngoii

;30 8 Cac cau chuyen ve cic nhi diu tu thanh cong Uen

rrcK

c31_4 Khuyen nghi cua cac nhi phan tich, nghien ciiu thi trucmg

c31 5 Khuyen nghi ciia cic nha moi gioi chiing khoan :18 Danh gia ve viec tu dinh gia

cl9 Hiiu biet v6 chirng khoin diu tu trong danh muc

=33 1 Ong (Ba) tu tin vao khi nang tiiyc hi?n t6t han cic nha diu tu khac khi lua chgn cac chimg khoin :33_6 Mftc dp tyr tin ciia 6ng (ba) voi vice lya chpn chimg khoin CO muc doanh lpi cao han miic cua thi trucmg ::33_4 Ong (Ba) chua bao gicr thirc hi?n giao djch mang tinh bdc dong

c35_6 Co thi se co nh&ng syt giam nhanh chong gia cic chiijlg khoan tren TTCKVN nhu hi?n tU(mg cuoi nam 2008, Vnindex giam xudng duoi 300 diem

d5_l Tren TTCK Vi^t Nam, phan I6n cac chiing khoan iugc danh gia cao han so vai gii trj dupe xac djnh qua Jinheia

d 3 ,9 Ong (Bi) la mpt nha dau tu chap nhln nii ro

=33 2 Ong (Bi) khong thich ban chirng khoin tjii trjng thii tiilo

Component 1

0.8695

0.8636 0.8614 0.7904 0.7386 -0.029 -0.034 -0.032 0.058 0.076 0.208 0.116 0.308 0.45 0.496

0.082

0.097 0.195 0.265

2 0.019

-0.024 0.005 0.016 0.039 0.8965 0.8736 0.8364 0.8173 0.7525 0.029 -0.004 0.014 -0.024 0.035

0.123

0.16 -0.003 -0.025

3 0.238

0.221 0.187 0.204 0.317 0.035 0.044 -0.003 -0.006 -0.025 0.8652 0.8445 0.7548 0.7005 0.6687

0.1

0.104 0.166 0.214

4 0.051

0.079 0.075 0.037 0.032 0.005 -0.007 0.071 0.125 0.125 0.062 0.113 0.026 0.058 0.053

0.9542

0.9469 0.038 0.06

5 0.177

0.122 0.125 0.328 -0.038 -0.03 -0.028 -0.035 0.025 0.04 0.104 0.121 0.04 0.197 0.228

0.046

0.047 0.8636 0.8621 Extraction Metiiod: Principal Component Analysis.

Rotation Metiiod: Varimax with Kaiser Normalization.

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'GHI€NCUUTRfiOTOI

nit ra theo tieu chi dya vdo gid trj Eigen d^t gii trj nhdnh4t=l.Eigenvalue=1.232vdnldnhan 1 vded 5 nhdm nhan to duge rut ra. Tong phucmg sai gidi thich duge khi 5 nhdm nhan to dugc rut ra xip xl bdng 77,5 %.

T& kit qua Bdng 3, ta xdc djnh dugc 5 nhdm nhdn td tam ly ca bdn eau thdnh hdnh vi ciia nhd dau tu ea nhan tren TTCK Vi?t Nam;

Nhdm 1: Nhdm yiu ti "Tdm ly Ige quan ", dugc gidi thich qua cdc thuge tinh sau:

c35_4 Tdi ed kl hopch tfing mue Aiu tu tren TTCKVN trong 12 thdng Idi.

e35_5 Neu nhu chi so VNlndex gidm 5% vdo ngdy mai, tdi si eho rang trong 1 vdi ngdy tdi, ehi so se dugc phyc hoi phan Idn nhthig syt giam tren e35_9 TTCK Vi^t Nam van Id I kenh dau tu hip dan.

e35_3 Trong thdi dilm ndy, tdi sg tiep tyc dau tu tren TTCKVN.

c35_2 Tren TTCK Vi?t Nam, gid c l philu si cd xu hudng tang trong vdng 12 thdng Idi.

Nhdm 2: Nhdm yiu td "Tdm ly bdy dan ". dugc gidifhich qua cdc thudc tinh sau:

c28 Tin tudng ve Idi gidi thieu cua ngudi khdc.

c32_5 Thdng tin giao djch cua NDT nude ngodi.

c30_8 Cdc cau chuydn ve cac nhd ddu tu thdnh cdng tren TTCK c31_4 Khuyen nghj cua cdc nha phdn tich, nghien euu thj trudng.

e31_5 Khuyen nghj ciia cdc nhd mdi gidi chung khoan.

Nhdm 3. Nhdm yiu to "Mice dg ty tin " cua nhd ddu tu trin TTCK, dugc gidi thich qua cdc thuge tinh sau:

el 8 Danh gid vl vi?c ty djnh gid.

cl9 Hieu biet vl ehimg khoan dau tu trong danh mue.

c33_l Ong (Ba) ty tin vdo khd ndng thyc hi?n tot han cdc nhd dau tu khdc khi lya chgn cdc chiimg khodn.

e33_6 Muc dg ty tin cCia dng (bd) vdi vi?e lya chgn chdng khoan cd muc doanh Igi cao ban mirc cuath; trudng.

c33_4 Ong (Ba) chua bao gid thyc hign giao djch mang tinh bde ddng.

Nhdm 4: Thdi dg ddi v&i rui ro, dugc gidi thich qua cdc thuge tinh sau:

c33_9 6 n g (Bd) Id m^t nha d4u tu chap nh§n rui ro.

c33_2 6 n g (Bd) khdng thich bdn chirng khodn t?i tr^ng thdi bj lo.

Nhdm 5: Nhdm yiu to "Tdm ly bi quan", dugc gidi thich qua cdc thuge tinh sau:

c35_6 Cd thi se cd nhftng syt gidm nhanh chdng gid cde chdng khodn tren TTCKVN nhu hi?n tugng cuoi ndm 2008, VNindex gidm xuong dudi 300 dilm.

c35_l Tren TTCK Vi?t Nam, phan Idn cdc chdng khodn dugc ddnh gid cao hem so vdi gid trj dugc xdc djnh qua djnh gid

Tiep theo, chiing ta sS thyc hi?n kiem djnh thang do do ludng cdc nhdm tam ly Ihdng qua h? so Cronbach's alpha. Dl tii uu hda thang do cho tam ly nhd dau tu, h? s l Cronbach alpha dugc s& dyng dl kiem djnh l^i thang do tren tung nhdm Idm ly dugc nit ra. Thang do dung de do ludng cdc nhdm tam y dugc ggi Id tot khi h? so cronbach alpha tu 0.8 trd len. Thuge tinh tam ly ndo dd nen giu l^i hay bo di se dugc lya chgn theo tieu chi: neu h^ so

"Cronbach's Alpha if Item Deleted" Idn hon h? so cronbach alpha tong vd gid tri "Corrected Item-Total Correlation" bd hon 0.3 thi myc hdi dd khdng ed gid trj phan anh nhdm tdm ly dang dugc quan tam vd nen lo^i myc hdi dd ra.

Bdng 4 cho gid trj Cronbach alpha cua timg nhdm nhdn to ca ban diu Idn hem 0.8. M§e khdc,

"Corrected Item-Total Correlation" diu cd gia trj ldn han rat nhieu so vdi 0.3, chimg td cdc mye hdi dang gidi thich tot cho nhdm nhan td tam ly hay thang do cdc nhdm tam ly dugc sir dyng khd tot va dang do ludng lit cho khai ni^m nghien cuu.

De xae djnh khd ndng giai thi'eh (muc dg dnh hudng) cua timg thuge tinh (khia cgnh dan) trong cdc nhdm tam ly, tdc gia thyc hign thdng qua phan tich nhan to khdm phd lan 2. Kit qua nhu bang 5.

Bdng 5 cho thay, qua phan tich khdm pha nhan to lan 2, cdc nhdm nhdn to deu duge gidi thich khd tot thdng qua cdc kit qud kiem djnh: he so KMO deu Idn han 0,5, Bartlet's Test cd xdc sua! bac bd la 0%, hg s6 Eigenvalues Idn han I va phucmg sai gidi thich - Total Variance Explained d mure cao (thip nhit la 70,42% va cao nhdt Id 94,87%). Nhu vay cd thi khang djnh, cac nhdm yeu to tam ly hanh vi eda nhd dau tu cd nhan dugc tdc gid xay dung Id phii hgp vd cho kit qud gidi thich tdt.

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NGHieN CUU TRflO DOg

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Bang 4: Ket qua kiem dinh thang do do ludng cac nhom lam ly thdng qua h | so cronbach's alpha Item-Total Statistics

Cronbach's Alpha=0.8979 t:18 Danh gii ve viec ty dinh gii

:19 Hieu biet ve chimg khoin diu tu trong danh myc :33_1 Ong (Bi) ty tin vio khi ning thyc hi^n t6t han cic nhi diu tu khic khi lya chpn cic chuiig khoin [:33_4 Ong (Bi) chua bao gia thyc hien giao djch mang tinh b6c dong

c33_6 Mirc dp ty tin cua ong (bi) vai vi?c lya chpn chiing khoan co mirc doanh Ipi cao han miitc cua tiij trucnig Cronbach's Alpha-0.9227

t;35_2 Tren TTCK Vi?t Nam, gii co phieu se CO xu huong tang trong vong 12 thing t6i

:35_3 Trong thai di^ni nay, toi se tigp tyc diu tu tren rrCKVN

(;35_4 Toi co ke hoach tang muc dau tu tren TTCKVN trong 12 thing tai

:35_5 Neu nhu chi so VNlndex giam 5% vio ngay mai, toi se cho i^ng trong 1 vii ngay tai, chi so se dupe phyc hoi phin Ion nhimg sut giim Uen

c35 9 TTCK Viet Nam van la 1 kenh dau tir hip din Cronbach's Alpha-0.9440

:35_l Tren TTCK Viet Nam, phin Ion cac chiing khoan Juoc dinh gii cao han so v6i gia tn dupe xac djnh qua djnh Ria

t;35_6 C6 th6 se co nhitng syt giam nhanh chong gii cic :hung khoin Uen TTCKVN nhu hien tupng cuoi nam 2008, VNindex giam xuong duai 300 diem

Cronbach's Alpha-0.8220

;:33 2 Ong (Bi) khong thich ban chiing khoan t?i trang thai bilo

i;33 9 Ong (Ba) li mot nha diu tu chap nhin rui ro Cronbach's AIpha=0.8875

:28 Tin tuong v8 lai giai thieu ciia nguai khic :30 8 Cac ciu chuyen v6 cac nhi diu tu thinh cong tren TTCK

=314 Khuyen nghj ciia cic nha phan tich, nghien ciru thj iniimg

:31 5 KhuvSn nghi ciia cac nhi moi gi*i chiing khoin t^32 5 Thdng tin giao dich ciia NDT nude ngoai

Scale Mean if

tem Deleted

Scale Variance

fitem Deleted

Crpn- Corrected bach's

tem-Total Alpha if Correla- Item tion Deleted Mu-c do tu tin ciia nhd dau tu- trSn TTCK

22.78 22.91 22.57 22.32 22.4

11.556 12.238 11.52 10.678 10.213

0.783 0.715 0.684 0.789 0.793

0.8692 0.884 0.8895 0.8661 0.8665 Tim If lac quan 23.35

23.12 23.04

23.09 23.19

15.211 14.644 14.361

14.423 14.59

0.697 0.8 0.853

0.83 0.82

0.9223 0.905 0.8945

0.899 0.9011 Tim Iv bi quan

4.93

4.84 1.224

1.024 0.897

0.897 Thii dp ddi viri riji ro 5.44

5.81 0.912 1.186

0.704 0.704 Tam ly bay dan 19.65

19.75 19.54 19.68 19.64

20.424 21.659 18.631 18.98 20.648

0.786 0.719 0.764 0.673 0.74^

0.8519 0.8676 0.8554 0.8816 0.8603

kinhyiiiiUrien

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^ (

IGHI6N CUU TRflO BOI

Bang 5: Xac djnh kha ning giai thich (miirc dp inh hiring) cAa tirng thupc tinh (khia canh San) trong cac nh6m tam If th6ng qua phan tich nhSn to khdm phd Un 2

Component Matrix rim ly lac quan

c 18 Dinh gii ve viec ty djnh gii

c33_6 Mirc dp ty tin ciia 6ng (bi) vdi vi§c lya chpn chiing khoin c6 mirc doanh lpi cao hem miic cua thj trudng c33_4 6ng (Bi) chua bao gid thyc hi$n giao djch mang tinh boc dong

cl9 Hieu biet ve chiimg khoin dau tu trong danh myc :33_l Ong (Bi) ty tin vio khi ning thyc hi^n tot han cic nha dau tu khic khi lya chpn cic chirng khoin Eigenvalues

Total Variance Explained (%) Kaiser-Meyer-Olkin Measure Bartlett's Test (Sig.)

Component 1 ,873 ,872 ,866 ,823 ,793

He so gia trpng cho timg thupc tinh

21%

20%

19%

3,58 71,57

0,83 0,0000 Component Matrix

Tam ly l^c quan

c35_4 Toi cd ke bo^ch ting mirc diu tu tren TTCKVN trong 12 tiling tdi

c35_5 Neu nhu chi so VNlndex giim 5% vio ngiy mai, toi se cho ring trong 1 vai ngiy tdi, chi so se dupe phyc hoi phan Idn nhihig syt giim tren

c35 9 TTCK Viet Nam vin li 1 kenh diu tu hip din c35 3 Trong thdi diem niy, toi se tiep tyc day tu tren TTCK- VN

c35_2 Tren TTCK Viet Nam, gii co phieu se c6 xu hudng tang trong vong 12 thing tdi

Eigenvalues

Total Variance Explained (%) Kaiser-Meyer-Olkin Measure Bartlett's Test (Sig.)

Component 1 ,913 ,898 ,889 ,875 ,796

H? so gia Upng cho tirng thupc tinh

21%

20%

18%

3,83 76,60 0,89 0.0000 Component Matrix

rim ly bi quan

c35_l Tren TTCK Vi?t Nam, phan Idn cic chiing khoin lupc dinh gii cao han so vdi gia trj dupe xic djnh qua djnh Ria

c3i_6 Cd th^ se cd nhihig syt giim nhanh chdng gii cic ihiing khoin tren TTCKVN nhu hi?n tupng cu6i nam 2008, VNindex giim xuong dudi 300 diem

Eigenvalues

Total Variance Explained (%)

Component 1 ,974

,974

H$ so gia trpng cho tiing thupc tinh

50%

1,90 94,87 76

Kinhty'liilttn

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NGHieN CUI

Kaiser-Meyer-Olkin Measure Bartlett's Test (Sig.)

JTRflOe^P

Thai do doi vdi rui ro

:33 2 Ong (Bi) khdng thich bin chirng khoan tai trang thii bj Id :33 9 Ong (Ba) li mpt nhi diu tu chap nhin riii ro Eigenvalues

Total Variance Explained (%) Kaiser-Meyer-Olkin Measure Bartletfs Test (Sig.)

Component 1 ,923 ,923

H? sd gia trpng cho tirng thu^c tinh

50%

1,70 85,19

Tam ly biy din

:28 Tin tudng ve idi gidi tliieu ciia ngudi khic :32 5 Thong tin giao djch ciia NDT nude ngoai

c30 8 Cic ciu chuyen ve cic nhi dau tu thinh cdng Uen TTCK c31 4 Khuyen nghi ciia cac nhi phin tich, nghien ciiu thi trudng :31 5 Khuyen nghi ciia cac nha mdi gidi chirng khoin Eigenvalues

Total Variance Explained (%) Kaiser-Meyer-Olkin Measure Bartletfs Test (Sig.)

Component 1 ,892 ,868 ,838 ,829 ,765

H^ so gia trpng cho timg tiiupc tinh

21%

20%

18%

3,52 70,42

0,76 0,0000 3.2. Kit qud 2: Kiim dmh xem nhd ddu tu cd trudng hgp khde lai la nhimg nhd dau tu ua thich rui nhan trin thi tru&ng chiing khodn Viet Nam cd

"ly tri" khong? Cd tuan theo ly thuyit trien vgng khdng?

Kit qud trd Idi cdc cau hdi so 8 den so 13 cho thay ly thuyet tdi da hda dg thda dyng ky vgng khdng the

ro. Vi$c lya chgn phii thuge vao trien vgng ciia timg hodn eanh. Thdi do ddi vdi nii ro la khdc nhau edn cd vdo vi?c tinh todn ddnh doi giiJa dugc vd m^t ed can cd vdo diim tham chieu (referencepoint).

3.3. Kit qud 3: Kiim dinh moi quan he giua gidi thich dugc thdi dg doi vdi nii ro ciia cdc nha ddu trinh dg hge vin vd tudi v&i cdc nhom yeu to tdm tu ed nhan tren TTCK Vi?t Nam. Ban than cde nhd ly cua hdnh vi nhd ddu tu

dau tu cd nhdn Id khdng ly tri khi trong nhieu trudng Trinh dO hge vdn cd mil quan he chat che vdi cac hgp nhd dau tu Id ngai rui ro song trong nhieu nhdm tam 1^ eiia nhd dau tu ea nhan tren TTCK Vi?t

Bang 6: Moi lien h^ giua hgc van va cac nhdm tam ly nha dau ttr

32 Tim ly biy din

53 Miic dp tu tin ciia nha diu tu tren thj trudng :himg khoan

34 Tam Iv bi quan 35.Thai dd vdi riii ro

Trinh dp hpc van Phd thdng

Mean 4,02 5,98 3,64 6,08 6,621

Cao ding Mean

4,71 4,57 4,54 4,62 5,411

Dai hpc Mean

5,56 4,09 5,45 4,01 4,668

Sau dai hpc Mean

5,80 3,61 5,81 3,63 4,204

KinhtkPMt trien

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vomn cuu TRno DOI

Bang 7: Sy khdc bift vc trung binh phSn theo Irinh dg hgc van

01 Tam iv lac quan 02 Tim ly biy din

Q3 Mirc dp ty tin ciia nhi diu tu tren thj trudng chirng khoin 04 Tim ly bi quan Q5 Thii dp vdi riii ro

*. Sy khic bi?! ve trj trung binh cd

Multiple Comparisons Mean Difference (Phd

thdng - Cao ding)

-0,695 1.401*

-0,897 1.453' 1.21*

(Ph6 thdng - Dai Hpc)

-1 546*

1,888*

-1.804*

2.063*

1.952*

(Pho thdng - Sau d^i

hpc) -1.785*

2.364*

-2.162*

2.441*

2.417*

(Cao ding - Dji Hpc) -0.851*

0,486 -0.907*

0.61*

0.742*

(Cao ding - Sau d^i hoc) -1.09*

0.963*

-1.265*

0.988*

1.207*

y nghTa thong ke tî mirc y nghTa 5% (hay dp lin cay (Dî Hpc - Sau dî hpc)

-0,239 0,476 -0,358 0,378 0.465*

95%) Bang 8: Moi lien hf giij-a luoi vd cdc nhdm tam ly nha dau lu-

Ql Tim ly lac quan Q2 Tam ly biy din

Q3 Mirc dp ty tin cua nhi dau tu tren thj trudng chiing khoin

Q4 Tim ly bi quan 0 5 Thii dp vdi nii ro

Tuoi Dudi 25

tuoi Mean

3,64 6,13 3,59 5.82 6,23

Tir 26- 35 Mean

4,33 5,23 4,16 5,12 5,79

Tir 36- 55 Mean

6,03 3,52 5,94 3,57 4,23

Tren 55 tuoi Mean

6,49 2,86 6,45 2,87 3,56 Bang 9: Su Ithac bi^t ve trung binh phan theo dg tuoi

Ql Tim ly lac quan 02 Tim ly bay dan

03 Miic dp ty tin cua nhi dau tu tren thj trudng chirng khoin

04 Tam ly bi quan 05 Thai dp vdi riii ro

*. Sy khac bi?t v6 trj trung binh cd y n

Multiple Comparisons Mean Difference (Dudi 25

tuoi - Tir 26-35) -0,689 0.904*

•0,570 0,703 0,437 jhTa thong

(Dudi 25 tuoi -Tir 36-55) -2.386*

2.609*

•2.354*

2.256*

2.000*

te t^i mice (Dudi 25 tudi - Tren 55 tuoi) -2.853*

3.27*

-2.868*

2.955*

2 675*

(Tir 26 - 35 -Tir 36

55)

•1.696*

1.705*

-1.784*

1.553*

1.564*

y nghTa 5% (hay dp t (Tir 26 - 35 - Tren 55 tudi) .2.163*

2.366*

-2.298*

2.252*

2.238*

n cjy 95%

(Tit 36 - 55 - Tren 55 hioi)

•0,467 0.661*

•0,514 0.699*

0.674*

)

Nam. Bdng 6 cho thdy, nhd ddu tu cd trinh dg hgc vdn eao han thi Igc quan nhiiu han, ty tin han. it bi quan han, vd tdm ly bdy dan it han. Dieu nay khdng dinh, xet d mgt gdc do ndo dd, yeu td hge vdn cd tac dgng tieh eye len tam ly ciia nha dau tu ea nhdn. Ket qua kiem djnh tai Bdng 7 cho thay sy khdc nhau ve

gia trj trung binh giC^a cdc nhdm nhd dau tu theo cac nhdm tam ly nha dau tu Id cd dg tin c§y 95%.

Bdng 8 va Bdng 9 cho biit mdi quan h? gi&a tuoi vd cac nhdm yeu to tam ly: nhd dau tu cd tu6i cang tre thi cang bi quan (vd it I^c quan hem), cang thieu

kinh t(y>hat t r i

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NGHI€N cuu TRflO 0( >^P

ty tin vd ed tdm ly bay dan han. Nhung nhd dau tu cd tudi cao hom thi ngugc l^i, tam ly lac quan cao hem, ty tin han vd thai dg doi vdi rCii ro eung thap han.

3.4. Ket qud 4: Kiem dfnh moi lien he giua hipu qud dau tu (muc sinh Igi) v&i trinh dp hpc van vd quy mo giao dfch cua nhd dau tu cd nhdn

Di kiem djnh moi quan h? gida mde dg hi$u qud trong dau tu chung khodn (do ludng bdng mdc sinh lgi - bien c7 trong bang hdi) vdi trinh dg hge van (bien cl trong bdng hdi) vd quy md giao djch ciia nhd dau tu (bien c5 trong bdng hdi) chiing ta sii dyng md hlnh hoi quy Binary Logistic. Ket qud kiem djnh:

Bang 10.1: Omnibus Tests of Model CoefTicients

step 1 Step Block Vlodel

Chi- square

151,654 151,654 151,654 Jf

2 2 2

Sig.

,000 .000 ,000 Bang 10.2: Model Summary

Step 1

-2 Log likelihood 439.400a

Cox&

Sncll R Square ,262

Nagelkerke R Square

,377 a. Estimation terminated at iteration number 5 because parameter estimates changed by less than .001.

Bdng lO.I cho thdy ket qua kiem dinh ve dg phu hgp tdng qudt cd muc y nghTa quan sdt sig. = .000 nen ta bde bd gia thiet Ho: pel =Pc5 = 0. Bdng 10.2 cho thdy ket qud gid tri cua -2 Log likelihood = 439.4 khdng eao ldm th6 hi?n mue dg phii hgp khd tdt ciia md hinh tdng the.

Bdng 10.3 eho biet muc dg chinh xdc cua dy bdo:

trong 118 trudng hgp dugc dy dodn Id se chju lo thi md hinh dd dy dodn diing 81 trudng hgp, ty I? diing Id 63%. Cdn vdi 382 trudng hgp thye tl hoa von trd len thi md hinh dy doan sai 52 trudng hgp, ty le diing Id ^91.4%. Nhu v|y, ty I? dy dodn dung ciia todn bg md hinh la 83.4%. Bdng 10.4 cho kit qua kiem djnh Wald ve -^ nghia eiia cde h? so hoi quy tong the eiia bien hge van vd dg tuoi deu cd muc y nghTa sig. nhd han 0,05 nin bdc bd gia thiet:

Ho: pel = 0 Ho: pe5 = 0.

Nhu v§y ede h? so hoi quy tim dugc ed y nghTa vd md hlnh cua chiing ta cd the su dyng dugc. Tir cdc h? so hoi quy ta cd phuang trinh:

'oge(P(re_c7 =1)/P(re_c7 = 0)) = -3,679 + 1.968cI -0,27c5

Tdm l^i, ta ed the diln djch y nghia eiia cac h? so hoi quy Binary Logistic nhu sau:

Trinh dg hge van Idm tdng ty sudt sinh Idi edn binh qudn tong muc ddu tu ldm gidm ty suat sinh Idi.

Mue dg tde dgng lam tdng ciia trinh dg hgc vdn eao hon mdc dg tae ddng eiia tdng mue ddu tu.

4. Ket lu^n va khuydn nghi

Thu- nhat: md hinh do ludng yeu to cau thdnh tam ly ciia nhd ddu tu ca nhdn tren TTCK Viet Nam bao gdm 5 nhdm: (1) tam l^f' qud lac quan; (2) tdm ly bay dan; (3) tdm ly qua ty tin; (4) thdi do ddi vdi riii ro; (5) tdm ly bi quan. Md hinh gdm 19 thu^c tinh.

Tu md hinh ndy, chung ta ed the xay dyng cdc chi sd do ludng ylu td cam tinh (sentiment) trong hanh vi ciia nha dau tu ed nhan. Thdng qua dien biln eua cae ehi s6 edm tinh, cde ea quan qudn ly thi trudng chung khodn se dilu chinh cde ehinh sdeh dieu hdnh TTCK mOt each hgp li han.

Bang 10.3: Classification Table' observed

StepI re_c7

Chiu Id Hoa von tra Ien Overall Percentage

Predicted re c7

Chiu Id 87 31

Hda von trd len 52 330

Percentage Correct 62,6 91,4 83,4 a. The cut value is .500

Mull tyiiiU trien

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PGHieN cuu TRno DOI

Bdng 10.4: Variables in the Equation

Step la cl c5 Constant

B 1,968 -,270 -3,679

S.E.

,202 ,117 ,644

Wald 95,308

5,328 32,643

df 1 1 1

Sig.

,000 ,021 ,000

Exp(B) 7,154

,763 ,025 a. Variable(s) entered on step 1: e I, c5.

Thir hai: nhd d4u tu ed nhdn tren TTCK Vi?t Nam Id phi ly tri. VI v^y, dl gidi thich cdc hdnh vi eua hg can sir dyng ly thuyet trien vgng cua tdi chlnh hdnh vi thay cho ly thuylt ky vgng hgp ly. Td dd, cdc chlnh sdch xay dyng vd phdt triln TTCK Vi$t Nam can v^n dyng cdc kit qud nghien cdu ciia tdi ehinh hdnh vi.

Thu ba: hgc van ed vai trd quan trgng doi vdi hi^u qud dau tu, trinh dg hgc van Idm tdng ty suat sinh Idi. Nhd dau tu cd trinh d$ hge van eao hon thi lac quan nhilu ban, ty tin han, ft bi quan han vd tdm

\y bdy dan it han. Vi v|iy, dl bao v$ nha dau tu ca nhdn va ddm bdo TTCK phdt triln bin vihig can tdng cudng ddo t^o kiln thuc cho cdc nhd ddu tu cd nhan.

Thu tu: cac nhd dau tu cd nhan tren TTCK Vi?t Nam la phi ly tri, de bj ton thucmg cung nhu tam ly ddu tu ngdn ban Id chii yeu. Do dd, de phdt trien ben vung TTCK khdng nen t^o ra nhung khac bi^t ve

eû tnic to chiic cua TTCK nhu hi^n nay khi phan chia thdnh 2 Sd Giao djch vdi ca ehl giao djch vd hdng hda khdc nhau. Chiing tdi khuyen nghj trong thdi gian tdi, Vi?t Nam nen sdp nh^p 2 Sd Giao djeh chung khodn thdnh 1 Sd Giao djch chiimg khodn duy nhdt cCia Vi^t Nam vd tdng budc c6 phan hda Sd Giao djch chung khodn dl ddm bdo sy thong nhat trong ho9t dgng, Ihu^n tign cho quan ly cung nhu cdng tde qudn trj. Ben c^nh dd, do cae nhd dau tu ed nhan Id phi ly tri, do dd, vigc dua ra bien dg dao dgng gid nhu hi$n nay si tô ra 1 md neo (anchor) dl tô diem tham chieu cho nha d4u tu. Vi vgiy, ve dai h^n chiing tdi khuyen ngh) bd bien dg dao dgng gid. Dong thdi, de tô co che ty dieu chinh doi vdi cac hanh vi dl bi bay dan, chung tdi khuyin nghj Uy ban Chiing khoan Nha nude nen cho phep thyc hi?n bdn khong khi dd chudn bj day du ca che de minh bêh hda thdng tin.G

Tai li^u tham khao:

1. H.Ken Baker & John R.Nofsinger (2010), Behavioral Finance: Investor. Corporations, and Market, John Wiley

& Sons, Inc.

2. Odean, T. (1998), Volume. Volatility. Price and Profit: When all traders are above average. The Journal of Finance, 53 (6), 1887-1934

3. Rieeiardi, V.(2008a), The Psychology of Risk: The Behavioral Finance Perspective. \n die Handbook of Finance, Volume 2: Investment Management and Financial Management, John & Wiley

4. Hodng Trgng & Chu NguySn Mdng Nggc (2008), Phdn lich dit liiu nghien cicu v&i SPSS, NXB Hdng D^c.

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