r g j J M l III Till MOHIEN ClJfU CHUfNG KHOAN a THI TriUIONU CHllklOl H^bAN
1 ^
DO LVONG TAC DONG CUA CA DEN CHi SO VN INDEX
THS. T H A N T H I X U A N A N H |
1. Dat vdn d^
Trong hon ba thap ky qua, da CO rat nhi^u nghien ciiu ve mdi tUffng quan giiia cdc biOn sd' vi md va gia chiing khoan ii cac nudc tren the gidi. Dat nen mdng dau tien la nghien ciiu cua Fama (1981) vdi ket luan rang cac chi so kinh te vi md trong nudc cd anh hudng dang ke den gia cd phieu tren tren thi trudng chung khoan (TTCK). Tiep theo dd, cac nghien ciiu ciia Canova
& De Nicole (1995), Dickinson (2000), Nasseh & Strauss (2000) tren cac TTCK My va chau Au da chi ra rang trong xu hudng toan cau hda, gia chiing khoan cdn chiu anh hudng khdng nhd tii cac chi sd kinh te qudc te. Cu the, cac bien so vi md chinh dutfc nghien ciiu nhu sau;
M6t la, lai suat thi trudng. Ve mat ly thuyet, gia cd phieu bien ddng ngupc chieu vdi lai suat.
Khi lai suat trai phieu tang len, cau ve trai phieu tang do nha dau tu ludn yeu thich nhUng trai phieu mang lai Iffi suat cao hffn, dieu nay se lam gia cd phieu giam xud'ng. NgUffc lai, lai suat trai phie'u giam se dan den gia cd phie'u tang. Mdi tuong quan am nay da dupc chiing minh bdi nghien ciiu ciia Gjerde and S#ttem (1999), Wongbangpo &
Sharma (2002), Paul va MalHk (2003), Nasseh va Strauss (2004), McMilan (2005), Puah va
Jayaraman (2007), Reilly et al.
(2007).
Tuy nhien, nhiing nghien ccfu ciia Lobo (2002), Apergis va Eleftheriou (2002), Erdem et al.
(2005) va Bohl et al lai chiing minh dieu ngupc laj. Lobo giai thich rang yeu to cff ban tac dgng den TTCK la nhiing thay ddi lai sua't ctf ban ciia FED. Khi FED tang lai suat ctf ban cao htfn ky vpng, day viia dupc xem la thong tin tdt, viia la thdng tin xau dd'i vdi TTCK. Gia cd phieu cd the tang hoac giam khi lai suat Ctf ban tang, nhung miic anh hudng td thdng tin xau la Idn hffn. Ket luan nay ciing gidng vdi ket qua nghien cuu ciia Erdem (2005) tren TTCK Istanbul.
Nhu vay ve mat ly thuyet, lai suat va gia co phie'u cd mdi
(ju Cdc nhd ddu tu ludn CO gdng dif dodn xu hudng cua TrOKdi phdt hien nhiing ca hoi ddu tu mang lai mice sinh Idi i?i/gt trdi vd phdng trdnh
=11= .
tucmg quan am, song thuc te vin cd thd xay ra dieu ngupc lai, Dieu nay cang dupc khfing dinh bdi nghien ciiu gan day nhat ciia nhdm tac giS Wongbangpo va Sharma (2002) ve nhdm 5 thi trudng chau A, bao gdm Philippines, Singapore, Thai Lan, Malaysia va Indonesia. Ket qua nghien ciiu cho thay gia cd phieu bien ddng nguffc chieu vdi lai suat tai TTCK PhUippmes, Singapore, Thai Lan, nhung lai cd tac ddng ciing chieu tai TTCK Indonesia va Malaysia. Sd d! cd su khac nhau nhu vay la do dien bien lam phat va cung tien d cac nudc la khac nhau. Vdi ty le lam phat cao cua Indonesia va Philippines da lam gia tang m&
quan he am (-) giiia gia co pbieii va cung tien, trong khi tdc dp tang trudng cung tien tai Malaysia, Singapore va Thai Lan da lam giam anh hudng duffng (+) den TTCK
Hai Id, gia tri san luffng cdng nghiep. Nghien ciiu ciia Gjerde a n d S s t t e m (1999) tai 6 TTCK chau Au; McMillan (2005) tren TTCK My cho thay gia tri san lugfng cdng nghiep anh hudr^
true tiep va ciing chieu den gia chiing khoan, nhung nd cd mot dp t r i nhat dinh phu thupe vao quy md san lugng cdng nghiep cua tiing thi trudng. Chang h?n, tai TTCK Norwegian, phSn Idn cac doanh nghiep niem ydt la cac
42
CHUNG KHOAN VIETNAM So 166 - Thing 8/2012
NGHIEN C(tU CHliTNG KHOAN & THI TRUdNG CHUfNG KHOAN
res EU TO KINH TE Vi MO
cong ty xuat kliiiu co quy 1116 Ion trong khi chi so gia tri san lUtfng cdng nghiep lai dutfC tinh dua tren mdt lupng Idn cac cdng ty san xua't cdng nghiep cd quy md nho. Do dd, chi sd gia chiing khoan hi anh hudng Idn bdi ket qua cua cac cdng ty xuat khau hffn la nhiing bien ddng ciia nganh cdng nghiep.
Ba Id, chi so' gia tieu diing (CPI). Nasseh va Strauss (2000);
Wongbangpo va Sharma, (2002) va Gunasekarage et al. (2004) da chiing minh rSng CPI - phan anh miic dp lam phat trong nudc - cd mdi mdi quan he ngUffc chieu vdi chi so gia chiing khoan tren TTCK Sri Lanka. Dieu nay la do khi CPI tang ddng nghia vdi viec lam phat tang da lam gia tang chi phi san xuat ciia doanh nghiep, va nhu vay ky vpng loi nhuan trong tuong lai giam xud'ng. Ket qua gia cd phidu ciia doanh nghiep ciing giam theo. Mac du vay, ket qua nghien cihi ciia Wongbangpo va Sharma (2002) ve TTCK 6 nudc ASEAN cho thay trong mdt sd trudng hop, lam phat cao la
nguyen nhiin chinh dan den gia cd phieu tang vi cd phie'u dupc xem la cdng cu phdng hd nil ro lam phat td't hon trai phieu.
Bdn Id, cung tien (M2) va ty gia. Suliaman D. Mohammad, Adnan Hussain, Adnan Ali (2009) da nghien ciiu tac ddng cac yeu to vi md den TTCK Karachi, Trong nghien ciiu nay, tac gia sii dung so lieu hang quy di quan sat cac yeu td vi md bao gdm ty gia hdi doai, du trii ngoai hdi, chi sd san xua't cdng nghiep, chi tieu tdng tai san cd dinh, cung tiln M2 va chi sd' gia ban budn tac ddng den chi sd gia chiing khoan Karachi (Karachi Stock Exchange KSE) giai doan nam 1986 - 2007. Ket qua nghien ciiu cho thay chi so' san xuat cdng nghiep, du trii ngoai hdi, chi sd gia ban budn cd tac ddng Cling chieu len chi sd' gia chiing khoan trong khi ty gia hdi doai, chi tieu tdng tai san cd' dinh, lai suat va cung tien M2 cd tac ddng ngUffc chieu. Ta't ca cac hd so tuong quan dIu cd y nghia thd'ng kd ngoai t n i bid'n chi tidu tdng tai san cd dinh.
Tdm lai, cac ket qua nghien ciiu tren deu cho thay cac bien sd vi md trong nudc nhu lai suat, lam phat, gia tri san lugng cdng nghiep, ty gia, cung tien cd mdi quan he chat che vdi bien ddng ciia TTCK. Tuy nhien, nghien ciiu gan day ciia nhdm tac gia Md. Mohiuddin, Md. Didarul Alam & Abdullah Ibneyy Shahid (2008) lai khong tim thd'y moi tUffng quan nao giiia chi so gia chiing khoan Bangladesh vdi cac yeu td vi md neu tren trong miic y nghia thd'ng ke. Va rd rang la tren thuc te', cd the cd hoac khdng tdn tai mdi tuffng quan giiia cac yeu td vi md vdi gia chiing khoan. Vi vay, trong khudn khd bai viet nay, tac gia se kiem chiing xem lieu cac yeu to kinh te vi md trong nudc cd anh hudng den gia co phie'u tren TTCK Viet Nam hay khdng?
Neu cd, miic dp anh hudng ciia tiing yeu td nhu the nao? Tren Cff sd dd se dua ra mot sd' khuye'n nghi cho cac nha dau tu.
2. Phuong p h d p nghidn cuu Cac nha nghidn ciiu da sii dung nhieu phuffng phap khac nhau nham lam rd mdi quan hd giUa cac bien so kinh te vi md va gia chiing khoan. Thii nhai la phuong phap Ky thuat mo hinh hoa vec-tff tu hdi quy nhieu chieu (The multivariate vector autoregression modehng tech- nique) dupc Gjerde and Sfcttem (1999) ap dung nham do ludng tac ddng ciia cac bien vi md trong nudc va qud'c te nhu san lUrfng cdng nghiep, ty gia, gia xang dau den gia chiing khoan.
Tbii hai la phuffng phap Mo hinh hieu chinh sai so dang vec iff (The vector error correction
So 166 - Thang 8/2012 CHUNG KHOAN VIETNAM
Glaiao^n 1 CSTTthit ch$l v6161 suit ca bin c6 xu hutmg glim din, 6n (J/n/i
model) dupc ap dung bdi ff^:!tM]ariig!IlS3iT^
Wongpangpo, Sharma (2002) va Mc Milan (2005) trong cdc nghien ciiu vdi muc dich tim ra it nhat mpt mdi quan hg dai han giUa cac bien vi md va gia chiing khoan.
Thu ba la phuffng phap Md hinh hoi quy (Regression Model) dupc ap dung bdi Canova va DeNicolo (1995), Apergis va Sophia Eleftheriou (2002), Nasseh va Strauss (2000) dua tren cac dae tinh ciia mau dii ligu hoac cac muc dich nghien ciiu nham do tudng dp nhay cam ciia chi sd gia chiing khoan trudc nhiing bien ddng ciia cac bien so vi md.
Trong khudn khd bai viet nay, tac gia sii dung phuffng phap thii ha (Mo hinh hdi quy) ket hpp vdi su hd trcf cua phan mem thd'ng ke Eview nham kiem dinh mdi quan he giiia gia chiing khoan va cac bien so' vi mo trong nudc. Md hinh phan tich dinh lugng dupc xdy dung nhu sau:
LnVNI fiO filLnlO +
^2LnCPI +^3lnEx + fi4LnIR + fi5LnM2 (1)
Trong dd:
- Ln: Log cff sd.
- 60: H^ so gd'c dudng hdi quy.
- 61,2,3,4,5: He sd hdi quy hien ddc lap.
- VNI: Chi sd gia TTCK Vi^t Nam, dupc tinh bang each lay chi sd gia ddng ciia hang thang (chi sd VN Index).
- 10: Gia t n san luotig cdng nghiep theo thdng ke cua GSO.
- CPI: Chi sd gia tieu diing theo thdng ke ciia GSO.
Glal ao^n 3: CSTT thii chit vi 161 suit CO'bin cao ky lijc
GIOI do^ S' CSTTthit chit vA lai suit ca tiin tingnh^S.
- EX: Ty gia hdi dodi danh nghia song phutfng VND/USD theo thdng ke ciia GSO.
- M2: Cung tien M2 (bao gdm tien te va chuan te) theo thd'ng ke ciia IMF.
- IR: Lai suat huy ddng ngdn hang thuffng mai (NHTM) ky ban 12 thang theo thdng ke ciia Quy Tien te Qudc te (IMF).
Theo md hinh nay, chi so' gia chiing khoan dupc cho la phu thudc vao mdt sd bien cff ban la gia tri san lugng cdng nghipp, CPI, ty gia hdi doai danh nghia giiia VND/USD, cung tien (M2) va lai suat huy ddng ngan hang ky ban 12 thang.
Dua tren md hinh phan tich dinh lugrng va nhiing phan tich ly thuyet neu tren, bdi viet se thuc hi^n kiem dinh mdi tucmg quan giiia chi sd chiing khoan va bien vi md nhu sau:
- Gia thiet HQ: fii = Bg = B3 =
^4 = '^S = "^ (Khdng cd mdi tuffng quan giUa chi sd'chiing khoan va cac bien vi md).
Gia thiet Hj: Mpt trong cac he sd Bj khac khdng (It nha't cd mdt bien vi md tac ddng den chi sd gia chung khoan).
HinfainnrAdi
Kiem dinh F va T se dupc sii dung de xac dinh ket qua nghidn ciiu. Neu bac bd HQ cd nghia la cd su tuong quan (it nhat la mdt) bien sd vi md den TTCK Ngupc , lai, neu ket qua nghien ciiu chap nhan HQ cd nghia la thiia nhan TTCK hoat ddng ddc lap vdi nhiing bien ddng ciia nen kinh te trong nudc. Mat khac, xet trong hoan canh ciia TTCK Viet Nam vdi mong mud'n gia tri san lupng cdng nghiep va cung tien M2 tang se keo theo sU gia tang chi sd gia ehiing khoan nen nghien eiiu mong dpi B1>0 B5>0 trong khi CPI, ty gia va lai suat tang gay tac ddng tieu cue den chi sd gia chiing khoan nen nghien ciiu mong dpi B2<0, I B3<0, fl4<0.
3. Md td sd li^u
Tac gia sii dung sd lieu thdi^
ke theo thang va thdi gian nghien ciiu tut thang 4/2005 den thang 4/2011'. Trong thdi gian I nay, TTCK trai qua moi cung I bac va chu ky kinh doanh. Cu I the giai doan tii 2005 - 2006, thi
\ trudrng bat dau khdi sac, giai j doan chiing kien thi trudng tai^
44
CHUNG KHOAN VliT NAM So 166 - Thang 8/2012
NGHIEN CUfU CHU'NG KHOAN a THI T R U 6 N G CHUfNG KHOAN
rtf^iniTiiimii
trudng nhanh (giai doan 2006 - - 2007), giai doan thi trudng cham i dinh (2008) va cudi ciing la giai , doan thi trudng di vao thdi ky I suy thoai 2009 - 2011. Hpn mia, | khoang thdi gian nghien cum nay ciing chiing kien chinh sach ' tien td (CSTT) cd nhieu thay ddi i Idn de ling phd vdi khung hoang kinh te vd kiem che lam phat.
Vdi su hd trp ciia phan mem thdng ke Eview, cac chudi sd'lieu ; dupc xdc dinh la chudi thdi gian khdng diing 1(0). Nhan thay TTCK Viet Nam phan ling rat nhanh vdi thay ddi chinh sdeh vi md cua Nha nudc nen nghien ciiu chpn budc tre tdi uu la mpt thdi ky nhu de nghi ciia tieu chuan PPE (Final prediction error) va tieu chuan HQ (Hannan Quinn information criterion). Do dae diem cua chudi dii lieu tac gia diing ky thuat kiem dinh ddng lien ket de kiem dinh mdi can bang dai han giiia cac bien trong md hinh (1).
4 . Ket qud
Ket qua kiem dinh cho thay:
F-statistie = 3.243883 Prob(F-statistic) = 0.011062
<0.05
Nhu vay, bac bo HQ vdi miic y nghia 10'5'c va thiia nhan Hj.
Dieu nay ed the khang dmh tdn • tai mdi quan he gnia cac bien vi i md va chi sd' VN Index. Mdi lien hd nay dupc the hien qua
phUffng trinh (2): | LnVNI = 5.212565 + ,
1.10115LnIO - 4.717977LnCPI - ' 3.457032LnEx - I 0.383555LnIR+0.124915LnM2 j
(2)2 I Tii ket qua hdi quy (rod hinh i
(2)) va kdt qua kiem dinh gia j thuyet ve y nghia cac he sd hdi ]
quy trong md hinh (2) cd the gidi i thich mdi quan hg giiia cac bien i sd vi md trong md hinh nhu sau: ! Vdi miie y nghia thdng ke a = 10%, he so thd'ng ke t = I 1.993943, nghien eiiu nhan thay I tdn tai mdi quan he gida bien ! VNI vdi cdc bien 10, M2, CPI va i IR, khdng tdn tai mdi quan hp | giUa bien VNI vdi bien EX.
Trong dieu kien cac yeu td khac ' khdng thay ddi, su bien d^ng ciia I mdt bien trong md hinh se lam , VNI thay ddi, cu the nhu sau:
(1) Khi gia tri san lUpng cdng '
Truoc kill quy^l dinh dau tu, nha dau tu can chO trong d ^ di§n bien CPI, cung tien va gia Iri sdn lugng cong ighigp. ^ ' „ f c ST ' nghiep tang 1%, VN Index tang 1,10115%. Dieu nay cho thay cd mdi tUffng quan dutfng giiia gia tri san lUtfng cdng nghiep va gia chiing khoan. Ly do la vi san lugng edng nghiep tang len se laro tang ddng tien ky vpng trong tUffng lai, tii do tao ra ddng thu nhap co tiic Idn hffn.
Dudi gdc dp ciia nha dau tu, day chinh la ddng luc khien hg s&n sang mua chiing khoan vdi miic gia cao hffn, tii dd day chi sd gia
chiing khoan tang theo. Ngoai ra, ket luan nay eung diing vdi thuc te la gan 60% cac doanh nghiep niem yet tren TTCK Viet Nam thudc linh vuc cdng nghiep.
Do dd, nhiing thdng tin tdt tii linh vue nay la dau hieu tdt thiic day TTCK tang trudng. Nhan dinh nay cung nhat qudn vdi ket luan dupc nit ra tii nghien eiiu ciia Gjerde & Ssttem (1999), McMillan (2005).
(2) Khi cung tien M2 tang V/c, VN Index tang 0,124915%.
Nhu vay, cung tien va gia ehiing khoan bien dong cung chieu vdi nhau. Dieu nay dupc giai thich nhu sau:
M2 gia tang the hien su md rdng ve CSTT nen ngudn cung tien tren thi trudng Cling gia tang. Ca doanh nghiep va nha dau tu cd nhieu cff hpi tiep can ngudn vd'n.
Doanh nghiep dl dang vay vdn de md rdng kinh doanh nen kha nang tang thu nhap cUng tang len. Nha dau tu cd them ngudn vd'n de kinh doanh dau tu nen cau ve ehiing khoan se tang.
Mat khac, khi M2 tang ham y lai suat tren thi trudng tien te se giam va theo nguyen tac binh thdng nhau giUa thi trudng tien te va thi trucmg vdn thi luffng tien nhan rdi se dich chuyen tii thi trudng tien te sang TTCK de hudng mdc sinh Idi cao hffn.
(3) Khi CPI tang 1%, VN Index giam 4,717977%, hay ndi each khac ehi so gia chiing khoan bien ddng ngupc chieu vdi CPI. Ly do la trong thdi ky lam phat cao, ky vpng ve nen kmh te
So 166 - Thang 8/2012 CHUNC KHOAN VIET NAM
NGHIEN CUTU CHUTNG KHOAN & THI TRU
thudng xau di. Lam phat cdn lam giam lugng tien thuc luu thdng trong nen kinh te' khien cau ve hang hda giam, gdp phan giam cau chiing khoan va chi sd gia giam. Ben canh dd, lam phat cao dan den Itfi nhuan doanh nghiep giam, chi phi ciia viec phat hanh chiing khoan eiing nhu chi phi ciia viec gid tien va chi phi dau tu tang len ngay khi cd lam phat, cdn gia cac sdn pham ciia doanh nghiep lai thay ddi eham hffn. Tat cd dieu nay lam giam ddng tien trong tUtfng lai etia doanh nghigp va lam giam chi sd gia do cau giam.
Thuc te' bien dpng ciia chi so VN Index qua bieu dd tren cung cho thay tuong quan rd ret giiia lam phat va TTCK tai Viet Nam thdi gian qua. Khi lam phat tang cd miie dd trong bdi ednh cung tien tang manh va md rdng 1 chi tieu Chinh phii thi TTCK tang trudng ndng; khi lam phat tang qua cao vucft qua tam kiem soat trong bdi canh that chat tien te thi TTCK suy giam nhanh. O trang thai ngupc lai, khi lam phat giam trong bdi canh thuc thi CSTT va tai khda ndi long thi TTCK tang trudng trd lai- Cudi ciing, d trang thai trung tinh, khi lam phat tang cd miie dd nhung khdng den miic qua cao va trong mdi trudng thu hep tidn te thi TTCK se "ludng lu" va cung trong xu the' thu hep.
(4) Khi lai suat huy ddng tang 1%, chi sd VN Index giam 0,383555%. Dieu nay cho thay lai suat bien dpng ngupc chieu vdi gia CO phieu. Lai suat huy ddng Ciia ngan hang tang ddn den lai suat cho vay tang theo.
Ket qua, chi phi dau vao ciia ,
GujChiM2tdng ham y Idi sudt trin ihi trudng lion t(/8&
gidm, ludng tien nhdn rdi s^ dich chuyin tCt thi trUdng tien le sang TTCK do hudng inUc ninh Idi cao hdn,jnrj
doanh nghigp tdng va do vay ddng Ipi nhuan ky vpng trong nam giam la nguyen nhan dan den gia co phieu giam. Ket luan nay tUffng tu nhu nghien ciiu cua Gjerde va Sattem (1999).
(5) He sd hoi quy bien EX khdng cd y nghia thdng kd, hay ndi each khac, ket qua cho thay khdng tdn tai mdi quan he giiia chi sd' VN Index va ty gia VND/USD.
^. K^t ludn
Ket qua nghien ciiu dinh lupng cho thay tdn tai mdi tucmg quan thuan giiia gia tri san lupng cdng nghigp va cung tien M2 vdi VN Index va tuffng quan nghich giiia cac bien CPI, lai suat va ty gia den VN Index, trong dd CPI cd miic tac dpng manh nha't trong cac bien. Tuy nhien, d gdc dp thdng ke, nghien ciiu chi chap nhan mdi tUtfng quan giiia VN Index vdi gia tri san lutfng cdng nghiep, CPI, lai suat va bien cung tien M2 vdi mdc y nghia a = 10%. Mdc du bien ty gia cd he sd tuomg quan khdng cd y nghia thd'ng ke nhimg xet ve dau va neu ket hop vdi phan tich md ta ban dau thi
ket qua md hinh dinh lupng phii hpp vdi thuc te ciia TTCK Vigt Nam giai doan thdng 4/2005 - 4/2011.
TTCK dupc xem la mdt kenh dSu tu hap dan nhung cung chiia dung nhieu nii ro. Do d6, cdc nha dau tU ludn ed gdng du dodn xu hudmg ciia TTCK de phdt hign nhiing ctf hgi dau tu mang lai miic sinh Idi vupt trpi (abnor- mal return) vd phdng trdnh nii ro. Ddc bipt, nhd ddu tu can chii trpng den dien bien CPI, cung tien vd gia tri sdn lupng cdng nghigp. Lien quan den mdi quan hg giiia cac chi sd kinh te vi md vd TTCK, nha dau tu cd thd du bdo thi trudng tdi chinh sS thay ddi nhu the ndo neu cdc chi sd nhu lai sudt, cde chi sd sdn xuS!t cdng nghiep, CPI, ty gid, cung tien trong nudc bien ddng. Mdt khac, cac nha hoach dinh chinh sdeh cd the cdn cti vao phan tich nhiing tucmg quan de xay dung cac CSTT nham dieu chinh TTCK Viet Nam nhanh chdng, kip thdi.®
TQI lieu tham khdo:
• KHALED HUSSAINEY, I f KHANH NGOC. Impoct of imooeconorric indkolm on Vietnamese slock pricBS, Journal of Risk Finance, Volume 4, Forthcomini 2009.
- NGUYEN Hdu T11J(N,'0)1 stf gid (hdng IdioAi d«i tOc dOng invih bdi v & IdrimO niia', http://wwwJioo- nwi.coni/ChiwdiungUKiarHiikria»kin9iiwnMiot^
1[HiHiiiMioo/127/79547S8.epi, tniy (flp ngily 3 0 / 6 / 2 0 1 2 .
- TS. NGUYEN KHiC MINH, 'C6c phuong phlip phdn lidi vA di; bdo hong Mnh t f , NXB 13x10 hoc va Kf thiOl, 2007.
C h u f h i c h :
1.6« dct Ii4u cdc chi s6 CO bdn lir bdl gitng I M I J hnng' tgi Hpc viOn Ngdn hdng (ihdng i/2012), TS.
Ngtfyin Khdc Minh - OH Kinh M Qutfc ddn.
2. KSt qud ndy dugc tdc gId Idy n md hinh EvM dipy trdn bo dirlifu v9 cdc chi sd cirbdn.
CHUNG KHOAN VliT NAM So 166 - ThAnP 8/Pni7
