NGHIEN CtfU VE BO BIEN THIEN CUA SUAT SINH Ldi CO PHIEU TREN TH! TRirCfNG CHUFNG KHOAN VIET NAM
Le Dink Nghi (*) NgAy nhin: 28/12/2015
Ngiy nh4n lai: 12/4/2016 Ng4y duy§t dang: 10/10/2016 Ma s6': 10-16-22
Torn tdt: Nghien cdu sd dung md hinh GARCH di do ludng dd biin thien (BBT) tai hai sdn giao dich chiing khodn cda Viet Nam Id HOSE (Hochiminh City Stock Exchange) vd HNX (Hanoi Stock Exchange). Thdng qua kHm dmh nhdn qud Granger (Granger Causality Test), kit qud nghUn cdu chi ra, BBT ttii HOSE nho han tqi HNX vd HOSE co tdc dgng lan toa len BBT tqi HNX, nhUng khdng CO chieu nguqc lai.
Ta khda: GARCH, do biin thien, lan tda dd biin thiin.
Abstract: This paper uses GARCH model to measure the stock return volatility in HOSE (Hochiminh City Stock Exchange) and HNX (Hanoi Stock Exchange). Applying Granger Causality Test, the empirical results show that HOSE has higher volatility than HNX and that there is a significant spillover effect from HOSE to HNX.
Keywords: GARCH, volatility, volatility spillovers.
G i d i t h i ^ u
Mfit trong nhflng yfiu tfi' quan trgng dflgc quan tdm bdi cdc nha ddu tfl trfin thi trfldng chflng khodn (TTCK) Id rui ro. Rui ro cfi thfi' dflgc dinh Iflgng thfing qua DBT (volatility) vd do bdng phflong sai cfi dilu kifin eua chufii sud't sinh lgi (SSL) ciia cfi phifi'u. GARCH Id mfi hinh hifiu qua vd dflgc sfl dung rfing rdi dfi' mfi hinh hfia DBT cua SSL cfi phieu. Ngodi ra, anh huong ciia DBT gifla cdc thi trfldng cung Id mgt yfi'u tfi' ddng quan t d m dfi'i vdi n h i l u nhd ddu tu vd nhd qudn ly giup nhd ddu tfl cfi them CO sd de" dfl bdo riii ro khi ddu tfl cung nhfl nhd quan ly kiem sodt tfi't hon cdc bie'n dfing trfin thi trflong.
Nghifin cflu ndy sfl dung mfi hinh GARCH de' phdn tich DBT tai hai sdn giao dich chflng khodn tai Viet Nam Id HOSE vd HNX, tfl dfi kifi'm dinh tac dgng lan toa DBT gifla hai thi trfldng ndy thfing qua kiem dinh nhdn qua Granger.
T o n g q u a n c a c n g h i e n c ^ u trvfdc v l d$
b i e ' n t h i e n c i i a s u a t s i n h l d i co phifiu DBT Id dai Iflgng do Ifldng do phdn tdn m mdt do xdc sud't ciia bie'n ngdu nhien. Dai Iflgng ndy thflcfng dflgc dung phfi bifi'n ii do do p h d n t d n Id dfi lech chudn. Id cdn Mc hai eua phflong sai cua bifi'n nglu nhitn (Alexander, 2001). Vdi dfl lieu Id ede chi s6 trfin thi trfldng chflng khodn, DBT la dai Iflgng thfi'ng kfi do dfi p h d n t d n cua SSL trJn mgt sdn giag dich chflng khodn hay ehi lo thi trfldng bdng do lech chudn SSL. Nhfl viy, DBT cang ldn, dfi rui ro cua cfi phifi'u cang cao. Noi mgt cdch khdc, DBT ddnh gid ill khfing chdc chdn hay riii ro v l sfl thay doi gid cfi phifi'u. DBT cao p h d n d n h gid tri ciia CO phifi'u t i l m d n khd n d n g bifi'n thifin tronj khodng r g n g cdc gid t r i , dong nghia Id gii eiia CO phifi'u c6 t h e t h a y doi dot nggt troni khodng t h d i gian ngdn. DBT nhfi nghia Id pi tri eua co phifi'u khfing dao dfing mgt cdch d^t
cbngn^ ngan hang
Sfi'127» Thang 10/2016
nggt ma chi t h a y do'i d d n theo t h d i gian. Nhfl vdy, DBT cfi the' dflgc xem Id khdi n i e m quan t r g n g trong cdc nghifin cflu t a i chinh sfl dung p h d n tich chufii t h d i gian vi no t h e hifin sfl dao dgng eua SSL trfin s a n giao dich chflng khodn vd do dflgc do n i i ro eiia cae danh mue ddu tfl.
Trong thflc te', dfl lieu chufii t h d i gian t a i chinh thfldng co ddc diem ggi Id h g p n h o m bifin thifin (volatility clustering), nghia Id DBT l(Jn thifdng co k h u y n h hfldng theo sau DBT ldn vd ngirgc l a i DBT n h o (Hinh 1).
Phflong phdp don g i a n de kifi'm dinh sfl t o n t a i cua hifin tflgng n d y Id t i n h eac he so' tfl tflong quan eua chufii binh phflong SSL. Mfi hinh GARCH, dflgc gidi t h i e u bdi Bollerslev (1986), dd mfi h i n h h o a h i e n tflgng nay. Vi vdy, mfi hinh GARCH dong vai trd quan t r g n g trong ddnh gid SSL vd DBT cua SSL.
Hinh 1: Hifin tvtOng nhom bien thien ciia chuoi thdi gian tai chinh
0.1
0.05- 0 -0.05 -0.1 -0.15
> t M ^ | i ™ ^
NguSn: Aleiander (2001)
Engle (1982) Id ngfldi dau tien gidi thieu mfi hinh ARCH (AutoRegressive Conditional Heteroscedastic) d l ddnh gid DBT. Mo hinh ndy dflgc Bollerslev (1986) bfi' sung thfing qua vific gidi thieu mfi hinh GARCH (Generalized AutoRegressive Conditional Heteroscedastic).
Tren co sd do, n h i l u mo hinh khdc dflgc xay dung vd phat trien de ddnh gid n h i l u khia canh khde nhau eua DBT nhfl mfi hinh GARCH-in-Mean (GARCH-M), Threshold GARCH (TGARCH)...
(Tsay, 2005).
Nhieu nghien cflu da dfla vao cac mfi hinh nay dfi phdn tich DBT t a i TTCK cdc nudc trfin thfi' gidi Phylaktis vd ctg (1999) da kifi'm
dinh hieu flng GARCH va sfl dung mfi h i n h GARCH de d d n h gid t a c dgng ciia bifin phdp thu h e p bifin do dao dgng gia Ifin DBT gid c6 phifi'u t a i TTCK A t h e n s (Hy Lap). Cdc tdc gia n a y da dfla r a hai gia thifi't (dfi' ly giai cdc tdc dgng cua b i e n p h d p thu h e p bien do dao dgng gid Ifin DBT) la gia thifi't thfing tin (Information Hypothesis) vd gia thifi't p h a n flng t h d i qud (Overreaction Hypothesis). Ke't qua nghifin cflu chi r a r i n g DBT t a i TTCK Athens t u a n theo gid thifi't thfing tin.
E r g u n v a N o r ( 2 0 1 0 ) s f l d u n g m 6 h i n h C G A R C H , k i e m dinh dong tich h g p (Cointegration Test) vd k i e m d i n h n h d n qua hai bien Engle- Granger d^ p h a t h i e n moi tflong quan va tdc dgng lan toa DBT mgt cdch eg y nghia thfi'ng ke cua TTCK My (NASDAQ) Ifin TTCK Thfi' Nhi Ky (ISE).
Tflong tfl, Kharchenko vd Tzvetkov (2013) kiem dinh hifiu flng lan t o a DBT gifla cdc n e n kinh te p h d t trie'n vd ede n e n kinh tfi' mdi nfii t h o n g qua p h a n tich dfl lieu t a i cdc nfldc nhfl Trung Qufic, Nga, An Do, Phdp, Dfle, My.
Shih-Yung vd ctg (2011) sfl dung cdc mfi hinh EGARCH vd CGARCH dfi' p h d n tich DBT bd't dfi'i xflng vd DBT t r o n g ngdn vd ddi b a n trong thdi ki trfldc vd sau khiing hodng tdi chinh todn cau t a i t a m thi t r u d n g chdu A.
Slimane vd ctg (2013) sfl dung mfi hinh VAR- EGARCH (Vector Autoregressive Exponential General Autoregressive Conditional Heteroscedasticity) dfi' tim h i l u cufic k h u n g hoang tdi chinh tde dgng nhfl thfi' ndo Ifin DBT t a i cdc TTCK chdu Au trong thdi ki tfl 01/7/2008 den 28/11/2008. Tfl dfi, riit ra kfi't ludn cdc thi trfldng nay tudn theo gid thifi't Id sfl tuong tde vd phu thugc ldn nhau gifla cdc thi trfldng trong thdi ki suy thodi m a n h hon so vdi thdi ki thi trfldng pbuc hoi (Aloui vd ctg, 2011).
T a i TTCK Vifit N a m , DBT cua SSL dflgc nghifin cflu ddu tifin bdi Vuong Qudn Hodng
cbngn^ n g a n hang
Sar 127'Thang 10/2016
(2004). Tac gia ndy k i l m dinh hieu flng GARCH dfldi tdc dgng cua cdc bifi'n chinh sdch vd thfing tin. Kfi't qua nghien cflu cho thd'y, TTCK Viet Nam rd't nhay cam vdi cdc chinh sdch, ddc biet Id bifin do dao dgng gid. ehiu sfl dnh hfldng ciia dong thfing tin vd cfi sfl tde dgng qua lai ciia cdc cfi' phifiu theo k i l u "ddu loang" Cdc nghifin cflu tifi'p theo v l DBT tai TTCK Viet Nam dflgc thflc hifin bdi Nguyfin Thu Hien vd Lfi Dinh Nghi (2010) vd sau do dflgc bfi sung bdi Lfi Dinh Nghi (2012). Kfi't qua cdc nghifin cflu da phdt hifin sfl tdn tai ciia hieu flng GARCH tai TTCK Viet Nam trong giai doan tfl 3/2007 dfi'n 02/2009 vd tde dgng eiia bifin phdp thu hep bifin do dao dgng gid Ifin DBT, hay anh hfldng cua khfi'i Iflgng giag dich Ifin DBT tai TTCK Vifit Nam... D i l u ndy co nghia Id gidi ban bifin do dao dfing gid chi ldm keo ddi sfi' ngdy giao dich cdn thifi't de gid dat trang thdi cdn bdng md khfing anh hfldng dfi'n DBT, tflc Id khfing cfi tde dfing ldm giam rui ro thi trfldng. Nhfl vdy, bifin phdp binh fin thi trfldng bdng cdch thu hep bifin do dao dfing gid nhfl dflgc dp dung trong giai doan tfl 27/3/2008 dfi'n 18/8/2008 Id khfing thdt sfl thdnh cfing tai TTCK Vifit Nam. Tfl dfi, cdc nghifin cflu d l xud't Cy ban Chflng khodn nhd nfldc cdn nghifin cflu chud'n bi cdc bifin phdp khdc giup trdn an thi trfldng tfi't hon vd ehu dfing dfii phfi khi TTCK Vifit Nam lai xay sfl sut giam nhanh nhfl trong giai doan dflgc dl cdp dfi'n trong cae nghifin cflu trfin.
Cfi the' thd'y rdng, mfic du tai Viet Nam da cfi mfit sfi' nghien cflu sfl dung mfi hinh GARCH de ddnh gia DBT nhflng cdc nghifin cflu ndy dflgc thue hifin vdi chufii dfl lieu khd ngdn vd chfla dflgc cfip nhdt eung nhu chfla cfi nghien cflu phdn tich tde dfing lan tfi a DBT gifla hai thi trfldng HOSE vd HNX.
Vl vay. tdc gia se thuc hifin nghifin cflu vdi dfl lifiu dflgc cap nhdt hon vd kifi'm dinh tdc dfing lan toa DBT de tim ra moi lien he v l DBT gifla hai sdn giao dich chflng khodn HOSE vd HNX.
Dvi U e u v a phtfcfng p h a p n g h i f i n c i i u Da lieu nghiin cau
Dfl lieu dflgc sfl dung la eac chi sfi' tfing hgp theo ngdy cua VN-Index va HNX-Index ldn Iflgt tai hai sdn giao dich TP.HCM vd Hd Nfii trong giai doan tfl 21/4/2006 dfi'n 21/8/2015.
Do dfl lifiu HNX-Index thu thdp hi thieu mfit so' ngdy nfin d l dfing nhd't hai chufii dfl lifiu, tdc gia da xoa dfl lifiu VN-Index vdo cdc ngdy khfing cfi dfl lifiu cua HNX-Index. Sau khi hifiu chinh, mfii chufii dfl lifiu cfi 2.304 quan sdt.
SSL cfi phifi'u tai mfii thi trfldng dflgc tinh todn theo cfing thflc:
SSL (rate of return) = ln(Pt)/ln(Pt.i) Trong dfi: ln(x) Id logarith tif nhien ciia x, P, vd Pj.i la ede ehi sfi' thi trfldng tai thdi dilm t vd t-1. Cu t h l , Pt chinh la chi sfi' VN-Index dfi'i vdi sdn HOSE vd HNX-Index dfi'i vdi sdn HNX.
Dfl lifiu SSL dflgc k i l m tra tinh dflng thfing qua k i l m dinh Augmented Dickey-Fuller (ADF) vd thflc hifin hfii quy theo mfi hinh GARCH.
Mo hinh GARCH
Bollerslev (1986) Id ngfldi ddu tifin dfla ra mfi hinh GARCH d l mfi td phflong sai cfi dilu kifin eua SSL, tflc Id DBT. Vdi mfi hinh dang ARMA de mfi td SSL:
r, = 0o + 2:PiXi, + E0ir,.i + ieja,.i+a,
1=1 i=l i=l Trong dfi: k,p vd q Id cdc so nguyfin dm; Xjt Id cdc bifi'n nguyfin nhdn; r^j vd a^j ldn Iflgt Id SSL vd cdc sai sfi dfl bdo tai thdi dilm t-i; mfi hinh GARCH mfi td DBT, thfing qua phflong sai cfi dilu ki^n cfi d^ng:
- " I S
i=l j=l
cangn^ ngdn hang
S6'I27»Thdng 10/2016
Trong dfi: op Id phflong sai co d i l u kien;
lEtl Id bifi'n phdn bfi' ngdu nhifin d i u iid (identically distributed) vdi trung binh bdng 0 vd phflong sai bdng 1, ao>0, ai>0, Pj^O vd'^xia.-^Kl- Cl ddy, ta h i l u rdng 04=0 vdi i>m va Pi=0 vdi j>s; rdng huge sau ve O;
+ Pi dfi' phflong sai khfing dieu kifin cua a^ la hflu han, trong khi phflong sai cd dieu kifin op thay dfi'i theo thdi gian, thfldng dflgc gid sfl tudn theo phdn bfi' chuan, phan bfi' Student-t chud'n hoa hay phdn bfi' Ifii tong qudt.
Nhfl vdy, mfi hinh GARCH bieu d i l n dflgc DBT vd cdc yfi'u to' anh hfldng. Theo do, nfi'u cdc hfi sfi' Oj vd Pi cd y nghia thong kfi chflng to DBT chiu tdc dgng ciia DBT vd thanh phdn Ifii (dai dien cho sfl tdng giam ngodi kl vgng eua nha ddu tu) trong cdc giai doan trfldc dfi.
Dfl lifiu DBT cfi dflgc tfl mfi hinh GARCH dflgc kifi'm dinh tinh dflng. Sau dg, tdc gia sfl dung kifi'm dinh nhdn qua Granger de ddnh gid tdc dgng lan toa DBT gifla cdc thi trfldng.
Kiern dinh nhdn qud Granger
Granger (1969) da xdy dflng ly thuyfi't de' k i l m dinh mfi'i tflong quan "nhdn qud"
(causality) gifla cdc chufii dfl lifiu. Phflong phdp ddnh gid bifi'n x tdc dfing Ifin y dfla trfin vific k i l m dinh xem bifi'n y dflgc giai thich bdi cdc gid tri eua y trong qua khfl vd ede gid tri cfi do tre cua x. Bifin y dflgc xem Id ket qua Granger ciia x (Granger-caused by xl neu x gop phdn dfl bdo dflgc gid tri cua y, hay noi cdch khdc la ede hfi sfi cua bifi'n tri ciia X cfi y nghia thfi'ng kfi. Nghien cflu thfldng kiem dinh hai chieu, nghia Id x tdc dfing Ifin y vd nguge lai. Mfi hinh hoi quy hai bifin nhdm d i l m dinh dieu ndy co dang:
(IHS Global, 2013).
y, = Oo + a,>,., + ... + a,yt., + piXf.; + ... + p,Xt., + E, X, = Oo + a , x , . , + ... + OiXj., + p , \ , . , + ... + p,y,.| + £,
vd k i l m dinh: p, = pj = ... = Pi = 0 cho moi phflong trinh d trfin. Gia thifi't HQ la: x khfing tdc dgng nhdn qua Granger Ifin y (x does not Granger-cause y) trong phflong trinh hoi quy d bfin tren vd y khong tdc dgng nhdn qua Granger len x ly does not Granger-cause x) trong phflong trinh hoi quy d ben dfldi. Nhfl vdy, nfi'u d phflong trinh phia trfin (y Id bifi'n phu thugc), gia thifi't HQ bi bdc bo nghia la x tdc dfing nhdn qua Granger len y.
Nhfl vdy, dung kifi'm dinh nhdn qua Granger dfi'i vdi chufii dfl lieu DBT tai hai sdn giao dich se giup xdc dinh mfi'i lifin he cung nhfl chieu t a c dfing gifla hai sdn HOSE vd HNX.
Ke't q u a n g h i e n c i i u
Dfl lieu trong phdn tich vd thfi'ng kfi mfi ta Mfit so kfi't qud thong ke mfi ta cua dfl lieu duge trinh bay trong Bdng 1.
B a n g 1: T h o n g k e md ta ciia SSL
Trung binh Trung vi DoIfich chudn Dp n g h i e n g Dp n h o n
V N - I n d e x -0,00003
0,0003 0,0164 -0,1114 4,5896
HNX-Index -0,0004 -0,0009 0,0213 0,1732 8,0607
Cdc ket qua trfin eho thd'y gid tri trung binh eua SSL tren ca hai sdnla dm, tuy nhifin, gid tri nay Id khd nho. Dilu ndy hgp ly vi thdi ki nghifin cflu trai qua giai doan suy giam kha manh vd sau dd, thi trfldng ed phue hoi nhflng tflong dfii chdm. Do nghifing (skewness) tai san HOSE Id dm, chflng to cae phdn bo' SSL tai sdn ndy Id bdt dfii xflng vd cfi duoi trdi ddi vd do nghifing tai sdn HNX Id dflong chflng to ede phdn bo SSL tai sdn nay Id bdt dfii xflng vd co dufii phdi dai.
Do nhgn (KurtosisI tai ca hai sdn ldn hon 3 chflng to phdn bo' cua dfl lieu nhgn (peak) hon so vdi phdn bfi chudn.
nganhangM
27 •Thang 10/2016 U j
C o n g n ^
So 127'Thang
Kiem dinh tinh dang vd sa ton tai cua hifn ta^g GARCH
Kiim dinh tinh ddng
Kiem dinh tinh dflng eiia dfl Ueu bdng kiem dinh Augmented Dickey-Fuller (ADF). Kfit
Kiem dinh hien tuang GARCH
Ham tfl tflong quan cua binh phflong SSL d^
ddnh gid v l sfl ton tai cua hifiu flng GARQil tai hai sdn. Kfi't qua nhfl trong Hinh 2 vd Hinh 3. Hinh 2 va 3 cho thd'y, binh phflong SSL r,- tai HOSE va HNX co ton tai hien tflgng tu qua trong Bdng 2 cho thd'y gia thifit HO hi bdc tflong quan khd manh. Nhfl vay, chufii SSL r, bo d mfle y nghia 1%, nghia la ca hai chufii tai hai san la chufii phu thugc. Ddy Id mfit dfl lieu diu dflng. Dfi thi ham tfl tflOng quan trong cdc dd'u hieu cho thd'y, tfin tai hieu ihg (ACF) vd tfl tflong quan tflng phdn (PACF)
cung cho kfi't qua la dfl lieu eo tinh dflng.
B a n g 2: K i e m d i n h ADF Gid thifit Hg
t-Statistic Kfit ludn
V N - I n d e x HNX-Index Chufii khong dimg -37,8905 - 41,4973
Bde bo d mfle I f
GARCH. Nhfl vay, ta co t h l dung mfi hinh GARCH d l ddnh gid DBT SSL tai ede sd giao dich chflng khodn tai Vifit Nam.
Ket qua Ode laffng GARCH *<u hai thi tnidng Tdc gia sfl cdc ham tfl tflong quan eiia SSL vd kiem dinh ADF d l k i l m tra tfl tflong quan Hinh 2: Ham ACF va PACF c i a binh phi^dng SSL tai HOSE
A u t o c o r r e l a t i o n P a r t i a l C o r r e l a t i o n 1 2 3 4 5 6 7 8 9 10
AC 0,401 0,263 0,216 0,232 0,208 0,204 0,176 0,143 0,168 0,191
P A C 0,401 0,122 0,090 0,120 0,065 0,072 0,034 0,008 0,064 0,071
Q-Stat 371,71 531,65 639,63 763,86 863,63 960,16 1032,5 1079,5 1145,0 1229,7
Prob 0,000 0,000 0,000 0,000 0,000 0,000 0,000 0,000 0,000 0,000
Hinh 3: Ham ACF va PACF ciia binh phufOng SSL tai HNX
Autocorrelation Partial Correlation AC PAC Q-Stat Prob 1
2 3 4 5 6 7 8 9 10
0,203 0,173 0,101 0,089 0,116 0,114 0,124 0,109 0,097 0,097
0,203 0,137 0,045 0,044 0,078 0,065 0,067 0,047 0,035 0,039
95,355 164,52 187,95 206,45 237,31 267,52 303,01 330,48 352,41 374,37
0,000 0,000 0,000 0,000 0,000 0,000 0,000 0,000 0,000 0,000
cengng^ n g d n I v i n g
.S6'127«Th..ni: 10/2016
vd tinh dflng cho c<c chuoi dfl lieu. Ke't qua cho thd'y, ddy la nhflng chufii dflng. Ngoai ra.
cdc hdm tu tuong quan ACF va tfl tflong quan tflng phdn PACF cua binh phflong SSL chi ra ton tai tu tuong quan manh d cdc chuoi nay, CO nghia ddy Id chufii phu thugc, mgt ddu hifiu cho thtfy su tfin tai ciia hieu flng GARCH.
Qui tdc Box-Jenkin (Gujarati, 2004) dflgc sfl dung de xdc dinh bae trong mfi hinh mo ta SSL vd mfi hinh GARCH (1,1) dflflc dung de mo ta DBT. GARCH (1,1) dflgc chgn vi la mfi hinh phu hgp va dflOc sfl dung trong hdu hfi't eac nghien cflu tflong tfl. Cdc trfldng hgp mo hinh GARCH (p,q) vdi cdc he so' p,q ldn hon thfldng chi dflgc dCing trong cdc chufii dfl lieu rat dai (vi du, dfl lieu gid ciia vai nam) (Engle, 2001).
Ldn Iflgt flde Iflgng mfi hinh GARCH (1,1) vdi cfing thflc mfi td SSL co dang ARMA (p,q) md I ^ ^ H <}o, p,q dflgc xdc dinh theg qui tac Box-
Jenkin; tfl do Ilia chgn mfi hinh tot nhat de tdt cd cdc he sfi' cfi y nghia vd khfl dflgc hifin tflgng phflong sai thay dfii.
Sau nhieu ldn thfl, mo hinh tfi't nhd't dflgc chgn Id mfi hinh GARCH (1,1) vdi cfing thflc trung binh chi bao gom thdnh phdn MA(1) vd dflgc t h l hifin trong Bang 3.
Qua kiem dinh trfin tai HOSE vd HNX, kfi't qud cho thfi'y rdng cdc he sfi' a (thdnh phdn
B a n g 3 : K e ' t q u a iXdc l U ^ n g G A R C H (ij = Cj + Bat.i ^ a ,
a,2 = C2 + aa?.,+Po2,
V N - I n d e x | H N X - I n d e x Mean Equation
Cl 6
0,0001 0 , 2 0 7 4 ' * '
0.0001 0 , 0 8 3 9 * "
Variance Equation C2
a
P
0 , 0 0 0 0 1 " * 0 , 2 0 2 0 * "
0 . 7 5 3 7 * "
0 , 0 0 0 0 1 " ' 0 , 2 2 9 9 " * 0 , 7 5 1 7 " -
ARCH) va P (thanh phdn GARCH) cho ca hai sdn d i u cfi y nghia thfi'ng kfi d mfle 1%, chflng td DBT tai TTCK Viet Nam phu thufic vao ca DBT va thdnh phan Ifii (dai dien cho sfl tdng giam ngoai Id vgng cua nha dau tfl) trong giai doan trfldc do. Dieu ndy co nghia la sfl tang giam SSL ngoai ki vgng cua nha ddu tfl cung vdi DBT trong thdi gian giao dich trfldc do da gop phdn ehi phfi'i hanh vi va quyfit dinh ddu tfl tren thi trfldng. Ngoai ra, a trong mfi hinh phflong sai co dieu kifin tai HNX Idn hon tai HOSE ehi ra rdng cdc bie'n ndy tdc dgng len DBT SSL tai san Ha Ngi manh hon tai sdn TP.HCM. Trong khi do, P tai HNX lai nho hon tai HOSE, nghia Id DBT ciia SSL tai thi trfldng HOSE fin dinh hon tai HNX nhflng sfl sai khac nay la khong ddng kfi'. Nhfl vdy, DBT tai HNX chiu tdc dfing manh hon bdi nhflng thay dfii bdt ngd trfin thi trudng va phu hgp ban vdi nhflng ngfldi thich dau tfl mao hiem.
Tfl kfi't qua flde IflOng tren, de do Ifldng do nil ro cua cdc chi sfi' VN-Index vd HNX-Index trong giai doan nghifin cflu, do thi phflOng sai cfi dilu kifin se giai thich ro hon van dl ndy (Hinh 4, 5).
Do thi cua DBT cua hai sdn cho thd'y, DBT tai sdn Hd Ngi ldn hon so vdi TP.HCM. Dilu nay phu hgp vdi cdc dfl bdo v l DBT, khi bifin do dao dfing gid cho phep tai HNX lufin Idn
Hinh 4: DBT cua SSL tai HOSE trong giai doan nghien cufu
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. . . . : IdjilUft dot difn eho cdc mde y nghia lOnn, 5% _ _ . _ , ^ -KK H M 200c 22M fd J » a ^ f trong tdt ed aic trudng hap bi han I cha thdy True koank bao gim cdc gid hi tu 1 din 2303 dai difn cho cae ngiy UlKluipiglddndMi. IU24 412006 den 211S. 2015.
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Hinh 5: DBT ciia SSL tai HNX trong giai doan ngfaien ciihi
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True hoanh bao gim cdc gii tri til} din 2303 dgi diin cho cdc ngdy tu 241412006 din 211812015.
ban HOSE trong thdi ki nghifin cflu. Nhfl vay, rui ro khi ddu tfl tai HNX Idn hon tai HOSE, nghia Id HNX phii hgp hon vdi cdc nha ddu tu mao hilm.
Kiim dinh tdc dgng lan tda DBT giaa cdc thi trUdng
Kilm dinh tinh dflng cua dfl lieu bdng kifi'm dinh ADF. Kfi't qua tai Bang t cho thd'y, do bifin thifin tai cd hai sdn dfiu d mfle y nghia 1*. Tfl do, ta cfi t h l k i l m dinh tde dfing lan toa DBT gifla hai thi trfldng bdng k i l m dinh nhdn qua Granger.
Kfi't qua trong Bang 5 cho thdy, do DBT t«i HOSE CO tdc dgng lan tga Ifin DBT tat HNX nhflng khfing cfi chieu ngfloc lai, nghia U HNX khfing co tdc dgng lan tda Ifin HOSg.
D i l u ndy co the giai thich Id sdn HOSE cfi qui mfl Idn hon so vdi HNX nfin se cfi anh hfldng len s a n HNX. Sfl bifi'n dgng trfin sdn HOSE co tdc dgng ldn dfi'n tdm ly eua cdc nha ddu tfl tren sdn HNX, tfl do anh hfldng dfi'n hanh vi giao dich vd DBT tai sdn HNX.
Tuy nhifin, ke't qua kiem dinh chi ra khfing cfi chilu tdc dgng ngfloe lai. Gia thifi't v l sfl bifi'n dgng cua cfi phifi'u trfin sdn HNX anh hfldng dfi'n sdn HOSE khfing dugc iing hg, chflng to bifi'n dfing trfin sdn HNX khfing dii tdc d^ng ldm anh hfldng dfi'n sdn HOSE. Do dfi, DBT tai san HOSE la mfit trong nhflng cO sd dl dfl bdo ve DBT tai san HNX nhflng khfing cfi chilu ngflge lai. Dieu ndy ggi y cho ede nhA dilu hdnh TTCK tai Viet Nam cdn chu trong hon dfi'i vdi cdc bifi'n dgng tai sdn HOSE vi mfii bifi'n dgng tai sdn ndy cfi sflc lan toa Ifin thi trfldng HNX, gdy anh hfldng dfi'n todn bg TTCK Viet Nam. Kfi't qud nghifin cflu cfin cung cdp thfim thong tin cho nhd ddu tU trong vific dfl bdo dQ rui ro khi ddu tfl trfin ede sdn chflng khodn tai Viet Nam.
Ke't l u a n Bdng 4: Kiem dinh ADF ciia c h u o i dS Ii$u
DBT t^i c a c thi trUftng
Gi.i thiel HQ 1-Stalistic Ket lufin
VN-Index_
Volality
HNX-Index_
Volality Chuoi khfing dflng
-10,1630 -11,2404
Bdc bo d miJc n
Bang 5: Kiem d i n h tdc d^ng Ian toa gjga c a e thi trtfcfng
Gia thiet HQ
F-Statistic Kfi't ludn
K i e m d i n h n h d n q u a G r a n g e r DBT tai HOSE
khong tdc dpng n h a n qua Granger 16 n DBT tai HNX
25.7489 Bdc bo a nnJc 1 *?
DBT tai HNX khong tde dong n h a n qua Granger len DBT tai HOSE
1,7267 Khong bdc bo fi miic 10<T
cdngn^ ngan hang
S(V 127"Thdng 10/2016
Rui ro Id mgt yfi'u to' quan trgng cdn difflc xem xet trong ede quye't dinh ddu tfl chflng khodn. D l ddnh gid rui ro, cfi t h l sfl dung DBT dflgc do bdng phuong sai cfi dieu kien cua chufii SSL. Nghifin cflu ndy da sfl-dung mfi hinh GARCH de ddnh gid DBT vd mgt sfi tinh chdt quan trgng co lifin quan tai hai sdn giao dich chflng khodn d Viet Nam. Cdc kfi't qua phan tich cho thd'y, DBT tai TTCK Vifit Nam phu thufic vdo ca DBT giai doan trfldc do vd sfl tdng gidm ngodi kl vgng cua nhi ddu tfl. Nghia Id, sfl tdng giam SSL ngodi B vgng cua nhd ddu tfl eung vdi DBT trong thdi gian giao dich trfldc dfi dd gop phan ehi phfi'i hanh vi vd quyfi't dinh ddu tfl tren thi trfldng.
Ngodi ra, DBT tai HNX ldn hon tai HOSE v4 dilu ndy phu hgp vdi quan d i l m ciia nhd ddu
tfl \'iet Nam, khi bien do dao dgng cho phep bien dong gid cfi phieu trfin sdn HOSE anh tai HNTC luon ldn hon HOSE. hfldng dfi'n san HNX. Nhfl vdy, nha ddu tfl cd the dfla vao bifi'n dgng eua sdn HOSE dfi Nghifin cflu e f i i v ^ l m dinh hifiu flng lan toa dfl bao ve DBT tai san HNX. Tdc gia cung DBT gifla hai thi trfldng HOSE vd HNX vd khuyfi'n nghi cac nha quan ly thi trfldng nfin tim thd'y bdng chflng ve sfl lan toa bie'n thifin chu y cac bie'n dong tren sdn HOSE de kifim theo chilu tfl san HOSE sang HNX, nhflng sodt tot hon cac bien dgng xay ra trfin TTCK khong CO chieu ngflge lai. D i l u ndy chflng to Viet Nam"
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Thonjf t i n t a c g i a :
(*) ThS. Li Dinh \'ghi dang cdng tdc tai Khoa Qudn tri Kinh doanh, Trudng Dai hoc Sdi Gon.
Llnh vlfc nghiin ci.':^ Tai chinh, Qudn tri Kinh doanh.
Cdc nghiin cdu dd diiqe cdng bd tren cae tgp chi: Tgp chi Phdt triin Kinh ti, Tgp chi Phdt triin Khoa hgc vd Cdng nghf.
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127'Thdng 10/2016 L s J Sfi 127'Thdng 1