NGHIEN CUTU MOI QUAN HE LIEN KET
CUA THj TRl/QfNG CHUfNG KHOAN CAC QUOC GIA ASEAN
Ngay nhSn: 06/7/2015 Ng^y n h ^ n lai: 21/8/2015 Ngay duyet dang: 10/12/2015 Ma s6: 12-15-27
Hoang Cdng Gia Khanh (*) Nguyen Dinh Thien (**) Nguyen Thanh Liem (***)
Tom tdt: Cong ddng kinh te ASEAN (AEC) diiac thdnh lap vdo cudi nam 2015.
Mdt trong nhdng tru cdt chinh cila AEC la hgi nhdp ve kinh te, trong do co thi trudng tdi chinh. Khi thi trUdng chdng khodn (TTCK) cdc qudc gia trong khdi bdt ddu hgi nhdp thi vai tro ddn ddt cua mgt hoac nhieu thi trUdng trong khdi Id rdt quan trgng. Nghien cdu ndy phdn tich mdi quan he liin ket gida TTCK cdc qudc gia ASEAN trong hai giai doan trUdc (2000-2008) vd sau (2009-2015) khdng hodng kinh te todn cdu bdng md hinh vec ta hdi quy tU tUffng quan (VAR). Ke't qud nghiin cdu cho thdy Singapore la thi trudng dong vai trd ddn ddt vd quan trgng khi thi trudng tdi chinh ASEAN dUgc thdnh lap. Trong khi do, Viet Nam vd Philippines Id TTCK theo sau, chiu dnh hudng manh td cdc TTCK khac trong khu vUc giai doan td ndm 2009 den nay, TTCK Indonesia vd Thailand cung co vai trd ddn ddt vd tdc ddng ddng ki den TTCK trong ASEAN cung vdi Singapore.
Tic khoa: Thi trudng chdng khodn, quan hi lien kit, ASEAN.
Gidi t h i ^ u
Hidp hdi ede nifdc Ddng Nam A (ASEAN) dixac t h d n h Idp dua trdn tinh t h ^ n dodn kd't, hop tdc n h a m thiic d^y tdng trildng kinh te', tid'n bd xa hdi vd phdt trien vdn hda trong khu vife.
ASEAN da p h a t trien m a n h me tii ndm 1970 (dd'n n a m 1999 da cd 10 thdnh vien) va dang Id khu vUc ed khd'i lisang giao dich thi/dng mai ldn thiJ 4 thd' gidi. Md'i rang budc giffa cac qudc gia ASEAN trdn da tdng cUdng ciing vdi khd'i kinh td' khu VLTC cua cdc qud'c gia ASEAN goi Id Cpng ddng kinh te' ASEAN, goi t a t Id AEC. Day Id nd life n h a m hinh t h d n h khu vuc k i n h te' ASEAN dn dinh va t h i n h vuong, cd k h a n a n g eanh t r a n h cao thdng qua tao dieu ki^n hdi n h a p t r e n nhi^u phUtfng di^n cua ede qud'c gia trong khu vUc.
Mdt cdt tru quan trong trong AEC la thue day hdi n h a p thi trUdng tai chinh, dde biet la TTCK trong khu vUc. Trong ndm 2011, thd'ng dd'c cdc ngdn hdng trung UOng cac nude
ASEAN da thdng qua Khudn khd hdi nhdp thi trUdng tai chinh Asean Financial Framework (AFIF) nhdm tao dieu kien cho cdc hoat ddng tu do hda vd hdi nhdp trong cdng ddng AEC.
Do do, cac TTCK trong khu vUc dUpe dU doan trd n e n md vd phu thudc lan nhau nhidu hun, dde bidt la tU sau khung hoang tai chinh chau A nam 1997 vd khung hoang nd dUdi chuan (subprime crisis) cua My nam 2008.
Cdc nhd quan ly, nhd khoa hoe cung nhU n h a dau tu ddc biet quan tam dd'n mUc do hpi nhdp kinh te' cua cdc nude mdi noi vdi ddc thu ba't on ve kinh td' vd chinh tri {thay ddi ludt le, phd gia ndi td hay cac cudc khung hoang chinh tri). Ne'u TTCK ede nudc hgi n h a p cao (sua't sinh ldi tuong quan eao) lpi ich eua da dang hod danh mue dau tu quoc td' se bi giam ddng ke. Hon nUa, mUe dp hpi n h a p TTCK cung ed nhieu ham y quan trpng cho sU dn dinh tai chinh eua qud'c gia (Ibrahim, 2005). Gia chdng khodn tai cae thi trudng cd xu hudng dich chuyen cung hudng trong dai h a n do ede
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hoat ddng tim kid'm cd hdi mua bdn dau co (arbitrage) (Narayan, Smyth va Nandha, 2004) vd cdc n h a n td mang tinh xu hudng khde nhU thay dSi trong cdng nghO, sU giam thi^u ve cdc quy dinh quan ly (financial deregulation) hay cdc hoat dOng ddu tU vdn xuyen qudc gia.
Trong qud trinh hdi nh^p, ddc bi?t la gia n h a p thi trudng tdi chinh ASEAN, Vi$t Nam c i n bid't minh dang d ddu, vai trd nhU thd' ndo de cd dupe nhQng chien lupc phdt trien hop 1^.
Do dd, dinh vi vi the' TTCK Vi^t Nam trong bd'i canh hi?n nay Id r^t c i n thi^t. Nghidn cUu ndy phdn tich md'i quan h$ tdi chinh trong dai h a n gifla Vi^t Nam vd ede nUde trong khu vUc thdng qua xem xdt cdc mdi quan hd gifla cdc chi sd chflng khodn chu chdt cua Viet Nam va cac nUdc trong khu vUc. Kd't qua nghien cflu giup ich cho cdc nhd quan iy cd edi nhin tdng quat v^ TTCK Vi§t Nam vd vai trd cua cdc TTCK trong khu vfle.
T o n g q u a n c a c n g h i d n c ^ u v^ mtfc dO h $ i n h $ p ciia t h ; t r i ^ d n g c h i i n g k h o a n c a c qud'c g i a c h S u A
Nhieu nghien cflu da do lUdng mflc dp hpi nhdp thi trudng gifla cdc nUdc phdt tri^n vd mdi ndi nhflng nghidn cUu v^ khu vfle ASEAN rd't hid'm hoi, ddc bi#t Id lidn quan de'n Viet Nam. Tuy nhien trong nhflng ndm g i n ddy, cac hoat ddng kinh td' vd d i u tU d cac thi trudng mdi ndi d chdu A da thu hut sU chu y cua nhd d i u tU vd nhd nghidn cflu. Ne'u TTCK cdc nudc ASEAN cd xu the ehuyin dOng ciing hudng, loi ich cua da dang hda danh mue dau t u qude te se bi giam ddng k^. Hon nfla, mfle dp hdi nh§p TTCK eung cd n h i l u h a m y quan trpng cho sU dn dinh tdi chinh eua qud'c gia (Ibrahim, 2005). Dd'i vdi cdc nude thudc khd'i ASEAN, ede nghidn cflu dd thflc hidn cd the k l dd'n nhU Palac-McMiken (1997); Roca, Selvanathan vd Shepherd (1998); Azman- Saini, Azali, Habibullah vd Matthews (2002);
Yang, Kolari vd Min (2003); Ibrahim (2005);
Yusof vd Majid (2006); Majid, Meera va Omar (2008), Karim vd Majid (2009), Oh, Lau, Chin
Hong vd Abu Mansor (2010); Yeoh, Hooy vd Arsad (2010) vd Karim, Kassim vd Arip (2010).
H l u hd't cdc nghidn cflu t r d n chi r a mflc dg hgi nhdp cua cdc n^n kinh t^ chdu A gia tdng ca trong vd sau giai doan khung hoang chdu A (Lim, 2010). Ddc bi$t, trong khdi ASEAN-5, Indonesia vd Singapore Id hai thi trfldng cd siJ khde bi§t n h i l u nhd't trong khi cdc nfldc c6n lai hOi tu vi mflc trung binh cua khu vfle. Tuy nhidn, neu l^y sud't sinh ldi chflng khodn My thi td't ca cdc nudc ASEAN-5 d i u cho th^y dsfu hi^u hpi tu v l md'c chu^n ndy sau giai doan khung hodng ndm 2008.
Janakiramanan vd Lamba (1998), Yoshida (2010) vd Lim (2010) k i t lu^n cdc TTCK chdu A deu chiu anh hUdng cua TTCK My. Trong khi dd, Yusof vd M ^ i d (2006) vd Karim wk Majid (2009) cho thd'y sflc a n h hfldng eua chflng khodn Nh^t Ban eao hon cua My ddi vdi khu vifc ASEAN. Yoshida (2010) k h I n g dinh h^i nhdp trong khu vfle tdng cfldng sau cudc khung hoang np dfldi chuin (sub-prime crisis) tai My, nhufng khdng xult hi$n trong khung hoang ndm 1997.
Anh hfldng lan tda ciia khung hoang ndm 2008 ddi vdi TTCK chdu A khdng cdn nghiem trpng nhu khdng hodng tdi chinh chau A nam 1997, Dau tidn, mflc dd b i l n dpng giam nhilu hem dd'i vdi ithung hodng np dUdi ehuan vd dfldng nhu cdc nhd dau tU dd dU dodn khung hoang np dfldi chuin td't hon Id khi hp ddi dau vdi khung hoang ndm 1997. Cud'i cung, TTCK My ed "quan h? nhdn qua" (Granger cause) ddi vdi h l u h i t cac n I n kinh te' chau A trong giai doan khung hoang no ndm 2008 nhflng chi cd the anh hudng mpt sd nude trong khung hoang chau A. Ddy cd the do cdc nfldc ASEAN da hoc tap tfl khung ho^ng trudc, do dd phdn flng nhanh, hieu qua hon ede khu vuc khde trdn t h i gidi. Cu the hon, sU hpp tdc cdc phUOng dn ngdn ngtta khung hoang trong khu vUe, nhu cdc thda thu|n ehuyin ddi t i l n t§ da phUOng (multilateral currency swap) theo sdng k i l n Chiang Mai c6 the dd giup cdc TTCK chdu A chuan hi td't hcfn ddi vdi cudc khung hodng mdi ndy. Ngodi ra, hop tdc ve tdi chinh trong khu vUc cdn ed thi xult phdt tfl su g i n gui ve dia ly gifla cdc thi
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trudng (Janakiramanan vd Lamba, 1998; Ng, 2002). Taylor vd Tonks (1989) eung n h i n manh moi h e n k i t tai chinh m a n h me xua't hidn d cdc qudc gia nd luc giam cac rdo can thuong mai va t a n g cudng m l i lidn h^ v l kinh te vdi nhau.
Ddy eung chinh Id hien thUc tai ASEAN vdi k l hoaeh xdy dung AEC.
K i l m dinh ddng tieh hpp dUOe sfl dung dd'i vdi cdc thi trudng chdu A trong Ng (2002), Majid va ctg (2008) va Awokuse vd ctg (2009). Tren phUtfng dien t h i n g ke, khi cac ehi so chflng khodn cd tinh d i n g tich hop (co-integrated), chung the hidn md'i quan he ben vflng trong ddi han, bd't ke cdc sfl khdng can bang trong ngan h a n (Karim va Karim, 2012). Thilu tinh dong tich hpp cd hdm y rang khdng cd mdi quan he trong dai h a n gifla cdc bien sd vd ehung ed khuynh hfldng chuyin ddng n g l u nhidn khdng phu thudc vdo nhau, du trong ngan h a n van cd the cd quan he gifla cdc bie'n sd ndy. Tinh ddng tich hop gifla cac TTCK ed y nghla quan trong cho ede n h a dau tU xuyen quic gia, vi nd giup quylt dinh danh muc tai san phu hpp d l t l i Uu hda lpi tfle - rui ro. Tim r a Iy do cua cdc md'i quan h^ trong ddi h a n gifla cdc thi trUdng khdng don gian, nhung tUu trung cd t h i do cdc m l i lidn he kinh t l va sU hop tac cua cdc chinh sdch vi md gifla cdc quIc gia, gd bd cdc luat le tai ehinh (financial deregulation) va cdc bidn phdp tfl do hda thi trUdng, dong thdi di kem tdng manh hoat ddng cua cac cdng ty da qud'c gia vd ede nha dau t u qud'c t l (Karim vd Karim, 2012).
Ng (2002) sfl dung dfl Ueu ASEAN-5 trudc nam 1997 vd khdng tim thd'y mdi quan hd dong tich hop. Majid va ctg (2008) tim thd'y mdi quan he trong ddi h a n cua thi trudng cua 5 qud'c gia ndy dd'i vdi My va N h ^ t chi trong giai doan khung hoang, trong khi Awokuse, Chopra vd Bessler (2009) cho t h a y bkng chflng khdng ed mdi quan he ddng tieh hpp gifla 11 nUdc chau A va My trong giai doan sau khung hoang.
Palac-MeMiken (1997) nghidn cflu md'i quan hd trong ddi h a n cua TTCK 5 nfldc Malaysia, Indonesia, Philippines, Singapore va Thailand.
Sfl dung k i l m dinh ddng tich hop vdi dfl li^u theo thang trong giai doan 1987-1995, nghidn efl:u eho thay ngodi Indonesia td't cd thi trudng cae nudc edn lai deu ed tUtfng quan vdi nhau.
Tuy nhien, sfl dung dfl li^u t u I n trong giai doan 1988-1995, Roca vd ctg (1998) cho thd'y khdng ed b^ng chflng ve hdi nh|ip gifla cac thi trUdng trong khd'i ASEAN; mdc du ngoai Indonesia, cdc thi trfldng ed cdc md'i hdn hd trong n g i n han.
SO: dung ky thu^t kiem dinh n h a n qua Granger eho dfl lidu trong giai doan 1988-1999, Azman- Saini vd ctg (2002) kd't ludn vai trd d i n dat cua TTCK Singapore trong khu vUc. D i n g thdi, thi trfldng Indonesia bi anh hfldng tfl ede thi trUdng ASEAN khae (trfl Malaysia) nhung ngUtfc lai lai khdng a n h hudng ^ cdc thi trudng ndy. Chen vd ctg (2003) sfl dung dfl li$u theo ngdy tfl 1992- 2002 da cho tha'y thi trfldng cdc nfldc thudc khd'i ASEAN-5 thfle sU phu thude l l n nhau ca trudc vd sau khung hoang nhflng khdng trong thdi gian khung hoang. Ibrahim (2005) k i l m dinh mfle hdi nhap trong thi trudng ndy trong khoang 1988-2003 vd eho tha'y khdng cd dong tieh hpp. G i n day htfn, Yang va ctg (2003), Majid vd ctg (2008) vd Oh va ctg (2010) cho tha'y TTCK ASEAN dang hUdng tdi hpi nhap eao trong giai doan hdu khung hodng 1997.
Karim va Karim (2012) sfl dung ky thudt ARDL tim tha'y bang chflng hdi nhap gifla cdc nfldc ASEAN-5 trong td't ca cdc giai doan, nhflng ddc biet hdi nhap eao nhat sau khung hodng 2008.
Kd't qua ndy thd'ng n h l t vdi Chen, Leng va Lian (2003); Majid va ctg (2008) va Kassim vd Majid (2009). Cac nghidn cflu nay tim thay cdc thi trudng ASEAN-5 hdi nh$p trflde va sau khung hoang (ed the do sU tang ldn dang k l trong mau dich song phuong gifla cdc qud'c gia trong khu vUe ke tfl giai doan trflde d i n sau khi khung hoang). Biing chflng ndy cd ve phu hpp vdi lap luan eho rang giao thuong song phuong manh me se ddn de'n cdc bie'n ehuyin eung hUdng cua eac san chflng khodn trong khu vfle. Theo Karim vd Karim (2012) cdc thi trfldng trd ndn hdi nhdp hon sau eac cupc khung hoang, gom ca khung hoang chau A va khung hoang d My.
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Tom lai, cdc k i t qua trong cdc nghidn cflu trflde khdng ddng nhat, phu thudc vdo m l u nghien cflu, thdi gian nghien cflu hoac phflong phdp nghien cflu. Tfl cdc phuong phdp don gian nhu p h a n tich tUtfng quan, cdc nghien cflu hien nay dd sfl dung nhflng ky thudt phu hop hon nhfl VAR, Granger Causality vd ddng tich htfp. Khde vdi cdc nghien cflu trudc, nhdm tdc gia kiem dinh mflc hpi n h a p cua cdc qud'c gia ASEAN trong dd ed Viet Nam. Da sd cdc nghidn cflu tai khu vfle Ddng Nam A t a p trung nhdm ASEAN-5 (ede qude gia sdng lap).
Nghien cflu ndy cd y nghia quan trpng khi ma thdi d i l m hdi n h a p eua AEC dang gan dd'n vd quylt tdm hdi n h ^ p cac dich vu vd thi trfldng tdi ehinh trong khu vfle Id mot trong nhflng trpng t a m cua khd'i AEC. SU c i n thie't phai tim h i l u ctf che/ylu to' tao dieu kidn cho sU hdi n h a p ludn hidn didn d l cac nha dau tU qud'c td' cung nhU cae nhd ehfle traeh ed t h i cd nhflng quyd't dinh dung dan. Theo Majid va ctg (2008), mflc dp hidu qua cua cdc chinh sdch kinh t l vi md lien quan dd'n TTCK cua moi qud'c gia trong khd'i ASEAN phu thudc vao mflc tuong quan cua thi trUdng ddi vdi ede thi trUdng cdn lai cua khd'i.
DiZ l i ^ u v a phifcfng p h a p n g h i d n e i t u DH li$u nghiin citu
D l cd the ddnh gia dUtfc md'i lien h§, tfltfng tdc gifla cae dfl lidu chudi thdi gian, nghidn cflu sfl dung md hinh tfl hdi quy VAR (Vector Autoregressive model). Md hinh VAR dflpe ddnh gia Id mpt trong nhflng md hinh hidu qua de xem xet md'i quan he ddng (dynamic relationships) cua cdc dfl lidu theo chuoi thdi gian. Mo hinh VAR(p) cd phflong trinh tong quat nhfl sau:
yt = c + Al yt.i -h Ag yt.2 + - + Ap yt.p + ej Trong do: yt.p la gid tri cua y cua p ky trflde dd (dp trd p), c Id ma t r ^ n hdng sd k x 1, A, Id ma t r a n dfl lieu, e^ la ma t r a n sai so k x 1.
Gia t r i p trong md h i n h VAR dfltfc chpn lUa dua t r d n tidu c h u i n Akaike Information Criterion (AIC), Bayesian Information Criterion (BIC), Hannan-Quinn (HQ) phu htfp n h d t vdi dfl lieu nghidn cflu. K i l m dinh nhdn qua Granger-Causality giup tim r a thi trfldng t a i ehinh cua qud'c gia ndo cd mflc dp anh hudng ldn n h a t de'n todn bd khd'i, vai trd din d a t vd thi trfldng ehiu tac dpng nhieu tfl cac t h i trudng khac, vai trd phu thude. D l cd edi nhin ro hon ve mfle dd tuong quan gifla cdc thi trudng, nghidn cflu chia hai giai doan nghien eflu trflde (2000-2008) va sau (2009-2015) cu^c khung hoang kinh te - tdi chinh todn cau.
Nghien cflu thu thap sd lieu tfl Thomson Reuters, Kd't q u a n g h i e n ctfu dfl li#u theo ngay tfl ngdy 28/7/2000-09/7/2015.
Dd'i tflpng nghidn cflu la chi sd chflng khoan Thdng ki mo td cua 6 quoc gia trong ASEAN dflpe xem xdt Id:
Thailand (THL), Singapore (SIN), Malaysia (MAL), Indonesia (IND), Philippines (PHI), Viet Nam (VIE).
Phuang phdp vd mo hinh nghien ciJCu Nghien cflu tinh todn sua't sinh Itfi theo ngdy tai ede thi trfldng tdi chinh 6 qud'c gia ASEAN thdng qua chi sd' chflng khoan dai didn. Sua't sinh lpi dfltfc tinh bang ln(Index/[ndex^.2).
Cdc kiem dinh v l tinh dflng, sai phan dfltfc thflc hidn trudc khi thUc nghiem md hinh.
Bang 1 md ta tdng quan suat sinh lpi vd mflc dO bien ddng cua suat sinh Itfi tai TTCK cua 6 qu^c gia trong khu vfle ASEAN. Sud't sinh Itfi trung binh cua cdc thi trudng khdng ding diu nhau va tham chi thi trudng Singapore cdn ed suat sinh lpi am cho giai doan nghidn cthi 2000-2008.
V i mflc dp bien ddng cua s u i t sinh Ifli, TTCK Thailand ed mflc dp b i l n dpng m a n h n h l t trong mdu nghidn eflu giai doan 2000-2008 vdi suat sinh Itfi nhd n h l t Id -16,06% vd ldn n h l t Id 10,58%. Mflc dd b i l n ddng sudft sinh Itfi cua
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B a n g 1: Thd'ng k& m d t a suiCt s i n h Itfi T T C K c a c qu£fc g i a A S K A N
<^iai doan: 2000-2008 (2.19R quan aiitl Gia t r i
nli6 nha't TCf phfin v i 2 5 % T r u n g vi T r u n g b m h Tut p h a n vi 7 5 % Gid t r i ldn nhVt
T H L -0,1606 -0,0066 0,0000 0,0002 0,0075 0,1058
I N D
-0,1095 -0,0059 0,0004 0,0004 0,0080 0,0762
M A L -0,0998 -0,0040 0,0000 0.00004 0,0044 0,0450
P H I -0,1309 -0,0065 0,0000 0,0001 0,0073 0,1618
S I N
-0,0870 -0,0060 0,0000 -0,0001 0,0064 0,0753
V I E -0,0766 -0,0049 0,0000 0,0005 0,0068 0,0666 Giai doan: 2009-2015 (1.701 quan sfit)
Gid t r i nh6 nha't Tijf p h a n vi 2 5 % Trung vi T r u n g b i n h Tli p h a n vi 7 5 % Gid t r i 1 ldn n h a t
T H L -0,0581 -0,0046 0,0004 0,0007 0,0067 0,0619
I N D -0,0930 -0,0046 0,0006 0,0007 0,0065 0,0701
M A L -0,0253 -0,0024 0,0001 0,0004 0,0034 0,0332
P H I -0,0699 -0,0047 0,0003 0,0008 0,0068 0,0554
S I N -0,0424 -0,0042 0.0002 0,0004 0,0048 0,0577
V I E -0,0605 -0,0061 0,0001 0,0004 0,0077 0,0465 B a n g 2: K i e m d i n h A D F v e t i n h dvCng c u a s u a t s i n h
Icri T T C K c a e q u o c g i a A S E A N Giai doan: 2000-2008 (2.198 quan s i t )
Dickey-Fuller Gid tri p Ket qua
T H L -5,4203
I N D -11,7191
M A L -12,8973
P H I -12.7960
S I N -12,2386
V I E -12,6031
< 0,010 Chu5i df/ng Giai doan; 2009-2015 (1.701 quan s i t )
Dickey-Fuller Gid tri p Ket qua
T H L -4,4794
I N D -12,2352
M A L -11,7540
P H I -12,1895
S I N -11,9490
V I E -11,7730
< 0,010 ChuSi dtnig cac qud'c gia ASEAN giai doan 2009-2015 tha'p hon giai doan 2000-2008. Ddc bidt, sua't sinh lpi nhd nhdft va ldn n h a t t a i TTCK Malaysia ehi Id -2,53% va 0,332%.
Kiem dinh tinh diCng
Nghidn cflu thflc hidn kiem dinh t i n h dflng chuoi dfl hdu theo thdi gian v l sud't sinh Itfi cua cdc TTCK ASEAN. Bang 2 tdm t a t ke't qua k i l m dinh t i n h dflng.
t i n h dflng d a m bao eho cdc budc xdy dung md h i n h va dfl bdo d ede giai doan tie'p theo.
Chon lUa gid tri p cho mo hinh VAR
Gid tri p trong md hinh VAR Id thdng sd quan trpng the hidn mfle dd giai thich tdt nha't dd'i vdi dfl lieu nghidn eflu. Cdc gid tri AIC, BIC, HQ la tidu ehuan chpn Ifla gia tri p phu hop eho md hinh VAR. Bang 3 tong hop tdm tdt k i t qua kiem dinh md hinh VAR(p) vdi dp trd 10 (lag = 10).
Kd't qua tinh todn VAR (p) vdi dp tre tfl 1-10 eho tha'y do trd p = l va p=3 deu ed hai tieu ehi ung hd. Tuy nhidn, dd tre nhd hon ludn dflpe Uu tien ndn gia tri p = l dflpe chpn lua. Trong khi do, 4 tidu chuan d i u ddng nha't vdi kd't qua p = l cho giai doan sau khung hoang.
Ket qud nghien ctiu Vdi gid tri p = l chon dUtfc d trdn, nghien cflu thfle nghidm md hinh VAR dd'i vdi sua't sinh loi tai 6 qude gia ASEAN giai doan 2000-2008 vd 2009-2015. Ke't qua nghien cflu cho tha'y giai doan 2000-2008, TTCK Philippines ehiu tae ddng tfl TTCK cdc qud'c gia khde trong khd'i ASEAN la n h i l u nha't. NgUpc lai, Singapore Id qudc gia cd TTCK It chiu sU tdc ddng tfl dien bien cua TTCK cac qud'c gia trong khd'i.
Sua't sinh Itfi ngdy hdm trflde eua cdc chi sd chflng khoan tai Indonesia, Thailand, Singapore deu cd tdc ddng vdi mflc y nghia 1%
K i t qua k i l m dinh ADF eho sud't sinh Itfi eua dd'n ehi sd PSEi cua Philippines. Dde bidt, sud't 6 TTCK ede qud'c gia ASEAN deu cho tha'y cd sinh lpi eua Singapore Index (STI) ngay hdm
C6ngngh« n g a n h a n g n i
Saril7«Thdng 12/2015 B i i
B a n g 3 : T o m t a t k&'t q u a k i e m d i n h m d h i n h V A R ( p ) vofi d o t r i 1 0 c h o c& h a i g i a i d o a n Giai doan: 2000-2008 (2.198 quan sdt)
DO t r i AlC(n) HQ(n) SC(n)
1 -52,9050 -52,8590 -62,7800
2 -52.9100 -52,8300 -52,6910
3 -52,9200 -52,8060 -52,6080
4 -52.9190 -52,7700 -52,5130
5 -52.9080 -52,7260 -52,4090
6 -52,9060 -52,6890 -52,3130
7
•52.8930 -62.6420 -52,2060
8 -52.8740 -52,5890 -52,0940
9 -52,8570 -52,5380 -51,9830
10
•52,8430' -52,4890 -51,8750 Giai doan: 2009-2015 (1.701 quan sfit)
D? tre AlC(n) HQ(n) SC(n)
1 -56,7870 -56,7300 -66,6330
2 -66,7790 -56,6790 -56,5090
3 -56,7870
•56,6440
•56,4010 4 -56,7860 -56,6000 -56,2850
5 -56,7670 -56,6390 -56,1500
6
•56.7570 -56.4860 -56.0250
7 -56,7520 -56,4380 -55,9030
8 -56,7380 -56.3810
•55.7740 9 -56,7180 -56,3180 -55,6390
10 -56,7080 -66.26B0, -65.5130
B a n g 4: M o h i n h V A R d ) c u a s u £ t s i n h ldi TTCK c a c qutfc g i a A S E A N g i a i d o a n 2000-2008 Giai doar
THIX-l) IND(.l) MAL(-l) PHK-l) SIN(-1) VIE(-l) Hikns a^
R^ di^u chinh D-value
: 2000-2008 (2.198 Quan sdt) T H L
-0,0268 0.0507*
0.0346 0.0556*
0.0104
•0.0208 0.0013*
0.0080 0.0009
I N D 0.0602*
0.0950***
-0,0445 0.0274 0,0661*
0.0115 0,0005 0,0251 0,0000
M A L 0,0138 0.0488*
0.0841***
0,0013 0,0500 -0,0090 0.0001 0.0358 0,0000
P H I 0,0969***
0,0798***
0,0206 0.0263 0.1359***
-0,0240 0,0003 0,0638 0,0000
S I N 0.0104 -0.0203 -0,0838*
0,0326 0.0306
•0,0309 0,0002 0.0021 0,1136
V I E 0.0207 0,0637*
0.0514 -0,0266 0.0819*
0.2354***
0.0015*
0,0730 0.0000 Chl chli: Miic ^ nghia
lai ngdy hdm trudc a 0,01: " Id 0.05 V,
B a n g 5: M6 h i n h V A R ( l ) e u a s u ^ t s i n h Itfi TTCK c a c qufic g i a A S E A N g i a i d o a n 2009- 2015
trfldng Malaysia. Tdc dong cua Malaysia d^n Singapore Id khd ldn vdi hd sd fldc Iflpng Id 0,0841 vd ngfltfc ehi^u nhau.
Tuy n h i d n , md h i n h VAR cua s u a t sinh Itfi STI khdng cd y n g h i a thd'ng kd d mfle 10%.
Do dd, sud't sinh Itfi cua STI k h d n g chiu tac ddng tfl chi s£i' chflng k h o d n n a o cua ede qudc gia t r o n g khu vfle.
Nd'u giai doan 2000-2008 suEit sinh Itfi cua 6 qude gia ASEAN cd md'i tfltfng quan chdt che vdi nhau t h i giai doan sau k h u n g hoang (2009-2015) sil tUtfng quan n a y da sut giam.
Md h i n h VAR(l) sulft sinh lpi cua eac TTCK tai Thailand, Indonesia vd Singapore khfing cd y nghia t h d n g kd is mdc 10%. D i l u ndy cho th^y suat sinh Itfi cua TTCK Malaysia, trUde thay ddi 1%, trong dieu kidn cdc qude Philippines vd Vidt Nam khdng giai thieh dflcfc gia khac khdng ddi, 1dm thay ddi suat sinh lpi eho sud't sinh loi cua SET, J C I (ehi sd chflng cua PSEi len d^n 0,1359%. Trong khi do, sud't khodn cua Thailand va Indonesia) vd STI.
sinh Itfi eua VNIndex cija TTCK Vi$t Nam chiu
tdc ddng tfl chinh suSft sinh lpi eua chinh ehi Sau khdng hodng, Vidt Nam chiu tdc ddng sd nay,^Indonesia, Singapore ngdy trudc dd va m a n h hpn vd cd y n g h i a htfn tfl TTCK trong mdt phdn tdc ddng tfl cdc yd'u to khde khi h a n g khu vUe ASEAN. Suat sinh Itfi cua VNIndex sd (constant) cd y nghia d mfle 5%. chiu a n h hUdng cua sua't sinh Ifli ngdy h6m trudc cua TTCK Singapore va Malaysia. Anh Sud't sinh lpi eua TTCK Singapore chi ehiu hUdng eua MAL (-1) dd'n VNIndex hidn tai tdc ddng tfl sua't sinh lpi cua KLCI cua t h i ldn de'n 0,1694 l l n vdi mflc y nghia thdng kd
Giai doan' 2000-2008 (2.198 au THL(-l)
IND(-l) MAL(-l) PHI(-1) SIN(-1) VIE(-l) Hkn? BS R^ di4u chinh D-value
T H L -0,0299
0,0523*
-0.0276 0.0185 0.0010 0,0255 0,0016**
0,0020 0.1686
I N D 0,0210 0,0055 -0,0888 -0,0262 0,1000*
-0.0147 0,0020***
0,0060 0.0160
M A L 0,0250 0,0298*
0,0460 -0,0113 0,0474*
-0,0054 0.0010***
0,0323 0,0000
P H I 0,1101***
0.0780**
•0.0021
•0,0062 0.1559***
-0.0167 0.0011*
0,0761 0.0000
S I N 0.0243 -0,0036 -0.0690 0,0020 0,0513 0.0223 0.0011*
0,0024 0.1338
V I E 0,0347 -0,0087 0,1694*
-0,0637*
0,1213**
0.1553'**
0,0443 0,0000 Ghi chli: MUc;? nghia: *** I& 0,001, '
lai ngdy hdm trudc ' Id 0.01; * Id 0.05 v.
i n Congnghe n g a n hang
H I S6'H7« Thang 12/2015
B a n g 6 Thi trUtJnp
T H L I N D MAL P H I SIN VIE
T h ^ n g k@ k i ^ m d i n h TIJIMI, q u a 2000-2008
Tdc 4 4 4 2 5 1
Chiu 4 3 3 4 2 4
2009-2015 Tac
3 4 2 0 4 0
Chiu 1 1 3 4 0 4 5%. Mflc a n h hudng cua ehinh VNIndex ngay hdm trflde da sut giam 34% so vdi trflde khung hoang, chi cdn 0,1553 l a n .
Kdt qua p h d n tich n h a n qua (Granger Causality t e s t ) cho tha'y sau k h u n g h o a n g TTCK Singapore t h e h i d n vai trd d a n d^t vd k h d n g chiu a n h hfldng cua TTCK khu vuc.
Trong k h i dd, Vidt N a m va Philippines lai cho tha'y vi the' phu thupc cua minh khi hi a n h hfldng n h i e u tfl cdc qudc gia khde t r o n g ASEAN. D ^ k i ^ m dinh l a i vai trd d a n d a t va vi thd' phu thudc eua sud't sinh lpi cdc qud'c gia t r o n g ASEAN, n g h i e n eflu thuc h i e n k i e m d i n h n h a n qua vd t d m t ^ t ke't qua t r o n g B a n g 6.
Thdng qua k i e m dinh n h d n qua cho ca hai giai doan, TTCK Singapore cd su a n h hUdng de'n TTCK cdc nUdc ASEAN nhieu n h a t , cho t h a y vai trd ddn d a t cua thi trUdng tdi chinh n a y trong khd'i. (5 chieu ngUtfc lai, Viet Nam vd Philippines cd TTCK bi chi phd'i vd bi tac ddng n h i e u tfl cae TTCK trong khu vfle ASEAN. S u a t sinh lpi cua TTCK Thailand, Singapore vd Indonesia k h d n g cdn hoac it
ehiu tdc ddng tfl cdc qud'c gia trong khu vfle tfl n a m 2009 dd'n nay.
K e t l u l i n
AEC Id cpng ddng kinh te' day n d n g ddng vdi GDP ldn thfl 7 the gidi vd cd mflc dd t a n g trudng kinh td' binh qudn la 5,1%/ndm. Lfle Ifltfng lao ddng cua khdi ehi xe'p sau Trung Qud'c vd An Dd cho thd'y mfle dp ddi ddo cua ngudn n h d n lflc. AEC dfltfc ddnh gid la thi trfldng ndng ddng ca ve van hda vd kinh te'.
Viet Nam can dinh vi ehinh minh de cd nhflng chinh sdch hoi nhdp vd p h a t t r i ^ n td't n h a t . Nghien cflu ndy phan tieh md'i quan he lien ke't gifla TTCK Thailand, Indonesia, Malaysia, Singapore, Philippines vd Viet Nam. Hai giai doan dupc danh gia la trudc khung hoang (2000-2008) va tfl ndm 2009 de'n nay. Kd't qua eho t h a y Singapore ludn ed a n h hudng ldn de'n ede qud'c gia khac trong khd'i. Bdn canh dd, Indonesia va Thailand bdt d^u cd a n h hudng dang ke de'n Malaysia, Philippines vd Vidt Nam tfl 2009 dd'n nay. Viet Nam va Philippines luon la thi trUdng theo sau, chiu nhieu tac dpng tfl cdc qud'c gia khde. Dieu nay ra't quan trpng trong viec thu hut ngudn vd'n dd'i vdi Viet Nam khi thi trUdng tai ehinh ASEAN bdt dau hpi n h a p . Tha'y duoc vi thd' cua TTCK Viet Nam dang d ddu trong AEC, cac nhd hoaeh dinh, nha quan ly can ed nhflng cai thidn v l chinh sdch quan ly, thdng tin, da dang hda san pham trdn TTCK de Vidt Nam cd the la noi thu hut vd'n vd trd t h a n h thi trUdng cd vai trd ddn ddt trong khu vUc ASEAN trong tUtfng lai gan"
T a i 11$u t h a m k h a o
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(*) TS. Hodng Cong Gia Kh&nh, hi&n dang cdng tdc tai TrUdng Bai hoc Kinh ti - Ludt, TrUdng Dai hoc Qudc gia TP HCM.
Linh VUc nghien ciiu chinh: Ngdn hang trung Uong, Chink sdch tien tS, T^ gid, Qudn tri ngdn hdng thuang mai.
Cdc nghi&n ciiu dugc cong bd tren cdc tap chi trong vd ngodi nudc nhU: Tap cki Phdt triin Kmh ti. Tap chi Cdng nght NgSn hdng. Tap chi Ngdn hdng. Tap chi Tai chink.
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Link vifc nghien ciiu chinh. Tdi chinh, Ngdn hdng. Phdn tich rdi ro vd Xip hgng
Cdc nghiSn cUu dugc cdng bd trin cdc tgp chi trong vd ngodi nUdc nhu- Tap chl Phdt tnin Kmh ti. Tap chi Khoa hgc, Tap chl Cdng nghe Ngdn hdng, Tgp chi Phdt tnin khoa hoc vd cong nghi.
Email: [email protected].
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p n Congnghe ngati h a n g yiJs6'117«Th5ng 12/2015
