TACDONGCUATHONGTINNHADAUTl/NU'dCNGOAl KHONG CONLA CO DONG
L O N D E N GIA CO PHIEU-NGHIEN cull TREN THI TRl/6(NGCHUNG KHOAN VIET NAM
Vo Xuan Vinh Dgi hge Kinh te Thdnh pho Ho Chi Minh Trung tdm Phdp Viit Bdo tao vi qudn ly (CFVG) Hd Chi Minh
Email: [email protected] La Ngoc GiJtu
Khoa Kinh te Xa hgi & Nhdn vdn, Cao ddng cgng dong Dong Thdp Email: [email protected]
Ngaynhan: 12/8/2017 Ngay nhin ban sira: IWIltill Ngay duyet dang: 25/11 /2017
Tom tat:
Bdi bdo nghien ciru phdn img ciia thi tneang thong qua bien dgng gid chimg khodn vai sir tdc dgng cua thdng tin nhd ddu tu nuac ngodi khong con la cd ddng l&n a cdc thdi diem nhu: ngdy ddng ky giao dich, ngdy giao dich vd ngdy bdo cao ve sa hiru cua cd ddng lan. Su dung phuong phdp nghien cieu su ki^n v&i nguon die lieu dugc thu thdp tir Sa giao dich chung khodn Thdnh pho Hd Chi Minh tie 01/01/2008 din 30/06/2015, kit qud cho thdy: i) tgi ngdy cdng bd thdng tin ddng hy giao djch thi truang khong phdn img bdt thuang, ii) tgi ngdy giao dich thi trucmg phdn img chdm, iii) tai ngdy cdng bd bdo cdo ve so huu cda cd ddng l&n thj truong khong phdn ung bdt thuang.
Tir khda: Co ddng Idn; cong bd thdng tin; nha dau tu nude ngoai; nghien eiiu su kien.
The Impact of Information of no longer Big Foreign Shareholders on Stock Prices - The Case Study of Vietnam Stock Market
Abstract:
This paper investigates the stock market reaction through stock price variations with impact of information of no longer big foreign shareholders at the time of registration date, trading date and reporting date. Employing the event study approach and collecting data from Ho Chi Minh City Stock Exchange for the period from January 1, 2008 to June 30. 2015, the findings show that (i) at registration announcement date, there is no significant evidence on the stock market abnormal reaction; (ii) at trading date, the market reacts slowly; and (iii) at reporting announcement date, there is no abnormal reaction.
Keywords: Large shareholders; announcement; foreign investors; event study.
1. Gidi thieu diu trong va ngoai nude tham gia vao thi trudng.
Thi frirdng chimg khoan khdng chi la mdt kenh Hinh 1 cho thiy sd lugng tai khoan nha diu frr ttong huy ddng vdn friing va dai ban ma cdn la mpt kenh nirdc eung nhu nha dau frr nude ngoai cd xu hudng quan frpng frong viec dilu hanh chinh saeh kinh tangtrongkhoangthdigiantir01/12/2015dlnthang tl vT md eho nhilu qude gia tten thi gidi, CJ Viet 01/02/2017. Ciing vdi nang lue quan trj va kinh Nam thi trudng ehiing khoan chinh thiic hinh thanh nghiem dau tu qude te eae nha dau tu nude ngoai, tir thang 7/2000, qua han 16 nam di vao hoat ddng thj tnrdng ky vpng se mang lai nhilu hieu qua eho thi trudng chung khoan da thu hut duge nhieu nha cac doanh nghiep, eho thi trudng chiing khoan Viet Sd 246 thang 12/2017 39 |^jnj| l(Ut||i|| [m
ffiob 1: Thong ke s6 lugng tai khoan giao djch nha dau tu trong nude va nirdc ngoai 1,800,000
"^ Ci^ la^ li^ Q^ tS' cr or •&• '^ "S" ^ ^ '^ o^
a Nude ngoai • Trong nude Nguon: Trung tdm luu ky chimg khodn Viet Nam (VSD)
Nam va day ed the xem la mpt tin hieu tdt cho thi trudng chiing khoan Viet Nam.
Nhieu nghien cim da khang dinh vai trd ciing nhu miie dp anh hudng cua nha dau tu nude ngoai ddi vdl thi trudng ciing nhu ddi vdi doanh nghiep. Vi dy, eae nghien euu ve vai frd eiia nha dau tu nude ngoai ddi vdi hieu qua hoat ddng ciia doanh nghiep (Batten & Vo, 2015; Vo Xuan Vinh, 2014). Phan Idn kSt qua cho thay cac nha dau tu nude ngoai ed anh budng tich cue va ho frp nang cao hieu qua hoat ddng eiia doanh nghiep mii hg dau tu.
Cac nghien cihi trudc eung cho ring thdng tin giao dich cd phieu cita cac nha dau tu nude ngoai dupe coi la mpt kenh thdng tin quan frpng ddi vdi thj trudng. Vi dy, Vo Xuan Vinh & Dang Biiu Kilm (2016b) nghien ciiu ve thdng tin ham chiia trong giao djeh cd philu ciia nha diu tu ngoai tren thi trudng ehiing khoan Viet Nam, kit qua eho thiy thdng tin ham chira frong su kipn ban rdng ciia nha diu tu nude ngoai la xiu ddi vdi thi trudng. Vo Xuan Vinh (2016) nghien cim ve sd hihi eiia nha diu tu nude ngoai va tinh thanh khoan eo philu bing chiing thyc nghiem fren thi trudng ehiing khoan Viet Nam.
T^i Viet Nam, Vd Xuan Vinh & La Ngpc Giau
(2017) nghien euu ve mdt khia eanh khae eua thong tin nha dau tu nude ngoai, dd la thdng tin nha dau tu nude ngoai trd thanh cd ddng Idn. Tac gia nghi^
cim tac ddng ciia thdng tin nha dau tu nude ngoai Era thanh cd ddng Idn ddi vdi gia cd philu ciia cdng ty niem yet fren Sd Giao dich Chiing khoan Thanh pho Hd Chi Minh. Kit qua eho thiy thdng tin nha dau frr nude ngoai trd thanh cd dong Idn la mgt dn hieu tich eye dli thi trudng. Kit qua nghien ciru nay ham y rang cac nh^ diu tu khac xem thdng tin giao djch eiia dau tu nude ngoai la mdt kenh thdng tin quan ttpng cho viec ra quyet dinh diu tu ciia minh.
Thdng tm nha dau tu nude ngoai thoai vdn va khdng edn la ed ddng Idn ed the dugc eac nha dau tu khac coi nhu thdng tin khdng tdt va cd the la mdt tin hieu tieu cge ddi vdi thi trudng. Chinh vi vai frd quan ttpng eiia nha dau tu nude ngoai ciing nhu thdng tin nha dau tu nude ngoai khdng edn la cd ddng Idn, nghien ciiu vl anh hudng cua thong tin nay ddi vdi thi trudng ed vai trd quan trpng ca ly thuyet va thyc tien. Bai bao nay xem xet phan ifrig cua thj tnrdng chiing khoan Viet Nam (phan iing qua gia ed phifiu eua cac cdng ty niem yIt tren Sd giao dich Chiing khoan Thanh phd Hd Chi Minh) vdi thdng tin nha
Sd 246 thdng 12/2017
kiiititpJ^battri^n
dau tu nude ngoai khdng cdn la cd ddng Idn.
2. Cff sd l-^ thuylt
2.1. Ly thuyet ve thi trirdng hieu qud Ly thuyet nen tang ve anh hudng cua thdng tin ddi vdi gia cd philu la ly thuylt thi trudng hieu qua dugc gidi thipu bdi Malkiel & Fama (1970). Tuong ty nhu nghien ciru ve phan iing cua thi trudng vdi sy kipn dugc edng bd (Vd Xuan Vinh & D^ng Buu Kilm, 2014; Vo Xuan Vinh & Doan Thi Minh Thai, 2015; Vd Xuan Vinh & La Ngpc Giau, 2016a; Vo Xuan Vinh & Trinh Tin Luc, 2015) ly thuylt thi trudng hieu qua dang vira cho ring thi trudng se phan ling ngay vdi thdng tin cho nen cac nha dSu tu se khdng dugc hudng lgi nhu^n bat thudng khi giao dich cd phieu vdi thdng tin nha dau tu nude ngoai khdng cdn la cd ddng Idn.
2.2. Ly thuyet ve thdng tin bdt cdn xmig Bat can xung thdng tin tten thi trudng chiing khoan tdn tai khi nhdm cd ddng nay sd hiiu it thdng tin hon nhom cd ddng khac, tir dd cd kha nang dan den eac lifu chpn bat lgi khi ra quyet dinh dau tu.
Trong bai nghien ciiu nay, ly thuyet ve bat can xiing thdng tin dugc sii dyng de ly gidi cho phan irng eua thj trudng ddi vdi thdng tin cac ed ddng nude ngoai khdng cdn la cd ddng Idn nhu sau: i) Cac eo ddng va eac nha diu tu khac coi nha dau tu nude ngoai la nha diu tu chuySn nghiep ke ea frong viec tiep can thu thap thdng tin; va ii) cae nha dau tu va cac cd ddng khac, dac biet la cac nha dau tu nhd le, vdn khdng ed nhilu thdng tin hoae bj han che trong vigc phan tieh cQng nhu du bao thi trudng vdi thdng tin ma hp sd hiru, cd kha nang hp se theo doi va giao dich theo cae cd ddng Idn la nha dau tu nude ngoai. Hon nua, khi ed ddng Idn la nha dau tu nude ngoai ban cd philu dl khdng cdn la eo ddng Idn dugc coi la mpt thdng tin quan trgng ddi vdi eac nha dau tu khae.
2.3. Ly thuyet tin hieu
Theo ly thuylt tin bieu thi cac giao dich ciia cac cd ddng duge eoi la mang tin hipu ddi vdi thj trudng.
Trong trudng hgp nay, thdng tin ban cd phieu ciia nha dau tu nude ngoai de khdng cdn la cd ddng Idn eiia mpt cdng ty duge coi la mpt tin hieu xiu.
3. PhuoTig ph^p va dir lilu nghien ciru Trong bai bao nay, ehiing tdi sii dung phuang phap nghien eCru sir kien de xem xet phan img eiia thi tnrdng vdi thdng tin nha diu tu nude ngoai khdng edn la cd dong Idn.
3.1. Sir kien vd ngdy sftkien
Su kien nghien eiiu la su kien nha dau frr nude ngodi khdng eon la cd ddng Idn ciia cdng ty. Su kien dugc xem xet tai 3 thdi diem:
i) Ngay eong bd thdng tin dang ky giao dich (ban CO phieu) eiia nha dau tu nude ngodi;
ii) Ngay giao dich (ban ed phieu) ciia nha dau tu nude ngoai iam thay ddi ty le sd hiru va khong cdn la cd ddng Idn;
iii) Ngay cdng bd bao cao ve sd hiiu eua eo ddng Idn Id nha dau tu nude ngodi khdng cdn la ed ddng Idn.
3.2. Dulieu nghien cm*
Dli lieu duge thu thap tir cac cdng ty dugc niem yet fren Sd giao dieh chimg khoan Thanh phd Hd Chi Minh tir nam 2008 din nam 2015. Thong tin dugc lya chpn tir nhiing thdng bao ket qua giao djch cd phieu ciia nha dau tu nude ngoai duge cong bd fren website ciia Sd giao dich Thanh phd Hd Chi Minh va cac phuong tien thdng tin dai chung khac theo quy dinh. Mdi sy kien phai dap iing du sd ngay giao djch tnrdc ngay cdng bd thdng tin la 136 ngay giao djch va du 30 ngay giao dich sau ngdy edng bd thdng tin. Viee dap iing theo tieu chi nay nham de thda man cae ude lupng Igi nhuan ky vgng (136 ngdy tnrdc sy kien) va tranh viec anh hudng sy kidn ndy din su ki6n khae ngay sau do (each nhau 30 ngdy giao dich mdi su kien). Dir lieu ve eac thdng sd tai chinh nhu khdi lugng giao djch cua tung cd phieu, gia giao dich ciia timg cd phieu va ehi sd VN- Index duge thu th|p tren trang website cua Vietstoek (www.vietstock.vn).
3.3. Khungsirki0n nghien ciru
Tucmg ty nhu nhieu nghien ciiu trudc (Brown 8c Warner, 1980; Gurgul & epng su, 2003; MacKinlay, 1997; Seyhun & Bradley, 1997; Vd Xuan Vinh &
Dang Biiu Kilm, 2014; Vd Xuan Vinh & La Ngpc Giau 2016, 2017), ba cua sd trong khung sy kien su dung de nghien euu gdm: i) Cua sd sy kien dugc chpn la 31 ngay, tinh tir ngay -15 (tnrde ngdy cong bd thdng tin 15 ngay) den ngdy +15 (sau ngdy cong bd thdng tin 15 ngay) bao gdm cd ngdy 0 (ngdy su kien), ii) Ciia sd ude lugng la 120 ngay tir ngay -16 den ngdy -135, iii) Cfra sd sau su kien Id 15 ngay tir ngdy + 16 den ngay +30.
3.4. Bo lir&ngphdn ung cua thj trir&ng Trong bai bdo ndy, viec do ludng phan img cua thi trudng thdng qua gia ed phieu duoc thye hien tucmg
Sd 246 thing 12/2017
kinliteJIiatli'ir
ty nhu cdc nghien ciru trudc day (Brown & Warner, 1980; Vo Xuan Vinh & La Nggc Giau, 2016, 2017;
Vd Xuan Vinh & Tqnb T i n Lyc, 2015) vd duge danh gia thdng qua sy tdn t£ii cita lpi nhuan bat thudng vd lpi nbuJtn bat thudng tieh luy.
3.4 1. Lgi nhudn thtrc te cua co phieu j tai thai diemt(B.^)
Lgi nhuan eua mdt ed phieu j tai thdi diem t dupe xde dinh nhu sau:
frong dd: P^ld gid cd phieu j tai thoi diem t; P j Id gia cd phieu j tai thdi diSm t-1.
3.4.2. Lgi nhudn bdt thir&ng (ARi,t) Lgi nhuan bat thudng dugc xae dinh la ehenh lech giii lpi nhuan thyc t l cua cua philu j vdi Igi nhuEln ky vgng ciia cd phieu dd tai thdi diem t frong khung sy kien. Trong nghien eiiu ndy, AR duge tinh frong ciia sd sir kien Id 31 ngay [-15,+I5].
AR^, = R „ - E ( R J
trong dd: R^ld lgi nhudn thyc te ciia cd phieu ciia edng ty i tai then diem t; E(R, ^ la Igi nhuan ky vpng.
Trong khudn khd cua nghien ciiu ndy, E(R^^) dupe tinh theo 2 phuong phdp:
Phuangphdp 1
Lpi nhuan ky vgng dugc dieu chinh bdi lpi nhuan ciia thi trudng.
E(R,^) = R_^^
Phirffngphdp 2
Lgi nhuan ky vgng dugc tinh toan dya tten mo hinh yeu td thi trudng va nii ro.
E ( R . , ) - a , + P_,R^,
Cac tham sd a^, va p_ ^ duge tinh todn trong khoang thdi gian eiia ciia sd ude lupng sii dyng phucmg phap hdi qui OLS.
3.4.3. Lgi nhudn bdt thuang trung binh (average abnormal return)
Lgi nhuan bat thudng trung binh (AAR) vao ngdy t dugc tinh theo edng thiic sau:
(cumulative average abnormal return) CAAR Id lgi nhuan bat thudng tich liiy trung binh la tdng cua cae lpi nhuan bat thudng trung buih ttong mdt giai doan (t, t^), dupe tinh nhu sau:
t2 CAAR(tLt2) = y ^ A R t
ri
vdl khung thdi gian ( t l , t2) bao gdm cac khung then gian quan tam frong ddi trude edng bd thdng tin 15 ngay vd sau ngdy edng b l thdng tin 30 ngay [-15,+30].
3.5. Kiim dinh su t6n tgi Igi nhuan bat thudng va Igi nhuan bat thudng tich luy
Trong eac nghien ciru da thuc hien nhu (Bajo, 2010; Vd Xuan Vinh & Dang Buu Kilm, 2016a, Vo Xuan Vmh & La Ngpc Gidu, 2016, 2017; Vd Xuan Vinh & Trinh Tdn Lire, 2015) k i l m dinh t-test va k i l m dinh S-test dugc dp dyng de kiem dinh sir t6n tai eiia lpi nhuan bat thudng vd Igi nhan bat thudng tich liiy.
3.5.1 Kiem dmh t-test Kiem dinh Igi nhuan bat thudng
AARt 11 Stat = r^ —
SiAARi) frong do,
AARt = ^ S " i A f f i , , , N l a s d q u a n s a t
AAR,
= sl'*''i'
vdi N la sd cae quan sat, AR ^ Id lpi nhuan b i t thudng cua chiing khoan j vdo ngay t.
3.4.4. Lgi nhudn bdt thuong trung binh tich luy
SiAARt) -- 1
~Y,^AARt~AARy
-135 -16
2 o Z '
-13S5 ( AAR^ dp leeh ehuan cua Igi n h u | n b i t thudng duge tinh cho 120 ngay trudc khung su kien.
K i l m dinh lgi nhuan bat thudng tieh luy CAARiti.t^)
^CAARiti_.t2) frong dd.
-JlV(jV-(i)^i=l'
Sd 246 thdng 12/2017 42
{CARi{t^,t2)-CAAR{t^,t2)f
vdi: N la sd cae quan sat, d Id sd bac ty do; CAR/t,,tJ la Igi nhuan b i t thudng tich luy cua quan sat i frong khung thdi gian [t,,t,j]-, vd CAAR.(t,,t^ la lgi nhuan
kiiilittJ^ltattricn
bat thudng tieh liiy trung binh frong khung thdi gian 3.5.2. Kiem dinh Sign test
Sign test dya fren ty le cua eae Igi nhuan bit thudng duong vao ngay su kipn va vdi thdi gian dupe tinh cho 120 ngdy trude khung su kien, cu thi:
V/Vp(l-p)
frong dd: coso quan sat ed Igi nhuan bat thudng la dugng ttong ngay su kien; Id sd cac quan sat ttong mau; va p la phan Igi nhuan bat thudng duang ky vpng frong gia thuyet khdng (null hypothesis) dugc xae dinh trung khung thtri gian du bao Id 120 ngay.
Cy the,P dugc tinh nhu sau:
N t=-135
_ f lneuy1ffi,t > 0
^ \ 0 cho con lai
4. Kit qua nghien cihi
4.1. Phdn timg cua thi trudng vdi thdng bdo ddng ky bdn co phieu cua nhd dau tu nude ngodi de khong cdn la cd ddng Idn
Bdng 1 the hipn lpi nhuMi bat thudng trung binh (AAR), lgi nhuan bdt thudng trung binh tich liiy (CAAR) vd ket qua kiem dinh lgi nhuan bat thudng tai ngdy thdng bao thdng tin dang ky ban cd phieu ciia nha dau tu nude ngoai de khdng edn la ed dong Idn (ty le sd hihi cd philu <5%)'.
Hinh 2, Hinh 3 vd Hinh 4 cho thay khdng cd su khae biet dang ke giua hai phuang phap tinh lgi nhuan bat thudng (phuang phap Igi nhuan dugc dieu chinh theo thi trudng (market adjusted) vd phuong phap lpi nhuan duac dieu chinh theo nii ro vd thi trudng (market and risk adjusted)) eung nhu bai phuong phap kiem dinh tham sd (t-test) va phi tham sd (Z-value). Do do chiing tdi sii dung ket qud cua phuang phap 1 (phuang phap lpi nhuan dugc dieu ehinh theo thi trudng (market adjusted) de tbao luan vl ket qua nghien ciiu.
Ket qua Bdng 1 chung tdi chua tim thay bang Bang 1: Ket qua kiem dinb lgi nhuan bat thudng tai ngay cong bo thong tin dang ky bin co pliiei
cua nha dau tir nude ngoai dl khong con la co ddng Idn
T
-15 -14 -13 -12 -11 -10 -9 -8 -7 -6 5 .4 -3 -2 -1 0 1 2 3 4 5 6 7
Lgi nhu^n Auac d i l u chinh theo thi trirdoig A A R l
0.12%
0.01%
-0.15%
-0.10%
-0.05%
-0.28%
-0.17%
-0.45%
0.49%
-0.17%
0.33%
-0.03%
-0.43%
0.15%
-0.05%
0.25%
-0.15%
0.25%
0.01%
-0.12%
-0.09%
-0.17%
-0.50%
S6 246 thing 12/2017 T T e s t
0.48 0.05 -0.61 -0.41 -0.21 -1.13 -0.70 -1.82*
1.95*
-0.69 1.33 -0.13 -1.73*
0.60 -0.20 l.OI -0.61 1.00 0.03 -0.48 -0.36 -0.68 -2«»
Sign Test 1.15 -0.40 0.71 1.15 -0.84 -0.40 -0.40 -1.06 2.03**
-0.84 0.49 -0.40 -1.06 0.27 -0.40 1.37 -1.50 0.93 0.27 0.04 -0.40 0.04 -1.73»
43
Ltji nhu^n dirg^c dilu chinh theo A A R l
0 1 6 % 0.03%
-0.08%
-0.02%
-0.01%
-0.26%
-0.14%
-0.41%
0.49%
-0.14%
0 3 4 % 0.13%
-0.29%
0.40%
0.00%
-0.01%
-0.21%
0.28%
0 1 4 % -0.18%, -0.11%, -0.15%
-0.54%
thi t r u ^ g va rui ro T t e s t
0.70 0.12 -0.33 -0.10 -0.05 -1.12 -0.60 -1.78*
2 . 1 2 "
-0.63 1.48 0.58 -1.26 1.73*
0.01 -0 05 -0 90 1.23 0.59 -0.78 -0.48 -0.63 -2.33*«
Sign Test 0.40 -0.26 -0.04 1.29 -0.92 -1.14 -0.48 -1.58 1.07 -0.70 0.18 -0.92 -0.26 0.18 -1.36 0 40 0 18 1.29 0.63 0.18 0.63 0.85 -2.25«*
kinhleJhallrlh
8 9 10 11 12 13 14 15
0.04%
0.02%
0.38%
0.17%
-0.08%
0.00%
-0.15%
-0.22%
016 0.07 1.51 0.70 -0.32 -0.01 -0.60 -0.90
1.59 1.15 2 . 7 « "
2 . 0 3 "
-018 -0.40 -0.62 -1.28
-0.16%
-0.07%
0.49%
0.15%
-0.14%
-0.02%
-0.20%
- 0 1 5 % -0.69 -0.28 2,I4*«
0.64 -0.59 -0.09 -0.89 -0.66
0.40 0.18 2 . 1 7 "
1.95*
-0.04 -0.70 -1.36 -0.48
ICiung CAAR Sign Test T T e s t
[-I5;-l]
[0;15) [0;30]
[-15;15]
-080%, -0.36%
-1.36%
-1.17%
-0.75 -0.33 -1.01 -075
-1.73*
0.27 -0.62 -0.18
0.20%
-087%
0.19 -0.81 - 1 3 0 -0.41
Sign Test -0.70 -0.26 -1.36 - 0 4 8 Ghi chu. Hf s6 trong kiim itinh tham si (I slat) vahe sS trong kiim dinh phi tham so (Z value). ••*, • • vd
* tifong img vai muc y nghia 1%, 5% va 10%. Nguon: Tinh toan ctia nhom tac giii.
mnh 2: So sanh k^t qua lgi nhin bat thu*ng giira 2 phu'omg phap So sanh lgi nhuSn bat thircmg trung binh (AAR) giira 2 phuong p h i p
tinh
01%
•: AAR( Market Adjusted) - » - A A R ( Market and Risk Adjusted) Nguon: Tinh todn cua tac gid.
Hinh 3 : S o sanh ket qna ltd nhan b4t thirjmg giira 2 p h u o n g p h a p So sAnh Iffi nhuSn b4t thuihig trung binh (AAR) giiia 2 phuong
phap tinh
-1 - AAR( Market Adjusted) - • - A A R ( Market and Risk Adjusted) Nguon: Tinh todn ciia tdc gid
So 246 thing 12/2017
Klnliiyhallmn
Bang 2: Ket qua Idem dinh Ifi nhuan bat thvfrng tai nghy giao dich cua nha diu tir nude ngodi dl Ithong c
T -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -3 -2 1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 Khung [-15M]
[0;15]
[0;30]
[•15;15]
Loi A A R l 0.12%
-0.03%
0.30%
0.18%
-0.04%
0.28%
0.00%
-0.12%
-0.19%
0.35%
0.15%
-0.33%
0.26%
-0.04%
0.30%
0.05%
-0.34%
-0.21%
-0.20%
-0.20%
-0.17%
0.08%
0.11%
-0.08%
-0.36%
-0.04%
0.11%
0.23%
-0.28%
-0.14%
-0.22%
CAAR 1.19%
0.55%
-0.10%
1.74%
nhuan d u ^ c dieu chinh theo thi trucmg
T T e s t 0.52 -0.12 1.33 0.78 -0.16 1.24 -0.02 -0.54 -0.84 1.53 0.66 -1.44 1.15 -0.17 1.30 0.22 1.93*
1.8»
0 8 9 0.89 -0.75 0.36 0.46 -0.34 -1.57 -0.18 0.49 1.03 -1.25 -0.62 -0.96 T t e s t 1.25 0.55 -0.08 1.22
Sign Test -0.38
0.26 -1.24 -0.38 0.26 -0.59 0.69 0.05 0.48 -0.81 -1.02 0.26 -0.81 -0.59 -0.16 -0.59 -1.67*
-1.24 -1.02 -1.02 0.05 -1.02 -0.16 -0.38 1.98«»
-0.59 0.48 -1.02 1.98»»
1.34 - 0 1 6 Sign Test
0.05 -1.02 -1.02 -081
L ^ nhuan duffc dieu chinh theo AAR2
0 1 5 % 0.03%
0 2 0 % 0 1 5 % 0.01%
0.35%
0.02%
-0.10%
-0.23%
0.33%
0.13%
-0.18%
0.33%
-0.07%
0.21%
0.18%
-0.36%
-0.38%
-0.22%
-0.22%
-0.13%
0.10%
0 13%
-0.03%
-0.26%
0.02%
0.18%
0.26%
-0.26%
-0.17%
-0.19%
CAAR 1.33%
1.01%
0.49%
2.34%
thi t r u t m g ' T t e s t
0.69 0.12 0.90 0.66 0.06 1.60 0.09 -0.45 -1.04 1.50 0.57 -0.80 1.51 -0.34 0.94 0.80 1.62 174»
1.02 0.98 -0.58 0.44 0,60 -0.13 -1.19 0 0 7 0.82 1.16 -1.17 -0.76 -0.85 T T e s t 1.40 1.07 0.47 1.60
va riii ro Sign Test
-1.56 0.16 -0.49 -0.06 0.37 -0.92 0 1 6 -0.49 1.23 -1.13 -0.70 -0.49 -0.92 -0.06 -049 -1.56 -1.56 -0.92 -0.70 -1.13 0 3 7 -0.92 -0.92 0.37 1.66' -0.06 -0 27 -0.27 1.45 1.02 - 0 4 9 Sign Test
-0.06 -0.92 -1.56 0.37 Ghi chu: H^ sd trong kiem dinh tham so (t stat) vd hi so trong kiem dinh phi tham sd (Z value).
* tuong irng v&i mtrc y nghia 1%, 5% vd 10%.
Nguon: Tinh todn ciia nhdm tdc gid.
ehung thyc nghiem eho thay thi trucmg phan iing eiia thi trudng, dieu nay dugc the hien qua viee khdng tdn tai lgi nhuan bat thudng cd y nghTa thong ke tai ngay eong bd thdng tin. Sau ngay edng bd
tnrdng tai thdi diem giao dieh ed phidu cua nhd dau tu nude ngoai de khong edn la cd ddng Idn. Kit qud duge the hien Bang 2.
i.2. Phdn ung cua thi trudng tgi ngdy bdn i thdng tin gia cd phieu gidm (lgi nhuan bat thudng phieu cua nhd ddu tir nir&c ngodi di khdng cdn Id am tuy nhien khdng cd y nghia thdng ke). cd ddng Idn
Tilp theo chung tdi xem xet phan ting cua thi Bang 2 the hien lgi nhuan bat thudng tnmg binh
Sd 246 thdng 12/2017 kiiiliteJIiattm
Bang 3: Kit qua icilm dinh lpi nhuSn b4t t h u ^ g t^i ngay cong b6 thdng rin Ididng con 1^ cS dong Idn cua co ddng nude ngoai
T -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 Chung
•15;-1J :0;15]
;0;30]
15;15]
Loi nhu^n duffc dieu chinh AARl
0.06%
0.16%
0.21%
-0.02%
0.08%
0.08%
0.03%
0.41%
-0.26%
0.07%
0.22%
-0.15%
0.23%
0.22%
0.43%
0.27%
0.10%
-0.09%
0.04%
-0.06%
0 1 6 % 0.28%
0.03%
-0.11%
-0.03%
0.03%
0.06%
-0.12%
-0.08%
-0.27%
-0.04%
CAAR 1.75%
0.16%
1.23%
1.91%
theo thi t r u ^ g TTest
0.24 0.63 0.83 -0.08 0.30 0.31 0 1 4 1.63 -1.04 0.28 0.86 -0.60 0.90 0.87 1.7*
1.08 0.40 -0.38 0.16 -0.24 0.62 1.10 0 1 4 -0.44 -0.14 0 12 0.23 -0.47 -0.33 -1.06 -0.17 Ttest 1.66*
0.16 0.90 1.44
Sign Test -0.52 -0.31 0.32 1.16 0.32 0.74 0.11 2 . 4 2 "
-1.15 0.32 0.11 0,74 0.95 0.53 2.42*«
-0.31 -1.15 1.16 0.95 -0.31 0.53 0.32 -0.31
•0.52 0.11 0.32 0.11 -0,94 -0.31 -0.31 2"
Sign Test 1.16 -0.31 0.53 0,95
L 0 nhuan Auac dieu chinh theo AAR2
0.21%
0.12%
0.27%
-0.05%
0.17%
-0.04%
0,09%
0.55%
-0.19%
0.11%
0,23%
-0,18%
0.09%
0.21%
0.41%
0,39%
0.19%
-0.14%
-0.04%
-0.09%
0.19%
0.37%
0.10%
-0.02%
0.06%
0.05%
0.11%
-0,02%
-0.04%
-0.21%
-0.07%
CAAR 2.00%
0.83%
2.16%
2.83%
thi trucmg va riii ro T t e s t
0.85 0.48 1.06 -0.21 0.67 -0.15 0.37 2.1**
-0.75 0.43 0.90 -0.70 0.35 0.83 1.63 1.55 0.74 -0.56 -0.16 -0.35 0.74 1.50 0,40 -0,09 0.24 0,20 0.44 -0,06 -0.15 -0.85 -0.28 T T e s t
1.91*
0.95 1.66*
2 1 5 "
Sign Test -0.17 -0.38 -0.17 0.67 1.09 0.25 0 2 5 4 . 2 4 " *
-1.64 0.46 -0.17 1.30 -0.38 0.67 2.14»*
-0.38 0.46 0.25 0.67 -1.01 -0.17 0.67 -0.38 -1.01 0.67 0.67 0.25 0,25 -1.01 -0.80 1.51 Sign Test
1.72*
0.67 1.30 1.51 Ghi chu: He so trong kiim dinh tham so (t stat)
***, ** vd * tuang iing voi miecy nghia 1%, 5%
(AAR), lgi nhuan bit thudng trung binh tich luy (CAAR) va ket qua ki6m dmh lgi nhuSn bit thucmg cua tai ngay giao dich ban c6 phi^u ciia nha diu tu nucjc ngoai de khong con la c6 dong Irni.
So 246 thing 12/2017
vd he so trong Idem dinh phi tham s6 (Z value), va 10%. Nguon: Tinh toan cua nhom tac gia.
Ket qua cf Bang 2 cho thiy thi truong da phan ung cham Ytn thong tin ban c6 phi^u cua nh^ dSu tu nuac ngoai khong con la co dong Ion. Loi nhuan bat huong trung binh co gia tri am cr ngay [I] va
liinhlpJIiadrieii
Hinh 4: Kit qu^ kilm dioh Igi nhu^n bdt thircAig tai ng^y cong bo thong tin khdng cdn la c6 ddng Idn ciia co dong QU^C ngodi
So sanh Im nhuan hkt thu-ong trung binh (AAR) giira 2 phirong phap tinh
i ^ AAR( Market Adjusted) Ngudn: Tinh todn cua tdc gid.
•-AAR( Market and Risk Adjusted)
[2] (AAR [1]: -0.31%, AAR[2]:-0.21% vd deu co y nghia thdng ke d mdc 10%). Dieu nay ciing minh ehung eho viee thdng tin ban ed phieu eua nha dau tu nude ngoai la tin hieu xau doi vdi thj trudng.
4.3. Phdn dng cua thi trudng tgi ngdy cong bo thong tin khong con Id co dong l&n cua co ddng nu&c ngodi
Bdng 3 the hidn Igi nhuan bat thudng trung binh (AAR), Igi nhuan bat thudng trung binh tich liiy (CAAR) vd ke ea kiem dinh tham sd va phi tham sd eiia tai ngay edng bd thdng tin nhd dau tu nude ngoai khdng edn la cd dong idn.
Kit qua thi hien d Bang 3 cho thay thi trudng khdng phan iing vdi thong bao nha dau tu nude ngoai khdng edn Id cd ddng Idn (khdng tdn t^ii lpi nhuan bSt thudng tai ngdy cdng bd thdng tin). Kdt qua nay minh chiing rang cd ddng vd cdc nhd ddu tu khdng quan tdm den tin nhd dau tu nude ngoai khdng edn la cd ddng Idn.
5. Kit lu^n
Bdi bao nghien eiiu tae ddng ciia thdng tin nha ddu tu nude ngoai khdng edn Id cd ddng Idn. Sd lieu dupe thu th|p tir nam 2008 den 2015 tir eac cdng ty duge niem yIt tren Sd giao dich ehiing khoan Thanh
phd Hd Chi Mmh. De danh gia mpt each toan dien tac dpng ciia thdng tin nhd dau tu nude ngodi khong edn la ed ddng Idn, tac gia da xem xet 3 thdi diem cdng bd thdng tin: i) ngay cdng bo thdng tin dang ky giao dich, ii) ngdy giao dich va iii) ngdy cong bd thdng tin nhd dau tu nude ngoai khdng cdn Id cd ddng Idn. Ket qua eho thay rang thi trudng ehi phan ling ch|m vdi thdng tin ngdy giao djch cd phieu va khdng cdn la cd ddng Idn. Dieu ndy dugc the hien thdng qua viec tdn tai lgi nhuan bdt thudng trung binh dm ngay sau ngay cdng bd thdng tin va tdn tai den ngdy thii 5 tuy nhien ehi ed y nghTa thdng ke d ngay [1] vd [2] (ngay [1] va [2] (AAR [1]: -0.31%, AAR[2]:-0.21% deu cd y nghia thdng ke d miic 10%).
Ket qua eho thay khdng ton tai lpi nhudn bdt thudng t^i 3 thdi diSm dugc xem xet frong khudn khd bdi bao nay. Ket qua nay phu hop vdi l^p luan Id thi trudng da minh bach hem khi cd su tham gia eua cac nha ddu tu nude ngodi vdi vai frd Id co ddng Idn vd cdc thdng tin dd phdn anh toan bp vao gia ed phieu, eac nha dau tu khdng dugc hudng lgi nhuan bat thudng khi giao dieh ed phieu vdi thdng tin nha dau tu nude ngoai khdng edn la cd ddng Idn.
Sd 246 thdng 12/2017
KinliteiliiittriCn
Ghi chu:
1 Theo thong hr s6 09/2010/TT-BTC ngay 15 thang 01 nam 2010 hudng ddn vl vipe cong b l thong tin fren thi tmdng chiing khoan (nay dupe diay thi bdi thong tu s6 155/2015/TT-BTC ban hanh ngay 06 thang 10 nam 2015 huong din cong b6 thong tin tren thj tmdng chihig khoan)
Tai li^u tham khao
Bajo, E. (2010), 'The information content of abnormal fradmg volume'. Journal of Business Finance & Accounting, 37(7-8), 950-978,
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Brown, S.J & Warner, J.B. (1980), 'Measuring security price performance', Jouraa/o/F/nanc(o;&i3«omic5, 8(3), 205-258.
Gurgul, H., Mestel, R. & Schleicher, C (2003), 'Stock market reactions to dividend announcements: Empmcal evidence from the Austrian stock market', Financial Markets and Portfolio Management, 17(3), 332-350.
MacKinlay, A.C. (1997), 'Event studies in economics and finance', Journal of economic literature, 35(1), 13-39.
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Seyhun, H.N. & Bradley, M. (1997), 'Corporate Bankraptcy and Insider Tradmg*', The Journal of Business, 70(2), 189-216.
Vo Xudn Vinh (2014), 'Sd hiru nude ngoai, hifu qua ho?it dpng va gia tri doanh nghiep- Nghign ciiu cdc cong ty tren thi tnrdng chiing khoan Viet Nam', Tgp chi Cdng nghe Ngdn hdng, 133(1), 51-59.
Vo Xuan Vinh (2016), 'Foreign ownership and stock market liquidity-evidence from Vietnam', Afro-Asian Joumal of Finance and Accounting, 6(1), 1-! 1
Vo Xuan Vinh & D?ing Buu Kiem (2014), 'Nghien ciiu lgi nhuan bat thudng khi xuat hien khdi lupng giao dich bit thudng tten thi tmdng chiing kho4n Vi?t Nam', Tgp chi phdt tnen kinh r?, 21 (1), 21 -41.
Vo Xuan Vinh & D^ng Biiu Kilm (2016a), 'Phan iing ciia thi trudng vdi thong tin thay ddi c6 philu frong danh muc quy FTSE fren thi tmong chiing khoan Viet Nam', Tap chi Kinh le S: Phdt triin 223(1), 41-50.
Vo Xuan Vinh & Dang Buu Kilm (2016b), 'Thong tin ham chiia frong giao djch c6 philu cua nha ddu tu ngo^i trSn thj trudng chiing khoan Viet Nam', Tgp chi Kinh te & Phdt triin, 225(1), 46-55.
Vo Xuan Vinh & La Ngpc Giau (2016), 'Phan ling ciia thi frirdng vdi thong bao dang k^ giao dich c6 philu cac nha quan 1^', Tap chi Phdt triin Kinh te, 27(4), 44-62.
Vo Xuan Vinh & La Ngpc Giau (2017), 'Tac dong ciia thong tin nha ddu tu nude ngoai tea thanh c6 dong Idn d6i vai gid CO phieu - nghien cmi fren thi tmdng chiing khoan Vi?t Nam', Cong nghe ngdn hdng, 133( 1), 51 -9.
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So 246 thing 12/2017 48 kiflll IcJ'hilllriffl
