Lan toa do bien thien
giii'a cac thj trirdng chu'ng khoan
NGOYEN MINH KIEG' LE DlMH NGHI"' TomtSt
Bdi bdo kiem dinh tdc ddng lan tda do bi^n thiin glQa thi trudng chiing khodn (TTCK) My vd Nhdt Bdn sang TTCK Viet Nam. Nghien cdu sd dung die Ueu ngdy cua cdc cht sd thi trudng tgi My vd Viet Nam, Id cdc chi sd S&P 500, Nikkei 225 vd VN-Index trong giai dogn tic ngdy 01/01/2012 den ngdy 31/12/2015, dong thdi sd dung md hinh GARCH di Udc lUcfng do biin thien vd phuang phdp nhdn qud Granger di kiem dinh ldc dong lan tda dd bien thiin. Kit qud nghien cihi chi ra tdc ddng lan tda cd y nghta thdng ke tii TTCK My lin TTCK Viet Nam, nhung khdng cd bdng chdng vi su lan tda dd bii'n thiin tU TTCK Nhgt Bdn sang Viet Nam.
Ttf khda: G/UUCH, dd biin thiin, lan tda do bii'n thiin Summary
This article examines the impact of volatility spillover ofthe US and Japan stock markets on Vietnam stock market. S&P 500, Nikkei 225 and VN-Index indices are daily collected from 01/01/2012 to 12/31/2015. Also, it adopts G/UiCH model to estimate variability and Granger causality to lest the spillover of variation. The results reveal a significant effect ofthe US stock market on Vietnam stock market, while there is no evidence for an influence ofthe Japan stock market on Vietnam stock market.
Keywords: GARCH, variability, volatility spillover ^
GIOI THIEU
Trong bdi eanh toan elu hda hidn nay, cac he thdng tdi chinh tai cde nUde tren the gidi se cd sU phu thupc va tde ddng qua lai ldn nhau. Lan tda dd bien thien (volatility spillover) la khai nidm dUdc sU dung de danh gia sU phu thude ldn nhau (interdependence) giffa cde nln kinh te.
Ndi each khdc, sU lan tda cd nghia ia sU lan truyen cac bien ddng cua thi trUdng tU nUdc nay sang nUdc khdc (Ahmed S. Abou-Zaid, 2011). Nghidn ciJu lan toa dp bidn thien se giiip nha dau tu va nhd hoach dinh chinh sdch cd them thdng dn trong cde quyet dinh eiia minh.
CO s d LY THUYET VA P H U O N G PHAP N G H I E N CLfU
Ccfsdly thuyet
Do bidn thien (volatility) do dp phdn tan (dispersion) eiia mdt dd xae sua't (probabiUty density) (Alexander C, 2001). Dai lUdng thudng dQng nha't de do dp phan tan la dd Idch chuan, nghia la can bdc hai ciia phUdng sai cua bie'n ngdu nhien. Dp bien thien cang ldn, dp nii ro ciia cd phieu cang cao (Nghi L. D, 2012). NhU vdy, dd bidn
thien ddng vai trd quan trpng trong danh gid dd rui ro cua danh muc dau tU.
Lan tda (spillover) Id khdi nidm dUdc si^dung de ddnh gid sUphu thude ldn nhau giffa cac nen kinh te. Sif phu thuoc ldn nhau nay cd nghTa la cac thay doi hay cii sdc (shocks), du la cua todn cau hay ttoig quS'c gia, cd the lan truyen sang cde nUdc khdc, bdi vi eae nen kinh te thudng cd cdc m^i quan he ve tai ehinh vdi nhau. NhU vdy, sir Ian tda cd nghia la sU lan truydn cac bien ddng ciia thi trUdng tUnUdc nay sang nUcic khac (Ahmed S. Abou-Zaid, 2011). Tffdo, lan toa dp bidn thien (volatiUty spillover) la khdi nidm de danh gia mdi lien he giffa dd bien thien giffa cac TTCK.
Mdt trong nhiing yeu td quan trpng cin quan tdm dd'i vdi cde nha dau tU Uen TTCK Id nii ro. Rui ro cd th^ dUdc dinh lUdng thdng qua dd bid'n thien (volatility), do bang phUdng sai cd dilu kidn cua chudi suat sinh ldi (SSL) ed phieu (Nghi L. D, 2012). GARCH Id md hinh hidu qua
• PGS. TS., TrUdng D?i hoc Md TP. H6 Chi Minh
"ThS.. TrUdtig Dai hoc Sai Gon I Email: [email protected]
Ngay nhgn bai. 22/10/2017; Ngay phdn bi^n: 07/12/2017: Ngay duyet dang: 21/12/2017
va dUdc sur dung rdng rai de Udc lUdng dd bidn thidn cua SSL co phidu.
PhiAfngphdp nghien cdu Dua trdn ede phUdng phap nghien cUu ciia Yasushi Hamao, Ronald W. Masulis, Victor Ng. (1990); Chan_L, Lien D va Weng W. (2008); Nguyen Minh Kieu, Le Dinh Nghi (2017), nghien cUu thUe hien Udc lUpng dd bien thien bang md hinh GARCH, sau dd danh gia lan tda dd bidn thidn bang kiem dinh nhan qua Granger. Cu the nhU sau:
Tinh todn SSL
SSL tai mdi thi trUdng dUdc tinh todn theo cdng thUc:
SSL^ln-p^
Trong dd: Inix) la logarithm tU nhidn cua X, P^ va P ^ la cac chi so'thi trUdng tai thdi diem t vo t-1. Cu the hdn P chinh la chi sdS&P 500, Nikkei 225 va VN-Index.
Dff lidu SSL dupe kidm tra tinh dijfng thdng qua kidm dinh Augmented Dickey-Fuller (ADF) vd thUe hidn h6i quy theo md hinh GARCH.
Mo hinh GARCH
BoUerslev. T. (1986) la ngUdi d^u tien dUa ra md hinh GARCH de md ta phUdng sai cd didu kien cua SSL, nghia la dd bidn thien. Cu the la vdi md hinh dang ARMA de md ta SSL:
Trong do:
k, pvaq la cdc sd nguyen khdng am;
X^^ la cdc bid'n nguyen nhdn; va lan lUdt la SSL vd cac sai sd dU bao tai thdi diem t-i;
Md hinh GARCH md ta dd bien thidn, thdng qua phUdng sai cd dieu kidn ed dang: ^
Trong dd; cr/ la phUdng sai eo dieu kien, {£,} la bidn phdn bd ngdu nhidn deu iid (identically distributed) vdi trung binh bang 0 vd phUdng sai bang 1, a^Q,
6 day, ta hidu rang, a=0 vdi i > m va y9 = 0 vdi j>s. Rang bude sau vl a -¥
p de phUdng sai khdng dieu kidn eua a^
Id hffu han, trong khi phUdng sai cd dilu kien cr/ thay ddi theo thdi gian. e^ thudng dUdc gia su" tudn theo phdn bd chuan (normal distribution), phan bd Studept-t (Student's t distribution), hay phan bd' ldi tdng quat (generalized error distribution).
Nhu vay, md hinh GARCH da bieu didn dUpe dd bidn thidn vd ede yd'u td anh hudng. Theo dd, nd'u cdc hd sd a va ^ cd y nghTa thdng ke, chUng to dp bien thidn chiu tac dpng cua dd bidn thien va thanh phan loi (dai dien cho sU tdng gidm ngoai ky vong cua nhd diu tu) trong ede giai doan trUde dd (Nghi L. D, 2012).
Dff lieu dp bien thien cd dUdc tff md hinh GARCH dUdc kiem dinh tinh dffng. Sau dd, nghien ciJu siJ dung kiem dinh nhan qua Granger (Granger Causlity Test) de danh gia tac ddng lan tda dp bidn thien giffa cac thi trudng.
Kiem dinh nhdn qud Granger
Granger C. W. J. (1969) da xdy dUng ly thuydt de kiem dinb mdi tUdng quan "nhdn qua" (causality) giffa cdc chuoi dff lieu. PhUdng phap ddnh gid bid'n x tdc ddng ldn y dUa tren viec kiem dinh xem bidn y dUpc gidi thich bdi cac gia tri eua y trong qua khU vd cde gid tri ed dp trd eiia jc. Bid'n y dUpc xem la ke't qua Granger cua J: (Granger-caused by x), ne'u x gdp phan d\X bdo dUdc gia tn eiia y, hay ndi each khde la cae he sd cua bidn tre cua JC cd y nghia thdng kd.
Kiem dinh nhan qud Granger (Granger Causality test) theo md hinh VAR (Gujarati, 2004) cd dang nhU sau:
y, = ag + «,>",., + ... + a^y^i + Z^^x^j -1-...+ ^^,^ + e, (1) x^ = ag + apc^i + ... + ax_, + ^^y^^ -H...+ ^,y, ^ + w, (2) Va ladm dinh: eho moi phUdng trinh d trdn. Gid thuye't Hg Id: x khdng tac dpng nhan qua Granger ldn y {x does not Granger-cause y) trong phUdng trinh hdi quy (I) vdi y la bid'n phu thude (va x la bien dpc ldp) vd y khdng tdc ddng nhdn qua Granger len x (y does not Granger-cause x) trong phUdng trinh hdi quy (2) vdi x la bid'n phu thupc (vd y Id bid'n doe ldp). NhU vay, neu d phUdng trinh vdi y la bie'n phu thude, gia thuye't H^
bi bdc bd nghia la x tac ddng nhan qua Granger len y.
Dit liiu nghiin ciiu
Dff lieu si^ dung di phan tieh la cac chi sd tdng hdp theo ngay ciia S&P 500 (dai didn eho TTCK My), Nikkei 225 (dai dien TTCK Nhat Ban) va VN-Index (dai dien cho TTCK Viet Nam) tU ngay 01/01/2012 ddn ngay 31/12/2015, dUde thu thap tff nguon dff lieu Datastream (Thomson Reuters) (Bdi viet sU dung cdch viet so thdp phdn theo chuan quoc ti).
KET QUA NGHIEN CLfU VA THAO LU,fliN Thd'ng ke md ta
TU cdc kd't qua Bang 1 co the tha'y, gid tri trung binh eiia SSL tren ca 3 thi trUdng la dUdng, tuy nhien gid tri nay la khd nhd. Dieu nay la hdp ly, vi thdi ky nghien cffu la giai doan mdi phuc hdi eiia cac thi trUdng sau giai doan khung khoang kinh te' thd gidi. Dp nghieng (Skewness) tai 3 TTCK Id dm, ehUng to cdc phdn bd' SSL tai cac thi trUdng nay la ba't dd'i xffng vd cd "dudi trdi dai" (long left tail). Dd nhon (Kurtosis) tai cd 3 san ldn hdn 3, ehffng td phdn bd eiia dff lieu "nhon" (peak) hdn so vdi phdn bd'ehuan.
Dff lidu dUdc diem dinh tinh dffng bang kiem dmh Augmented Dickey-Fuller (ADF). Ke't qua cho thay.
Economy dnd Forecast Review
BANG 1: THOMG KE MO TA CQA SSL T^l CAC THj TRtfdriG ung Wnh (Mean)
ung vi (Median) 3 lecli cliuan (Std. Dev) p nghtSna (Skewness) 5 nhoti (Kurtosis)
S&F500 0 000466 0.000195 0.007916 -0.256127 5.054130
Nikkei 225 0,000778 0.000278 0.013154 -0.356637 6.255896
VN-Index 0.000478 0 000101 0.011053 -0.609907 5.787362 BANG 2: KET QUA CfdC LtfOMG GARCH
S&P500 1 Nikkei 225 VN-lndex Bifi'u thij-c SSL
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-0 029437**
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0.904299***
-0.177991***
0.229896***
-0 944644***
0,000804***
0.318092***
0.642558***
-0.615162***
-0.403616***
0.922047***
-0.311194***
-0.636897***
0.617673***
0.372626***
-0.944970***
0.000517**
0 122741***
0,062826***
0.228S97***
-0.084530***
-0.053319***
0 730323***
0 193849***
-0.309842***
-0 703064***
Bieu thilc do bien thien R„
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L-0,00001***
0,2020***
0,7537***
0.000005***
0.088706***
0.881557***
0,000021***
0,199256***
0.619890***
Ghichu: * Mgu,
•n liMt d(ii dipn cho cdc mi )cin c u a n h o m tac gia ti
ea 3 chu§i dff lieu deu dffng. Ngoai ra, cdc kiem dinh tUdng quan eua binh phUdng ph^n du cho tha'y, dSy Id chudi phu thude, nghTa Id tdn tai hieu ffng GARCH trdn ea 3 thi trUdng.
Ket qud Udc lUdng GARCH tgi cdc thi triiifng Quy tac Box-Ienkin (Gujarati, 2004) dUde su" dung de xac dinh md hinh md ta SSL va md hinh GARCH vdl cac dp tre m=l va s=l, ky hieu la GARCH (1,1), dupe diing de md ta dd bid'n thien. Ly do chpn md hinh nay la GARCH la md hinh phii hdp va dUde sti" dung trong hau he't cdc nghien elJu tUdng tU. Cic trUdng hdp md hinh GARCH (m,s), vdi cdc he sd m,s ldn hdn thudng chi dUde dung trong ede chudi dff lidu rat ddi (vi du nhu dff lieu gid cua vdi nam) Engle. R. (2001). Kdt qua Udc lUdngtai ede thi trUdng nhu trong (Bang 2).
Kdt qua Ude lUdng md hinh GARCH tai ca 3 thi trudng cho tha'y, cde he sd a (thanh phan ARCH) va P (thanh phan GARCH) cho ca 3 thi trudng deu cd y nghia thd'ng ke d mUc 1%, chUng td dp bidn thien tai eac TTCK My, Nhat Ban vd Vidt Nam phu thude vao ca dd bien thien va thanh phan loi {dai didn cho sU tang giam ngodi ky vpng cua nhd dau tu) trong giai doan
trUde do. Tff cdc md hinh GARCH d tren, ta Ude lupng dUde dd bie'n thidn tai cac thi trUdng.
Kiim dinh tdc ddng lan tda dd bien thiin gida cdc thi triing
Kiem dinh tinh dffng bang kiem dmh ADF cho thay, cac chudi dff lidu dp bidn thidn lai ca 3 thi trUdng My, Nhat Bdn va Vidt Nam deu di^g d mffc y nghia 1%.
TU dd, ta cd thd kiem dinh tac ddng lan toa dp bie'n thien tff TTCK My va Nhdt Ban idn TTCK Viet Nam bang kiem dinh nhdn qua Granger. Dilng tieu chuin AIC, nghidn cffu xde dinh dUpc dd tri phu hdp ciia cd 2 trUdng hdp tren Id 1=3.
Nhu vay, md hinh VAR vdi dp trd 1=3, ky hieu la VAR(3), dUdc sff dung de kie'm dinh tac ddng lan toa dp bid'n thien. Kdt qua ki^m dinh lan tda dp bid'n thien tff thi trUdng My vd Nhdt Ban sang thi trUflng Viet Nam dUdc tnnh bay trong Bang 3.
TU ket qua d Bdng 3, ta tha'y rdng, do bie'n thien tai TTCK My co tae ddng lan tda len dp bien thien tai TTCK Vidt Nam, Dieu nay la phil hdp vdi thue td. My la qud'c gia cd nen kinh td' ldn nha't thd gidi va cd the gdy anh hudng den cdc nUdc dang phdt tridn nhU Viet Nam. Day cfing cd the dUdc xem la bang ehffng cho viec hdi nhap the gidi cua TTCK Viet Nam.
Quy md thi trudng ngdy cdng tang cung nhu viee tao nhieu cd hdi tdt hdn cho cac nhd ddu tu nUdc ngoai giffp TTCK Vi6t Nam hdi nhdp va lien kdt chat che vdi thi trudng the gidi. Tuy nhidn, kd't qua nghien CiJu Cling chi ra rdng, d mUc y ngiiia 10%, ehffa du bang chiJng ket ludn ve tde d6ng lan tda dd bid'n thien tff TTCK Nhdt Ban sang TTCK Viet Nam. NhU vdy, cd the thd'y rang, TTCK Viet Nam chiu anh hudng tU cde bien ddng tren TTCK My nhieu hdn tff TTCK Nhdt Ban.
Nghien cffu cho tha'y, dd bid'n thien tai TTCK My la mpt trong nhffng cd s3
&i du bdo v^ dd bidn thidn tai TTCK Viet Nam. NhU vay, cac nha dau tU can chii trong cac bidn ddng tren TTCK My de quan tri rui ro khi dau tU tai TTCK Vidt Nam, vi mdi bid'n ddng tren TTCK My cd the gdy nen tdc ddng lan tda ddn Viet Nam. Ngoai ra, nghien cffu eung de xud't cdc nha hoach dinh ehinh sdch tai Viet Nam ean ed ede bien phdp phu hdp nhdm tra'n an thi trffdng kip thdi nd'u xay ra nhffng bid'n ddng manh tren TTCK My, giiip giam thieu rui ro tai TTCK Viet Nam, ddm bao sU phat tridn on dinh cua thi trffdng. Ngoai ra, do sU phu thude
cfia TTCK Vidt Nam vao TTCK My, chien lUdc da dang hda danh mue dau tU eua cac nha dau tutai My thdng qua dau tu tai Viet Nam se it mang lai hieu qua.
Vl vay, cde nha dau tU nay cd thd tim cdc thi trudng khac de giiip chidn lUdc giam thi^u rui ro thdng qua da dang hoa danh muc dau tUthUc sU mang lai hidu qud,
KET LU-SiN VA KIEN N G H j Tff ke't qua tren, nghien cii\t dUa ra cde khuyd'n nghi cho ca nha dau tu vd nha hoach dinh chinh sdeh, nhu sau:
Thiinhdt, vi dd bid'n thidn gid cd phieu tai TTCK Vidt Nam chiu anh hUdng bdi su bidn ddng tren TTCK My, nha dau tu tai Viet Nam nen chU trpng vdo viec theo ddi cdc bie'n dpng tren TTCK My d^
dua ra eae quye't dinh da dang hda danh muc diu tu phil hdp. Mdi khi gid cd phieu trdn TTCK My bidn ddng manh do nhffng thdng tin tich cifc hoac tieu cUc, thi trUdng Vidt Nam se chiu anh hffdng va bidn ddng theo. Nhu vdy, nha dau tu tai Viet Nam ed thd dUa vdo nhffng bie'n ddng nay de dff bao cdc bid'n ddng tren thi trudng Viet Nam. Cu the hdn, gia sff tin xdu xudt hien tai My lam chi sd'S&P 500 sut giam manh. Kd't qua nghien cffu chi ra rang.
BAMG 3: KIEiVl DJMH TAC DQNG LAN TOA GlCfA CAC TH| TRCfdrJG
Gia thuyet
F-Statistic Ke't lu|n
^ Kiim dinh nh^n qud Granger Do bten thien tat TTCK My khong tac dong len do bien thien tai TTCK Viet Nam
4,41116 B&cb6dm(ic 1%
D6 bien ihien tai TTCK Nhat Ban khong tSc dpng I6n do bien thifin tai TTCK Viet Nam
0.54608 Kh6ng bdc bo 5 miJc 10%
Nguc nphar
TTCK Viet Nam nhieu kha ndng se co nhffng bien ddng tUdng tu. Khi dd, nha dau tu tai TTCK Viet Nam nen cd nhffng hanh ddng phil hdp nhdm giam thieu rui ro, vi du nhff gidm ty trpng dau tU vdo TTCK Vidt Nam.
Thu: hai, cdc nhd hoach djnh chinh sdeh ndn theo doi cdc bidn ddng tren TTCK My de cd cdc quyd't dinh quan ly phu hdp cho TTCK Viet Nam. Cu thi, Vy ban Chffng khodn Nha nffdc cd the dp dung bidn phdp thu hep bidn dd dao ddng gia nhff da tffng ap dung trong giai doan tff ngdy 27/03/2008 den ngay 18/08/2008 khi TTCK Viet Nam suy giam manh, hoac kip thdi dffa ra cde thdng tin etn thidt gidp trd'n an thi trffdng, nham han ehd tac ddng lan tda bid'n dpng xa'u tff TTCK My.
Cudi ciing, do sU tuy thude cua TTCK Viet Nam vao TTCK My, chid'n lUde da dang hda danh muc dau tff cua cdc nha dau tff tai My thdng qua dau tff tai Viet Nam se it mang lai hidu qua. Vi vdy, cde nha dau tU nay cd the tim cac thi trUdng khdc dd gidp chidn lUpc giam thieu rui ro thdng qua da dang hda danh muc dau tu thue sU mang lai hieu qud.Q
TAI L i p u THAM KHAO
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