ANH HlTCKNG CUA LAM PHAT DEN DO BIEN W m GIA C6 PHlEU;
BANG CHinVG THl/C NGHIEM TU" Sd GIAO DICH CHlfNG KHOAN THANH PHO HO CHI MINH
Vo Quoc Anh
Truang Dgi hgc Kiin Giang Email: [email protected]
Truong Dong Lgc
Truang Dgi hgc Cdn Tha Email: [email protected] vn
Ngay nhan: 17/3/2017Ngay nh?n ban sua 28/5/2017 Ngay duyet dang: 25/10/2017
Torn tat:
Muc tiiu ciia bdi viet ndy Id nghien ciru dnh huang ciia yiu to Igm phdt din muc do bien dgng gid ciia cdc CO phdu niem yet trin Sa Giao dich chieng khodn Thdnh pho Ho Chi Minh (HOSE). So lieu su dung trong nghien cuu ndy bao gom chuoi chi so VN-Index vd chi sd gid tieu dung (CPI) theo tdn sudt thdng trong giai doan tie 7/2000 den 01/2017. Kit qud uac lugng bdng md hinh GARCH cho thdy lam phdt co tdc dgng nghich biin den miec do biin dgng gid cua cd phiiu v&i mgt do tre thai gian. Tuy nhien. kit qud u&c lugmg bdng mo hinh EGARCH Igi cho thdy Igm phdt lai khong co tdc dgng din do biin dgng gid cua co phiiu niim yit trin HOSE.
Tu- khoa: Bidn ddng gia cd phigu, lam phdt, GARCH, EGARCH, HOSE
The effect of inflation on stock price volatility: Empirical evidence from Ho Chi Minb Stock
ExchangeAbstract:
The objective of this study is to investigate the effect of inflation on slock price volatility on Ho Chi Minh Stock Exchange (HOSE). The data used in this study is monthly series of the VN-Index and the consumer price index (CPI) over the period from July 2000 to January 2017. The results derived from the GARCH model show that inflation has a negative effect on stock price volatility with given time lags However, by using EGARCH model, it is found that inflation does not have any signiflcant effects on price volatility of stocks listed on the HOSE.
Keywords: Stockprice volatility; inflation; GARCH; EGARCH; HOSE
1. Gidi thidu
Dp bien ddng gid Id mot thudc do vd cimg quan frpng trong hoat dpng dau tu chiing khodn bdi le nd cho bigt muc dp nii ro ma cdc nhd ddu tu c6 thg phai gdnh chju. Ve phuang didn ly thuydt, cd rdt nhidu ydu td vT md cd thg anh hudng den dp bign ddng cua cd phidu (Schwert, 1989; Kearney & Daly, 1998;
Kearney; 2000; Morelli, 2002), frong do cd ca ygu td lam phat. Cac nghien ciiu thyc nghigm d ngodi
nude (vi dy nhu Hoa Ky, Uc, Thd Nhi Ky, Nigeria, Ghana.. ) vg dnh hudng cua l^m phdt dgn dO bign dpng gia cua cd phidu co thg duac phdn chia lam hai trudng phdi. Trudng phdi thii nhat xem xet dnh hudng ciia dp bign ddng lam phdt ddn dp bidn dpng cd phidu (Schwert, 1989; Kearney & Daly, 1998;
Kearney, 2000; Morelli, 2002; Liljeblom & Stenius, 1997), frong khi dd, nghidn ciiu dnh hudng ciia ty Ig lam phdt ddn dp bign ddng cd phigu la mdi quan tdm
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cua frudng phai thu hai (Davis & Kutan, 2003; Aliyu, 2012). Kdt qua ciia cdc nghien cuu thyc nghidm vd chu dd trdn cho ddn nay van cdn chua thdng nhdt vdi nhau. Mdt sd tdc gia da tim thdy moi quan he giiia lam phat va dp bidn dpng gid ciia cd phidu (Kearney & Daly, 1998; Aliyu, 2012), frong khi cd tac gia lai khdng tim thdy mdi quan be nay (Morelli, 2002). Hon thd niia, chidu hudng anh hudng cua lam phat den dd bidn dpng cd phieu cung Id mdt vdn dg hign cdn dang franh cai. Kearney (2000) cho rdng lam phdt cd tac dpng nghjch chidu ddn dp bidn dpng gia ciia cd phidu, frong khi Kearney & Daly (1998), Liljeblom & Stenius (1997), Aliyu (2012) lai tim thdy ca hai dang: anh hudng ddng bidn vd anh hudng nghich bidn frong nghidn ciiu cua minh.
Trdn thi frirdng chiing khodn Viet Nam, mpt vdi nghign cihi thyc nghidm lidn quan din mdi quan hg giua lam phdt vd gia cd phi^u da duac cdng bd (Phan Thj Bich Nguyet & Pham Duang Phuang Thao, 2013; Truang Ddng Ldc, 2014; Than Thi Thu Thiiy & Vd Thj Thiiy Duang, 2015). Tuy nhign, cac nghign ciiu nay dgu phdn tich co phigu d khia canh thay ddi gid md khdng phdi la dp bign ddng gid. Myc tigu cua nghign ciru nay Id bd sung cac bdng chimg thyc nghiem vd dnh hudng cua l^m phat dgn miic dd biln dpng gia cd phigu frgn HOSE. Ddy Id mpt khia canh ma theo sy hidu bidt tdt nhdt ciia nhdm nghign cfru hien vdn cdn la mpt khoang trdng. Ngoai ra, kgt qua cua nghien ciiu nay se Id mdt ngudn thdng tin vd Cling quan frpng ddi vdi cac nha ddu tu vd cac nhd hoach dinh chinh sdch. Vd phuang dien ddu tu, ndu l?m phat cd dnh hudng ddn dp bign dpng thi trong qua trinh udc luong loi nhudn ky vpng, cac nha dau tu cdn can nhac dgn l^m phat nhu Id mpt ydu td rui ro. Ci gdc nhin dieu hdnh vT md, cdc nha hoach djnh chinh sach cd le cdn thi hanh cac chinh sdch phii hpp de kidm che lam phat ndu nhu tdn tai mdi quan he dong bien giira lam phat va dp bien ddng ciia thi trudng cd phidu nhdm myc tigu bao vg tinh dn dinh ciia thi trudng chimg khoan ndi chung.
Phin cdn lai ciia bdi vigt nay dupe cdu tnic nhu sau: Muc 2 gidi thieu ca sd ly thuydt; Myc 3 md ta sd lieu sii dung va phuang phap nghien cuu; Myc 4 tdm tdt cac kgt qud nghign ciiu; vd cudi cung kgt ludn va khuydn nghi cua bai vigt se dupe trinh bay d Myc 5.
2. Cff sff ly thuyet
Mdi quan hg giiia lam phat vd dp bien ddng gia cd phigu cd thg dupe giai thich thdng qua md hinh ly
thuygt cua Schwert (1989). Md hinh nay dupe xdy dung dya trdn mdt lap ludn het sue phd bidn frong tai chinh, dd la gid cd phidu bang tdng cac gia trj bidn tai (present value) cua nhiing ddng frdn md nha ddu tu nhdn dupe tii cd phieu trong tuong lai, Phuang trinh bieu didn gia cd phidu cd thg dupe vidt nhu la:
Trong do, E^^ la todn tu ky vpng cd didu kign dya frdn thdng tin d thdi didm t-T, P^ la gia cd phidu d thdi didm t; D^^^ la lai vdn cpng cd tiic ciia cd phieu d thdi digm t+t, R^_^^ Id ty sudt chidt khdu d thdi didm t+k. Nhu vdy, gia cd phieu ky vpng dya frdn thdng tin da cd d thdi diem t-I se la ky vpng cua tdng cac gia tri hien tai cua nhiing ddng tien ddnh cho nha ddu tu. Sy thay ddi ciia cac ygu td vi md cd thg keo theo sy bidn ddng ciia cac ydu td D,^^ va fl,.^^, tir dd 1dm dnh hudng ddn dp bidn dpng ciia gia cd phidu.
Trong bdi vidt nay, chung tdi sir dyng ydu td lam phat nhu la mpt bidn sd vi md dd nghien ciiu dnh hudng ciia nd ddn dp bign dpng gia ciia cdc cd phigu (chi sd VN- Index). Anh hudng ciia thdng tm vg leim phat ddn dp bidn dpng gid cd phigu cd thg dupe ly gidi thdng qua 2 con dudng, Thic nhdt, khi lam phat thay ddi, chi phi va doanh thu ciia cac cdng ty se thay ddi Dieu nay cd thg 1dm thay ddi lai vdn (do gia cd phigu thay ddi) va cd tiic ma cac cd ddng duac hudng hay ndi khdc di, lam phdt dnh hudng den ddng frdn. Thir hai, ndu lam phdt tang, rat cd thg cac nha dau tu se ygu cau mpt ty suat chigt khdu Idn ban vd nguoc lai. Didu nay khidn cho R^^^^
ciing cd khd nang bi tac ddng bdi ydu td lam phdt. Ndi tdm lai, sy thay ddi aia lam phat cd thd se lam dp bien dpng gid cd phidu thay ddi do nd dnh hudng dgn ca 2 bign sd D^^i_ va R^^^ frong md hinh cua Schwert (1989).
3. Sh lidu su dung va phinrag phap nghien cvu 3.1. Phuffngphdp thu thgp so liiu Nghidn ciiu nay dupe thyc hien dya frgn dii lieu gid ddng cua ciia chi sd VN-Index va chi sd gid tidu dung (CPI) theo tdn sudt thdng frong giai doan tir 7/2000 ddn 01/2017. Trong dd, chi sd VN-Index duac dung dd tinh toan ty suat lai nhudn vd udc lupng dp bidn dpng gid cua cd phidu. Dii lieu CPI (thudng dupe dung dg do ludng mirc dp lam phdt) dupe thu thdp tir website ciia Tdng eye Thdng kg (www.gso.gov.vn). Gid ddng ciia ciia chi sd VN- Index dupe thu thdp vdo ngdy giao djch cudi ciing frong thang tai website cua HOSE (www.hsx.vn).
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Cac md hinh djnh lupng dupe sir dung frong nghign ciiu nay ddi hdi dii lieu phdi cd tinh dimg (stationary). Vi ly do nay, gia ddng ciia ciia chi sd VN-Index se d u a c bien ddi sang dang ty sudt lpi nhudn kep lidn tyc (continuously compounded return) ciia chinh nd. Ty sudt lpi nhudn se cho bidt tdc dp thay ddi ciia chi sd gia chirng khodn bang bao rihigu va ty sudt nay ciing chinh la ddu vao ciia cdc md hinh do ludng dp biln dpng. Cdch thuc do ludng ty sudt Icri nhudn dupe bigu dign bdng cdng thijc:
r~log(CloseJ - log(Close^_^)
/• Id ty suit lpi nhudn ciia chi sd VN-lndex d thdi didm (.
Close^ va- Close^i Idn lupt la gia ddng ciia ciia chi s6 VN-Index d thdi didm ( v a thdi digm t-l.
3.2. Phuffngphdp nghien cdu
Trong bai viet nay, dp bidn ddng gid cua cd phigu dupe udc lupng bang md hinh GARCH (1,1) do BoUerslev (1986) dg xudt. Mpt cdch cy the, md hinh ndy cd d^ng nhu sau:
rt=P + S^=l <Pp n - p + Sq=l 9q £t-q + Et (1) D[ — ao + a i ^ t - i + '^zLJt-i (2)
r^ la ty suit lai nhudn thi trudng d thdi digm t;
Phuang frinh ( I ) vd (2) Idn lupt la phuang trinh trung binh va phucmg trinh phucmg sai cd digu kien ciia md hinh. Phuang trinh trung binh dupe udc lupng bang md hinh tu hdi quy (bac m) kdt hpp tnmg binh trupt (bdc n), ky hidu Id ARMA (m,n) Gid fri ni vd « dupe chudn doan dya frdn phuang phdp Box-Jenkins.
Ej Id sai s6 nhidu trang d thdi didm (; h^ la phuang sai cd didu kidn d thdi didm t; p,(p , 9 vd a^, a,, a^ la cdc tham sd ciia phuang trinh trung binh vd phuang frinh phuang sai cd didu kien. Cac tham sd cua rad hinh GARCH (1,1) phdi thda man: ap>0;
a | > 0 ; a 2 > 0 ; a „ + a j < l ,
Trong thdng kd, phuang sai duac bilt dgn nhu Id mdt cdng cu diing dg do ludng dp bidn ddng. Vi vay, dnh hudng cua lam phdt ddn ddng biln ddng cua cd phidu CO thd dupe kham phd mpt cdch d l dang bdng each tich hpp thdng tin vg lam phat vao phuang frinh phuang sai cd didu kien hf.
rt=fi + S^=i <Pp rt-p +1^=1 Oq £t-q + £( (3)
la mpt bidn so dai didn cho ydu td lam phdt va ky bidu CPfi Id dp ird mdt giai doan ciia chi sd gia tigu dimg. Nhigu nghign cmi frgn thi trudng chiing khoan Vidt Nam cho thdy, thj trudng khdng hieu qud ngay cd d miic dp ydu (Truong & cdng sy, 2010; Do
& cdng sy, 2015).' Vi ly do nay, thdng tin vd lam phat d thdng t nao do cd thd se khdng lap tiic phdn anh vdo gia cd phidu d thang t. Su dyng CPI^^ de nghign ciiu thay vi CPf se phu hpp b a n frong bdi canh khdng hidu qud ciia thi truang,
Y Id tham sd lidn quan ddn lam phat. Dd bidt Ipn phdt cd tdc dpng ddn dp bidn ddng gid cd phidu hay khdng, cdn phdi xem xet tinh phii hop (vd mat thdng kg) cua gid thuygt lien quan dgn tham sd ndy. Cap gid thuygt vg tham sd y nhu sau:
H „ : Y - 0 H,: y ^ O
Ndu gid thuygt H^ bi bac bd vd mat thdng ke, lam phdt dupe cho la cd dnh hudng ddn dd bidn ddng gia ciia cd phidu va ngupc lai.
T u a n g ty vdi p h u a n g phap cua Aliyu (2012), dp t r i mpt giai doan ctia iam phat binh quan ciing dupe su dyng dd nghidn cuu dnh hudng ciia lam phdt Ign dp bidn ddng cua cd phieu:^
rt=li + Z^=i ^p n-p + I]q=i 0q ^t-q + £r (5) t = ao + ai£c^-i + a2 j _ i -I- XACPlf.-^ (6) Vdi ACPfi Id dp frg mot giai do£in cua chi sd gia tidu diing binh quan.
= tto + <^l^t-l + "2 i y- yCPh- (4) Nghign cim nay sir dyng chi sd gia tigu dimg nhu
ACPh CPlt + CPh-i + CPlt-:
A, la tham sd do ludng anh hudng ciia lam phat binh quan (dang dp frd mdt giai doan) ddn dd bidn ddng gia cd phidu. Gid thuyit vd tham sd nay nhu sau:
H„:;. = 0 H,: \fQ
Neu gid thuyet H^ bi bac bd ve mat thdng kd, do frg cua lam phat binh quan dupe cho la cd anh hudng dgn dp biln ddng gid cila cd phigu vd nguac l^i.
Lam phdt dupe cho la cd dnh hudng den dp bign dgng cd phiiu n i u he sd X cua phuang trinh (6) cd y nghia vd mat thdng kg va ngupc lai ACPI uu viet ban so vdi CPI bdi vi nd khdng chi su dyng thdng tin v l lam phat cua mpt thang lidn trudc md bao ham thdng tin ciia cd 3 thang lidn kd Nhd ddu tu rdt cd kha nang se sii dyng thdng tin vd lam phat d mpt thdi
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gian du dai dg ra quydt dinh giao djch chii khdng chi la rnpt thdng gdn nhdt. Vi vdy, dp bidn ddng ciia cd phieu rdt cd khd ndng bi dnh hudng bdi dp trg cua ACPI.
Bgn canh vide sir dyng md hinh GARCH, nhdm nghign cuu cdn su dyng thdm md hmh EGARCH (Nelson, 1991) dg udc lupng dp bidn ddng gia cua cd phidu. i J u d i l m ciia EGARCH so vdi G A R C H nam d chd p h u a n g sai cd didu kien duac logarit hda dg bdo dam rang phuong sai khdng the nhan gid trj am. Mat khdc, E G A R C H cdn cho phdp cii sdc dm va cii sdc duong cd tdc dpng khac nhau d i n dp bidn ddng ciia cd phidu.^ Md binb E G A R C H cd dang:
rc = fi+ S^=l <Pp n-p + Sq^l Oq Et-q + ^t (7) log(h^ a)„ -f- a.1 \j^\ + ^2 ^ + ^03 ^""SOiJ (8)
Phuang trinh (8) la p h u a n g trinh p h u a n g sai cd dieu kien cua md hinh E G A R C H vd to w u) lo Id cdc tham sd ciia md hinh.
Tuang ty vdi trudng hop ciia md huih GARCH, cac bidn sd CPf^ vaACPI^^ dupe thdm vdo phuang trinh phuong sai cd didu kidn dd kidm dinh anh hudng ciia lam phat len dp bien dpng cua cd phidu:
Mohinh vdi CP/t_i:
r[=fi + I'^^l <pp n-p + Zq=i 0„ £t-q + £t (9)
lOg(h^= Oo + 6)1 | - ^ | - l - 6 J 2 - ^ - | - .
mJog(hJ+yCPf^ (10)
Md hinh vdi ^ C P / ^ , :
n = p + E^=i (pp n-p + S q ^ i 8q £t-q + £t (11)
log(h^ = (xio + oil l ^ ^ l + ai2 ^ = + .
(iiJog(hJ+jACPf, (12) Cac tham sd y vd X vdn la cac tham sd do ludng tdc dpng cua lam phdt vd dp frg lam phat binh qudn len dp bien ddng gia cua cd phidu va chiing dupe ky vpng cd y nghia ve mat thdng kd.
4. Ket q u a n g h i i n c u u
Bang I trinh bay cdc ket qua thdng kg ciia ty suat Ipi nhuan thi trudng (ty suit lpi nhudn ciia VN- Index), chi sd gia tidu dung va chi sd gia tidu dimg binh qudn 3 thdng lidn kg. Nhin chung, dp Igch chudn ciia ty suat lpi nhudn cho thdy ty sudt Ipi nhudn bign ddng manh so vdi trung binh ciia nd. Trong khi dd, chi sd gid tidu diing va chi sd gid tidu diing binh quan 3 thang cd dp lech chudn kha nhd so vdi trung binh ciia chiing.
Skewness cua ty suat lpi nhudn am va Kurtosis cua ty sudt lpi nhudn Idn ban 4 cho thdy ty suit lpi nhuan cd phan phdi lech trai (left-tailed) vd dudi day (leptokurtic) so vdi phdn phdi chuan.*
Kdt qud cua kidm dinh ADF cho thay gia thuygt H, cd thd bi bdc bd d cd 3 chudi dii lidu vdi: miic
Bdng 1: M$t so thong tin thdng ke ctf bdn ciia vdi d u lieu CPI, Trung binh
Trung vi Gia tri Idn nhdt Gid tri nhd nhdt Dp lech chudn Skewness Kurtosis Kidm dinh Jarque-Bera Kiim dinh ADF Sd quan sat
0,0097 0,0030 0,3258 -0,4206 0,1025 -0,1884 4,8760 30,2068*
-9,4145*
198
100,5890 100,4000 103,9100 99,2000 0,8133 1,4866 5,6189 130,1679*
-3,2826***
199
100,5949 100,4433 103,0333 99,4567 0,6791 1,5340 5,6589 135,2869*
-3.2858***
197 K y h i ? u * v a * * * lan lupt la bac bo gia thuyit Ho d muc y nghia 1% va 10%. Gia thuyit Ho ciia kidm djnh Jarque-Bera la dir lieu cd phdn phdi chudn; gia thuyit Ho cua Kiim dinh ADF la du lieu cd nghiem don vi (unit root).
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Bdng 2: Kit qua phan tt'ch bang mo hinh ARMA va kiem dinh ARCH-LM
f (Pi ip.
Va
e.
ARCH-LM (5):
ARCH-LM (10):
ARCH-LM (15):
HSse 0,007157 0,649350*
0,138958*
-0,115696**
-0,457906*
26,658908*
40,192297*
42,106611*
Sai so chuiin 0,011106 0,111543 0,049749 0,048479 0,139084
Th6ng k£ t 0,644452 5,821532 2,793180 -2,386490 -3,292288
K^'hieu * va ** Idn luat Id bdc bd gia thuygt H^ d mirc y nghia I%vd5%. Gid thuydt H^ ddi vdi cdc he sd udc lupng la he sd bdng 0. ARCH-LM (5); ARCH-LM (10) vd ARCH-LM (15) lin lupt la gia fri thdng kg cua kigm dinh ARCH-LM d cdc do trg 5; 10 va 15. Gia thuygt H^ ciia kidm dinh ARCH-LM Id md hinh khdng cd higu ling ARCH (ARCH effects).
y nghTa 1% (trudng hop ty sudt loi nhuan) vd 10%
(trudng hop chi sd gid tidu diing va chi sd gid tidu dung binh quan). Nhu vay, vg mat thdng kg, khdng cd nghiem don vi frong dii Hgu hay ndi khac di, dir lieu thda man tinh dimg.
Phuang phap Box-Jenkins dupe su dyng dg xdc dinh bdc cua thdnh phan ty hdi quy vd thdnh phdn trung binh trupt trong md hinh ARMA. Kgt qud chudn doan d dd frd bang 12 ddi vdi dii ligu ty suit lpi nhuan cho thay md hinh ty hdi quy ket hpp vdi trung binh trupt cd thd la d^ng ARMA vdi p = 1;
4; 9; 12 vd q = 1. Tuy nhien, khi thyc hien md hinh d dang noi trdn, dO frd 4 giai do^n cua ty suit lpi nhudn (p = 4) khdng cd y nghia vg mat thdng kd. Vi vay, nhdm nghidn cmi sii dyng md hinh ARMA vdi p = I; 9; 12 va q = 1 nhu Id phuong trinh trung binh frong phdn tich cua minh. Kdt qud udc lupng md hinh ARMA vd kiim dmh ARCH-LM (Engle, 1982) ddi vdi md hmh nay dupe trinh bdy d Bdng 2.
Thdng tin vd kigm djnh ARCH-LM d cdc dp frd 5; 10 vd 15 cho thiy gid thuyit md hinh khdng co hieu ling ARCH bi bdc bd d muc y nghTa 1%. Nhu vdy, vide iing dung md hinh GARCH (dupe md rpng rtr rad hinh ARCH) dl md td dp bidn dpng id phii hop. Bdng 3 trinh bdy kit qud udc lupng md hinh GARCH vdi sy cd mat cua dp frg CPI vd dp frg ACPI frong phuang trinh phuang sai cd didu kidn.
Kdt qua udc lupng cho thiy cdc gia djnh ciia md hinh GARCH chi thda man frong trudng hpp phan tich vdi dp frg ciia binh qudn chi sd gia tigu diing.
Md hinh GARCH vdi dp tre ciia chi sd gia tigu dung
bj vi pham gia djnh a|,>0. Gid fri cua tham sd k mang ddu dm va cd y nghTa vd mat thdng kd d miic 1%.
Nhu vdy, ndu dp frd ciia lam phdt binh quan tang, dp bidn dpng cua thj trudng cd phigu se giam vd ngupc lai. Kgt luan nay frai ngupc vdi nhiing bdng chiing dupe Aliyu (2012) tim thay d Nigeria va Ghana khi diing dp frg cua lam phdt binh quan. Dieu nay cd thd la do frong digu kidn lam phdt tang, nha ddu hi se ban che thyc hien giao djch dl chd dpi thdm cac thdng tin mdi vd didu hdnh chinh sach. NIU giao djch giam di, chi sd gia cd phidu se gidm bdt dp bign dpng cua nd. Cdc kigm dinh ARCH-LM vdi dp frd 5;
10 vd 15 cho thdy ca 2 md hinh phdn tich ddu khdng cdn tdn tai higu ling ARCH.
Nhu dupe gidi thieu d phan phuang phap xii ly sd lieu, qud trinh phan tich dupe lap lai Idn niia vdi md hinh EGARCH (xem kdt qua d Bdng 4). Tuang ty vdi kgt qua kidm dinh ARCH-LM d md huih GARCH, hieu iing ARCH khdng cd diu hieu xuit hien d md hinh EGARCH. Tuy nhign, cdc tham sd do ludng anh hudng ciia lam phat din dp biln ddng (y va A.) ddu khdng cd y nghia ve mat thdng ke ngay cd d muc y nghia 10%. Md hinh EGARCH da thdt b^i frong vide gidi thich tdc dpng ciia lam phat len dp bien dpng ciia thi trudng cd phidu d Viet Nam.
Nhu vay, cac kgt qua tir nghign cuu nay cho thay anh hudng cua lam phat den dp bien ddng ciia cd phidu Id khdng vung. Sy bien ddng ciia cd phiiu bi chi phdi bdi dp ffe cua lam phat binh qudn xudt hign d md hinh GARCH nhung l^i khdng bidn dign d md hinh EGARCH.
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Bang 3: Ket qua pban tich b^ng in& hinh GARCH
MS hinh vdi do ti-e cua CPI Mo hinh voi d9 tri cua ACPI 0,005443
0,459174***
0.094204 -0,000775 -0,268993
0,002468 0,385857 0,112929***
0,001407 -0,179394
"a
<ti
"2 y
-0,004081*
0,187879**
0,702368*
0,000047*
0,013389*
0,230693**
0,632412*
A ARCH-LM (5):
ARCH-LM (10):
ARCH-LM (15):
5,523737 8,330829 8,530919
-0,000125*
4,865963 7,325259 8,125878 Ky hieu *; ** va *** lan luat la bac bo gia thuyet Ho a muc y nghia 1%; 5% va 10%. Gia thuygt Ho d6i voi cac he s6 uoc luong la he s6 bing 0 ARCH-LM (5); ARCH-LM (10) va ARCH-LM (15) lin luot la gia tri thOng ke cda kigm dinh ARCH-LM 6 cac d6 trg 5; 10 va 15. Gia thuyit Ho ciia kiim dinh ARCH- LM la mo hinh khfing c6 hieu ung ARCH
Bang 4: Kit qua phan tich b^ng md hinh EGARCH
M6 hinh v&i do tre ciia CPI M6 hinh v ^ do tre cija ACPI 0,015066
0,425896 0,102934 -0,009435 -0,221284
0,014221 0,428994 0,101097 -0,007486 -0,220554 -9,328953***
0,351142*
0,106387***
0,866459*
0,083259
-7,877303 0,364267*
0,096573 0,862864*
1 ARCH-LM (5):
ARCH-LM (10):
ARCH-LM (15):
4,724953 7,723612 8,408787
0,068558 5,032805 8,241563 8,810911 Ky hieu * va *** Idn lupt la bdc bd gid thuyet Ho d miic 1% va 10%. Gid thuydt Ho ddi vdi cac he sd udc lupng la hg sd bdng 0. ARCH-LM (5); ARCH-LM (10) va ARCH-LM (15) Idn lupt la gid tri thdng kg ciia kiim dinh ARCH-LM d cac dp tre 5; 10 va 15. Gia thuyit Hp ciia kidm dmh ARCH-LM la md hinh khdng cd hieu iing ARCH.
5. K i t lu?n va khuyen nglii d rdt nhidu thj trudng nude ngoai. Mat dii vay, vdn Anh hudng cua thdng tin ve lam phdt din dp bidn chua cd mdt kdt ludn thdng nhat vd viec lieu anh dpng gid cd phidu Id mdt chii de dupe nghidn ciiu hudng nay cd tdn tai hay khdng; va niu tdn tai, anh
1 245 thdng 11/2017
93hinlileilial trien I
hudng se xudt hien dudi dang ddng bidn hay nghich p h i i u khdng bi dnh hudng dp trd cua lam phat vd dp bign. Bai vigt nay dupe thuc hien nham xem xet tac trd cua lam phdt bllih qudn. Bdi vi kdt qua nghien dpng ciia ydu td lam phat ddn m u c dp b i l n ddng ciiu khdng nhdt qudn vdi nhau, chung tdi khuyen gia ciia thi trudng cd phidu d Viet Nam. Dir lieu nghi rang cac nha ddu tu va cdc nhd ho^ch djnh can gia ddng cua cua chi sd VNINDEX vd chi sd gia phdi h i t sue than trpng khi su dyng thdng tin ve lam tigu diing CPI theo t i n sudt thang frong giai doan tii phat d l du bdo dp b i l n dpng gid cd phigu. Dd lam rd 7/2000 d i n 01 /2017 dupe sii dung de tham gia vdo hon mdi quan he giua hai b i l n sd ndy, cd le cin phdi qud trinh phan tich vdi md hinh GARCH va md hinh thyc hien them mpt sd nghidn cim khac frong tuong EGARCH. lai. Cdc nghien cfru tidp theo v l chii dd ndy frong K i t qua phdn tich bdng md hinh GARCH cho tuong lai cd thd dupe m d rpng bdng cdch sii dyng dp thdy, chi cd md hinh vdi dp frd ciia lam phdt b m h b i l n ddng cua lam phdt thay vi lam phat yd l^m phdt qudn la thda man didu kien toan hpc dupe dat ra vd binh qudn d l tiln hdnh phan tich. Cac y i u td vT md frong dd, lam phdt cd tac ddng nghjch b i l n Idn dp k h a c n g o d i l a m p h a t n h u t y gid, lai suit, cung bdn...
b i l n ddng ciia cd phiiu. Cdc k i t qua phan tich bdng ciing c i n duac xem xet nhu Id mdt bien sd frong md md hinh EGARCH cho thdy, dp bidn ddng cua cd hmh gidi thich dp b i l n dpng gia co phidu.
Giii c h u :
1. Mpt thi Uirdng dupe xem la bieu qua niu nbir tdt ca cac thdng tin dupe pban dnh mpt each ddy dii vdo trong giS.
Dieu nay ham y rdng, su dyng thong tm d qua khii se khong tbl guip ich gi cho viec giai thich sy thay ddi ciia miic gia hign t^i. Theo Fama (1970), thi Uirdng hieu qua c6 3 mirc dp: miic dp yiu (weak form), miic dd Uung binh (semi-strong form) va miic dp manh (strong form).
2. Chi sd gia tieu diing trong nghien ciru ciia Aliyu (2012) da duac biln ddi bang cdng cu logarit. Trong bai viet ndy, CPI khong trdi qua biln ddi logarit trudc khi tmh ACPI. Dir lieu CPI va ACPI thudn diy deu thoa mdn tinh dimg dl tiln hanh phan tich.
3. Cii sdc dupe dai dign bdi sai so cua mo hinh Mot trong nhung ly do khien cbo cu sdc am vd cu sdc duong cd anh hudng khac nhau den do bien ddng ciia cd phiiu la do hieu img don bay (leverage effect) (Black, 1976). Theo higu img ndy, gid c6 phiiu tang lam gia tang von chu sd hiru vd ngupc lai. Vi vay, so vdi trudng hpp gi& cd phieu tdng, gia CO phieu giam lam gia tang don bdy tai chinh va cudi cimg khien cho raiic dp bien dpng gid cda cd phiiu Idn hon
4. Engle (2004) cho ring md hinh ARCH (dang thu gpn cua GARCH) dupe thilt kl d l md ta cac dac trung: khong the tien doan (unpredictability), dudi day (fat tails) va phan cum dp biln dpng (volatility clustering) cua dir li^u tai chinh.
Tdi liiu t h a m khao
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