Lien ket thj tru'O'ng tai chfnh ASEAN:
Quan he giO'a chi so VNIndex vo-i cac chi so chu'ng khoan ASEAN5 tru'O'c va sau cuoc khung hoang tai chmh 2008
LAI CAO MAI PHlTOfNG*
Vdi muc dich so sdnh mdi lien kit giiea VNIndex vd cdc chi s6 chtcng khodn ASEAN5 trudc (7/2000 - 12/2007) vd sau (1/2008 ~ 12/2015) cudc khung hodng ng dudi chudn bdt ngudn tir My, nghien cicu su dung cdch tiep can ARDL bound test dtrgc phdt Iriin hai Pesaran vd cdc cdng su (2001) de kiim dinh mdi quan he ddng lien kel giua cdc chi sd chung khodn. DH lieu nghien curu bao gdm chi sd gid chung khodn dgi dien cho thi truang chimg khodn (TTCK) Viet Nam (VNIndex): Singapore (STI), Thdi Lan (SET). Malaysia (FBMKLCI), Philippines (PCOMP). Indonesia (JCI) Iheo thdng tic ndm 2000 - 2015. Kit qud nghien cicu cho thdy giai dogn sau ndm 2007.
mice do lien kel cda VNIndex vdi cdc chi sd chirng khodn ASEAN5 chat che han so vdi giai dogn Irudc do Trong cd hai giai dogn. Singapore Ihe hien vai Ird ddn ddi dinh hirdng sir bien dgng TTCK Viet Nam, Viet Nam Id qudc gia cd TTCK non ire nhdt Irong .sdu nude nghien cim vd cimg la thi truang cd mirc dd hien ddng mgnh nhdt.
Dua tren ket qud nghien cicu, mot sd gaiy duac ldc gid de xudt nhdm phdt Irien TTCK Viet Nam on dinh. ben vung. ihu hep khodng cdch vdi cdc nude Irong khu vuc.
Tic khda: Lien kel ihi tnrdng tdi chink, chirng khodn, VNIndex. ARDL bound test, ASEAN5.
1. Gio'i thieu muc dau tu ciia cac nha dau tu quoc te cang Cac nghien ciru Ihuc nghiem lien quan djn Eiim di: (Mcric va Menc (1989). Koulmos mirc do hoi nhap TTCK giiia cac qu5c gia trong ( ' 5 ' ' * ' ' Sinquendd (1996), Ben Zion va cong moi khu vuc thuong lap trung danh gia mirc do '^' C'^'"')- Frcimann (1998), va Bowe va lien kSt giira eae thi tmcmg. Kdl qua nghien cim Mylanidis (1999). Ngugc lai, miii lien k a giua Ihirc nghiem cho IhSy hoi nhap Ihi trucmg v6n "'"' * ' '™™8 ni6i noi vai nhau. hoac giil'a ihi giira cac nuiie phat irifin hang diiu cang chat ehe " ' ^ ' 8 '™' " ° ' ™'. ''*'=, * i """"& Pl'*' ^"^"
thi Igi ich diii han trong viec da dang hoa danh '^"^' ^'^" " ' " ^ dai y8u (Korajczyk (1996), 1 lakim vii Andary (1997). vii Bekaert va 1 larvcy Truong Dai lioc Cong ngliiOp Thi'inli pho Ho Chi .Minh
54 W/lfmg v^n tJe KINH T 6 VA CHlNH TRI TH6 GIOI S6 11 (247) 2016
Laii cao Mai Phuang Lien ket thj trudng t^i chinh ASEAN:.
(1997). Do vay, cac nha d i u t u se thu dugc lgi ich ti6m nang tii viec dSu tu vao cac thi tnidng moi ndi, va r4t nhilu nghi6n ciiu trong thuc t^
nhin vao kha nang nay (Errunza (1994), va Ben Zion va cdng su (1996).
Cdng ddng Kinh t§ ASEAN (AEC), ma trong dd CO Vigt Nam tham gia dugc ehinh thiic thanh lap vao ngay 31/12/2015. Ddi vdi ITnh vuc chiing khoan, website/ ciia TTCK ASEAN hien tai mdi ehi dang tai thong tin cae chi so ehung khoan chinh cua 6/10 qudc gia cd TTCK phat trien nhat trong khdi. bao gom: Singapore, Thai Lan, Malaysia, Philippines, Indonesia, va Viet Nam. Trong dd, TTCK Viet Nam cd lich sir phat trien tre nhat so vai nam qudc gia cdn l^i. Cho den nay, eae nghien eiiu ve lien ket gitra cac TTCK trong ASEAN chu yeu tap trung vao nam quoe gia la Singapore, Malaysia, Thai Lan, Indonesia, va Philippines (ASEAN5) nhu:
Roll (1995), Palac-McMiken (1997), Yeoh va edng su (2010); Karim va cdng su (2010), trong khi cac nghien eim ve TTCK ASEAN gdm ca Viet Nam edn rat ban che. Do do, vdi y nghTa dong gdp them ve mat hgc thuat lien quan den TTCK ASEAN, bai vik so sanh mdi lien ket VNIndex vdi TTCK ASEAN5 trudc va sau cuge khiing hoang tai ehinh 2008. Mgt sd ham y ve mat thuc lien va ehinh sach duac dua ra trong nghien cihi. Ddi vdi cac nha dau tu va cac nha quan trj danh mue dau tu, nghien eiiu eung cap them nhirng thong tin tham khao trong qua trinh dau tu. Kel qua nghien cuu hd trg cac nha quan ly trong qua trinh dieu hanh chinh saeh;
giup hg eo the phan doan, phan img kip Ihdi vdi nhirng riii ro lir sir Ian truyen cac tac dgng tieu cue ircn TTCK tir mot thi tnrdng khac trong khu vuc, thong qua phoi hgp va hgp lac chat che han ciira cac nha dicu hanh chinh sach
' http;//w\vu ascancxchiinges.org
2. Cof sfr ly thuyet
Palac-McMiken (1997) thu thSp dii lieu tir thang 1/1987 d^n thang 10/1995, sii dung each ti^p c$n d6ng lien kk dk k i i m dinh mdi quan he dai han cua TTCK ASEAN5. KSt qua nghien eiiu cho th4y ehi sd chiing khoan cila bdn nude Singapore, Thai Lan, Malaysia, Philippines cd mdi tuong quan vdi nhau.
Su dung dii lieu theo tuan ddi vdi chi sd gia chiing khoan ASEAN5 tir nSm 1988 - 1995, Roca va e6ng sir (1998) thdy ring trong dai han khdng cd su ddng dao dgng giira cae TTCK ASEAN5 va eGng khdng ed ddng lien kk giiia cae nude, Tuy nhien, ngoai trir Indonesia, bdn nude cdn lai cd mdi quan he trong ngan han.
Azman-Saini va cdng sir (2002) diing dG lieu theo tu4n tir thang 1/1988 dSn thang 8/1999 dk ki6m tra miie do hgi nhap cua TTCK ASEAN5.
Kigm dinh nhan qua Granger theo phuang phap ciia Toda va Yamamoto (1995), nghien eim eiia Azman-Saini (2002) eho thdy Singapore la thi trudng anh hudng den tat ca cac quoc gia trong khu vuc. Indonesia la thi trudng chju anh hudng bdi cac qudc gia khac trong ASEAN nhung lai khdng tac dgng dang ke den cac thj trudng khac.
Chen va cdng su (2003) sir dung dii lieu ngay tir thang 1/992 dSn thang 8/2002, eho thiy TTCK ASEAN5 eo lien k a vdi nhau trudc va sau khiing hoang nhung khong ed su lien kel trong giai doan khung hoang. Ket qua nay phii hgp vdi eae nghien cim eiia Click va Plummer (2005).
Lien quan den cudc khimg hoang lai ehinh nam 1997, cac nghien cuu eua Yang va cgng su (2003), Majid va cgng su (2008), Awokuse va cong sir (2009), Baur va Fry (2009), Khan va Park (2009), deu cho thay giai doan sau khiing hoang tai chinh 1997 mirc dd hdi nhap eiia
NhD-ng vhn 6k KINH T ^ VA CHINH TRI T H ^ GIC^I So 11 { 2 4 7 ) 2 0 1 6 - - 5 5
Lien k i t thj trudng tai chinh ASEAN:. Lai cao Mai Phu<yng TTCK ASEAN5 dhu tang, the hien rd qua mdi
lien kk giQa cac qu6c gia trd nen chat chS han so vdi giai doan Uudc khung hoang.
Cach ti6p can ddng lien kk gifl-a cae TTCK ASEAN5 dugc Ng (2002), Mukherjee va Bose (2008), Majid va cdng su (2008), Karim va cgng su (2010), Awokuse va edng su (2009) su dung trong cac nghien eiiu cua hg. Ng (2002) ap dung each tiep cSn Johansen vao 5 nen kinh te Indonesia, Malaysia, Philippines, Singapore va Thai Lan eho giai doan trudc khung hoang chau A tir nam 1988 din 1997 va khdng tim th4y mdt mdi quan he ddng lien ket. Majid va edng su (2008) tim thiy mdi quan he dai ban ASEAN5 vdi My va Nhat Ban chi trong giai doan hau khung hoang 1997, trong khi Awokuse va cdng su (2009) Cling dua ra bang chung cho thay sd lugng vector ddng Hen ket tang trong giai doan hau khung hoang trong sd 11 nen kinh te ehau A. Karim va cgng su (2010) su dung each tiep can ARDL cho TTCK ASEAN5 trudc va sau khiing hoang tai chinh ehau A 1997 eung dua ra ket luan TTCK ASEAN5 giai doan hau khung hoang cd moi Iicn ket gia tang dang ke so vdi thai ky trudc do. Mukherjee va Bose (2008) ap dung each tiep can .lohansen ciia bay nen kinh le chau A (An Do. Nhat Ban, Hdng Cong, I lan Quoc, Malaysia. Singapore va Dai Loan) va My cho giai doan hau khiing hoang tir nam 1999 den 2005. tlo nhan thay co nhicu han mot vector dong iiC-n kel giua cac nude nay khi cac dir lieu hang ngay dugc lam Iran bang mot dudng trung binh.
Tom lai. mac dii cd su khac bict trong each iicp can kmh lc lugng, phan Idn cae nghien ciru chi ra rang mirc dp lien kcl, hoi nhap thi trudng giira cac T'I'CK ASIiAN tang Icn sau thdi ky khiing hoang lai ehinh chau A 1997. Do do, mpt trong sd nhCrng dong gop ciia nghien ciru nay la so sanh mirc dp hpi nhap ciia TTCK Vict Nam
vdi TTCK ASEAN trudc va sau cudc khiing hoang tai MS nam 2008 thdng qua phan tieh mdi lien kit TSSL VNIndex vdi cac chi sd chiing khoin ASEAN5.
3. Dir lieu nghien cihi va mo hinh thuc nghiem 3.1. Dir lieu nghien ciru
Cac chi s6 ehiing khoan chinh cua Viet Nam (VNIndex); Singapore (STI), Thai Lan (SET), Malaysia (FBMKLCI), Philippines (PCOMP), Indonesia (JCI) duge thu thap theo thang Uong 15,5 nam (thang 7/2000 dgn 31/12/2015)^ Dir lieu duge ehia lam hai giai doan, giai doan 1 tir thang 7/2000 - 12/2007; day la giai doan TTCK ASEAN chua dugc thanh lap va cung la thdi ky trude cudc khung hoang tai chinh 2008 tai My xay ra; giai doan 2 tir 2008 - 2015 la giai doan hau khung hoang. Sau dd, timg ehi sd chung khoan dugc diing de tinh ty suat sinh ldi (TSSL) theo thang bang each lay logarit tu nhicn theo cong thiie ln(Pi/P[.i). Trong do P n va P, Ian lugt la chi sd chiing khoan tai thdi diem (t-1) va thdi diem t.
Bdng 1: Ky hieu cac bien d u g c sii' dung trong mo hinh
Quoc gia
Viet Nam Thai Lan Singapore Philippines Indonesia Malaysia
Chi so chu'ng khoan chinh (P,) VNINDEX SET STI PCOMP .ICI ITiMKLCI
Ty suat sinh loi thco thang ciia tiing chi so tinh bang ln(P,/P,.|), ky hicu trong mo hinh
VNl TI IA
SIN PHI IND MAL Ngudn: Tdc gid thu hllp://w\yw hloomberg com
' hup://\vw\v tiloombcrg com
Ihdp
-Nhung vin diKWHJ^M A CH\HmR\THt.G\0\ S6 11 (247) 2016
Lgi cao Mai Phu'OTig Lien kit thi inrgng tti chinh ASEAN:.
Hinh 1: Bieu do VNIndex tii- thing 7/2000 d i n thang 12/2015
• W A A V "
m M Mi m 2Mi aie aoi m OT S I I a n i B13 M i l 2C«i 2016
«'.i:|||.|| |iiii.r,-lill.i i l J I l l f l l H
NguSn: Tdc gid tdng hgp tic Sd Giao dich chicng khodn Thdnh phd Hd Chi Minh.
3.2. Phuffng phdp nghien cuu vd md hinh thuc nghiem
Vdi muc dich so sanh muc dp lien ket VNIndex vdi cac chi sd chirng khoan chinh trong ASEAN5 trong hai giai doan trude va sau nSm 2008, tae gia sir dung phuang phap ddng lien ket ARDL (Autoregressive Distributed Lag) dugc phat trien bdi Pesaran va Shin (1999), Pesaran va cgng sir (2001) de phan tich mirc dp anh hudng lan nhau ea trong ngan ban va dai han cua cac chi sd nay.
So vdi phuang phap ddng lien ket eiia .lohansen, phirang phap dong lien ket ARDL dugc phat tricn bdi Pesaran va Shin (1999) va Pesaran va cong su (2001) co nhieu iru dicm AVNl, = ao + piVNl,., [iiTHA,., +
P3SIN,., [iiPHI,., + P5IND,., -h p6MAL,-, H-aiAVNI,.,-H a. ATHA,.
,+ as ASIN,-,+ a, APHI,.,+ U5 AIND,-,'- a,, AMAL|_,-t-t:,
(1)
han: i) Md hinh ARDL ap dung cho cd mau nhd se dcm lai y nghTa thong ke cao ban so vdi ky thuat Johansen de kiem djnh tinh dong lien ket; ii) ARDL khdng yeu cau eae bien phai co ciing dp tre trong mo hinh; iii) Cho phep cac bien trong mo hinh Iicn ket d bac 0 va bae 1 hoac hon hgp ea bac 0 va bac 1; iv) Chi can diing mgt phucmg trinh duy nhat de udc lugng ddng thdi ca moi quan he trong ngan ban va moi quan be trong dai han. Ngoai ra, bang each ap dung cae ky thuat ARDL udc lugng cd dugc la khdng chech eiia cac md hinh dai ban (Harris va Soilis, 2003). Phuang trinh ddng Iicn kel ciia ARDL dugc gidi thicu bdi Pesaran va cpng su (2001) bao gdm udc lugng ARDL va phuang trinh hicu chinh sai so ECM.
Trong do. tai ca eae bicn da duge dinh nghia d phan dir lieu nghien eO'u; A la lay sai phan bac nhal; e, la sai sd cua md hinh
AVNI, = ( ( . + a,AVNlH+ as A"I"IIA,-,+ aj (2) ASl\,.t- a^ API-II,.,+ as AI\D,.,+
a^ AMAL,., + pECM,., -I7,
T de KINH TE VA CHiNH TRI T H £ G\6\ S6 11 (247) 2016 -
Lifen k^t thi. trudng tai chinh ASEAN:... Lgi cao Mai Phiwng
Khi c^c biSn phu thudc va cac bien ddc l§p trong mo hanh nghien ciiu cd ddng lien kSt, thi giiia chiing cd mdi quan he c§n bang trong dai hgn nhung trong ngan han cd the bi mSt cSn bing tam thdi. ECM chinh la su mit can bing cua ky trudc tac dgng d ^ k^ nay.
Sau dd, nghien eiiu tign hanh cdc kiSm dinh chSn doan, bao gdm: Kiim dinh Durbin v^
Breuseh-Godfrey LM d6 dam bao md hinh khdng cd tuong quan chudi; kiem dinh Breusch-Pagan va Lagrange Multipliers ve phuang sai thay ddi; kiem dinh phan du 1^
nhilu tring dd dam bao md hinh cd ddng li6n kk; kiim djnh tinh dn dinh ciia md hinh.
4. Ket qua thvc nghiem va thao luSn ket qua 4.1. Thdng ke mo ta biin trong mo hinh Giai doan trudc nam 2008, TSSL VNIndex theo thang cua Viet Nam la 3,35%, cao nhit trong sdu chi sd tai eac qudc gia nghian cim, ddng thdi VNIndex eung dung dau ve miie do biln dOng TSSL. Ngugc lai, hai chi sd chiing khoan ciia Malaysia va Singapore trong giai doan nay cimg cd TSSL va miic bien ddng thdp nhdt. Di§u nay ciing cd them ly thuyet tai chinh trong dau tu, dd la nhung TTCK ma nha ddu tu thu dugc lgi nhuan cang cao thi nii ro ma hg phai ddi mat khi dau tu d nhiing thi trudng nay cang cao.
Giai doan tir nam 2008 din hit 2015, Via Nam va Singapore la hai qudc gia cd TSSL trung binh dm trong khi dd ede TTCK cdn lgi vdn duy tri dugc TSSL duang nhung thdp han so vdi giai doan trudc 2008. TSSL trong binh eua Philippines trong giai doan nay Id cao nhdt dat 0,8% /thdng, tilp theo Id Indonesia 0,7%/thdng vdThai Lan la 0,6%/thang.
Niu x ^ t©^ bd dii lieu nghien eiiu, tir thdng 7/2000 din hit nam 2015, thi TSSL ciia cac chi sd ciia Viet Nam, Indonesia, Thai Lan la cao nhit, lin lugt dat 1,5%/thang; 1,4%/thang va 1%/thang. TSSL eiia TTCK Singapore Id thip nhit khi chi dgt trung bmh 0,3%/thang. Xet vl miic do nii ro thi TTCK Viet Nam cd miic nii ro cao nhit, tilp theo la Thdi Lan, Indonesia, Philipines, Singapore, Malaysia.
Nhu vdy, VNIndex cua Viet Nam cd mice bien d0ng TSSL mgnh nhdt trong sdu qudc gia nghiin cim: Day Id kit qua hgp ly khi xet din qud trinh phat triln cua TTCK Viet Nam. Trong giai doan 1: tinh den cudi nam 2000, TTCK Viet Nam chi cd 5 cdng ty niem yit; nSm 2005 ia 41 cong ty (gdm 32 d HSX, 9 d HNX); nam 2006 la 193 cdng ty (106 d HSX, 87 d HNX) va ndm 2007 la 25 cdng ty (gdm 13 8 d HSX, 112 d HNX). Nhu vdy, trudc nam 2008, TTCK ViSt Nam mdi d giai doan so khai khi sd lugng doanh nghiep niem yit thip trong khi nhu cdu ddu tu tang cao, cgng vdi hdng loat cdc thdng tin Vl md tich cure hd trg cho thi trudng trudc khi Viet Nam gia nhap Td chiie Thuong mgi thi gidi (WTO)... da ddy VNIndex dat dugc 1.170,67 dilm vao ngdy 12/3/2007, tao dinh eao nhit trong lich su TTCK Viet Nam cho den nay. Nam 2008, nhimg bieu hien bdt dn kinh te vT md eua Viet Nam khi: lam phat tang mgnh vugt miic 20% nam, tham hut thuang mai tdng eao vd thdm hut can can vang lai tren 10%
GDP, rui ro he thdng ngan hang tdng, dnh hudng ciia cuge khung hoang tdi ehinh toan cdu da keo VNIndex ddng cira vdo cudi nam d miic 315,62 dilm ehi bdng gan 27% so vdi mirc dinh nam 2007.
58- -- Nhung vin di KINH T ^ VA CHiNH TRj T H t GIO'l So 11 (247) 2016
LjLgao Mai Phu^ynfl Lian ket thj Injang tai chinh ASEAN:..
Bdng 2: Thong ke t^ suat sinh IM cua cac thi tryong
Bien
N Trung binh Do lech chuan Gia tri nho nhat Gia tri Ion nhat
N
• ^ Trung binh Dp lech chuan Gia tri nho nhat Gia tri Ion nhat
N Trung binh Dp lech chuan Gia tri nho nhat Gia tri ldn nhat
Trade nSm 2008
VNI 89 0,033451 0,125291 -6,250739 0,415570
THA 89 0,014633 0,0667774 -0,174419 0,2361901
•'- S I N 89 0,007529 0,049668 -0,180414 0,112586
PHI 89 0,011511 0,0618763 -0,119503 0,176263
• IND 89 0,020835 0,0643025 -0,128475 0,170055
MAL 89 0,006987 0,0470173 -0,105047 0,11560 Tii- nam 2008 ddn 31/12/2015
96 -0,001640
0,089793 -0,261022 0,266724
96 0,006370 0,063599 -0,301756 0,139762
96 -0,000563
0,057486 -0,239394 0,212885
96 0,008410 0,055948 -0,235199 0,149693
96 0,007396 0,063400 -0,274728 0,201309
96 0,002491 0,036167 -0,147017 0,131033 n thing 7/2000 d^n thang 12/201S
185 0,015241 0,109451 -0,261022 0,415570
185 0,010345 0,065101 -0,301756 0,236190
185 0,003330 0,053874 -0,239394 0,212885
185 0,009902 0,058733 -0,235199 0,176263
185 0,013861 0,064017 -0,274728 0,201309
185 0,004654 0,041685 -0,147017 0,131033 Nguon: Tinh loan ciia tdc gid
4.2. KiSm dinh nghiSm dtm vj: qua cac chu6i diu dimg a chudi g6c vai muc t Kil qua kiSm djnh nghiem don vi theo ^ "^Wa 1%, vi vay ap dung phuong phap
ADF cua Dickey va Fuller (1979) va PP ctia ^^^^-''°""'''"' '^ P''" ^^W- j Phillips - Perron (1989) 6 Bang 3 deu cho kit
' Nh&ng vSn de KINH TE VA CHlNH TRI THt GlOl S6 11 (247) 2016 -
"159
Lien ket thj tru-gng tai chinh ASEAN:. Lai cao Mai Phuxrng
Bdng Bicn
VNI THA SIN PHI IND MAL
3:
Bac cua sai phan
1(0) 1(0) 1(0) 1(0) 1(0) 1(0)
Ket qua kiem dinh nghiem dim vi Kicm djnh ADF
Z(t) tru-*c 2008 -6.162 -10.393 -8.404 -8.844 -7.794 -8.701
Z(t) sau 2008
-7.625 -7.635 -7.634 -8.619 -6.917 -7.656
Kiim dinh PP Z(rho) tru-d-c 2008
-50.523 -103.454
-84.379 -80.562 -69.039 -77.536
Z(rha) sau 2008
-69.479 -72.561 -74.560 -91.545 -65.325 -79.413 Ghi chii: Tdt cd cdc chudi deu dieng d bdc 0 vdi mirc y nghTa 1%.
Nguon: Tinh loan cua tdc gid.
Bdng 4: Thong ke F Idem tra moi quan he dai han giua cac bien trong cac phuomg trinh ThM ky
Truoc 2008 Tir 2008
Phirffng trinh F(VNI|THA, SIN, PHI, IND, MAL) F(VNI|THA, SIN, Pill, IND, MAL) Gia tri gioi han
Pesaran va cpng su (2001) k=5
9 0 % 1(0) 2,26
1(1) 3.35
Th6ng ke F 9,282 17,598
9 5 % 1(0) 2.62
1(1) 3,79
ECM -0,5683512 -0,910348
9 7 , 5 % 1(0) 2,96
1(1) 4,18
ARDL (1,0,0,0,0,1) (1,0,0,1,0,0)
99%
1(0) 3,41
1(1) 4,68 Nguon; Tinh loan ciia Idc gid
Ket qua 6 bang 4, gia tri thdng kc F= 9,282 cay dat 99%. Thco Pesaran va cong sir (2001) (giai doan truoc 2008) va F= 17,598 (giai doan giila ciic bi6n co d5ng lien k a la do giua chiing sau 2008) deu Ion hon gia tri Icri han cua duong co niOi quan Irong he dai han.
bao tren 1(1) la 4,68 voi muc y nghTa 1%. Do Dua vao ticu chi AIC lim ra dp Ire toi im ciia do, ion tai ding hen kk giila cac bian voi do lin cac bicn trong mo hinh ARDL. Khi do, mo hinh
60 - Nhirng vin di KINH Tg VA CHlNH TR! THfi GIOI S6 11 (247) 2016
J:ji cao Mai Phlrcwiq Li6n kit thj tnfgng tai chinh ASEAN:.
duoc chpn v6i bign phu thupc la TSSL ciia 2008; va m6 hinh ARDL( 1,0,0,1,0,0) trong giai Vnindex,, con cac bi6n d6c Bp 14 TSSL ciia cSc doan tir nam 2008.
chi so chiing khoan tai Thai Lan, Smgapore,
PhiUipmes, Indonesia.' Malaysia phu hpp la ^"<^ '^'^ng cac he s6 dai han va ngan han ARDL(1,0,0,0,0,1) trong giai doan truoc nam cua mo hinh.
Bang 5: l^dc lirgng he so ngan han va dai ban Bien
Moi quan he dai h THA
SIN PHI IND MAL
Moi quan he ngan APHI
AMAL Constant ECM(-l) R^
R dieu ehinh Cac kiem dinh chan doan Tir tuang quan Durbin Breuseh-Godfrey Phirang .iai sai so Ihay doi:
Breusch-Pagan LM test (archlm) Kicm dinh phan du la nhiCu triing
VNI(ARDL 1,0,0,0,0,1) train: 2008 He so
an
-0,1149264 1,726841 -0,6348164 0,5279987 -2,071749 han
0,4413748 0,0187475 -0,5683512
P-value
0,724 0,022 0,189 0,210 0,017
0,098 0,160 0,000 0,41405169
0,36278121 Gia trj thong ke
chi2= 10,045 chi2=9,819
chi2(l)=0,17 chi2(l)= 3,567
(Q) statislic = 40,9781
P-value 0,8976 0,8920
0,0791 0,9983
VNI (ARDL 1,1,0,0,1,0) tir 2008 He so
0,1095889 0,7352695 0,7742929 -0,0876187 -0,3521771
-0,3750475
-0,006215 -0,910348
P-value
0,475 0,018 0,009 0,726 0,368
0,021
0,452 0,000 0,57062502
0,53607761 Giii tri thong kc
chi2= 0,428 chi2= 0,476
chi2( 0 = 0 , 4 2 chi2(l)= 0,037 (Q) statislic = 40,9781
P-value 0,5036 0,4832
0,5166 0,0622
0.4274 Ngudn: Tinh loan ciia tdc gid
NhOng van ai KINH T E V A C H I N H TRI THE Q\(y\ So 11 (247) 2016 -
Lidn kdt thj tru'dng tai chinh ASEAN:.. Lai cao Mai Phifcng
Giai dogn Irudc ndm 2008:
Trong d^i han sir bi6n dong TSSL cua VNIndex chu ySu anh hirong bai sir bi^n dong cua TTCK Singapore va Malaysia. Cu tha: khi TSSL trung binh thang cua TTCK Singapore tang 1% thi TSSL trung binh thang ciia VNIndex tang 1,72% trong dai han. Tuy nhien, TSSL giu-a chi s6 chung khoan Viet Nam va Malaysia lai biSn dong ngugfc chieu nhau trong dai han nhimg trong ngan han co tac dong thuan chieu nhau. Trong giai doan nay, sir bien dgng cua TTCK Singapore va Malaysia giai thich diroc 36,2% mu-c do bien dpng TSSL cua VNIndex.
Giai dogn lie ndm 2008 den 2015:
Tuong tir nhu giai doan truoc 2008, mure do bien dong TSSL cua VNIndex van chiu tac dpng tir TTCK Singapore, nhung miic dp anh huong cua TTCK Malaysia d8n VNIndex da bi thay the boi TTCK Philippines. Khi TSSL trung binh ciia rieng TTCK Singapore hoac TTCK Philippines l4n lugt tang 1% thi TSSL trung binh cua VNIndex tang lAn luot la 0,73% va 0,77% trong dai han. Tuy nhien, trong ngSn han TTCK Philippines co tac dpng ngugc chieu den Chi so VNIndex ciia Viet Nam. Muc dp biin dpng ciia TTCK Singapore va Philippines trong giai doan nay giai thich dugc 53,6% muc do bien dpng TSSL ciia VNIndex.
He s6 ECM cua mo hinh c6 y nghTa thong ke 1% vk am khang dinh TSSL cua cac chi so TTCK t^i cac qu6c gia nghien cuu co m6i quan he 6n dinh trong dai han. He s6 ECM trong mo hinh truoc nam 2008 \h -0,5683512 v^ tir nam 2008 la -0,910348 cho thSy Chi s6 VNIndex cua Viet Nam trong ngin han bi lech ra kh6i duong cSn bSng dai han se dugc dieu chinh 56,8% trong giai doan truoc nam 2008 va dieu chinh 91% trong giai doan sau nSm 2008. Ket qua nay cho thay toe dp dieu chinh ciia VNIndex sau nam 2008 tang len manh me so voi giai doan truoc do. Ngoai ra, R dieu chinh trong hai mo hinh truac va sau nam 2008 da tang tu 36,27% len 53,6% tha hien miic dp giai thich su bien dpng TSSL cua VNIndex gia tang. Nhiing dieu nay ham y rang TTCK Viet Nam ma cu the la chi so VNIndex sau nam 2007 lian ket chat che ban voi TTCK trong khu vuc.
Mo hinh thoa man tat ca cac kiem dinh chan doan. Ket qua kiem djnh cho thay ca hai mo hinh (trudc va sau khung hoang tai chinh 2008) deu khong bi tuong quan chuoi, chua phat hien phuong sai thay doi, phan du la nhieu trang, va CO tinh on djnh. Tir do co the khang dinh viec sir dung mo hinh ARDL la phu hgp voi du lieu nghien cuu.
62" - Nhimg vin di KINH T ^ VA CHINH TRj THt G i a i So 11 (247) 2016
j ^ L " ' " Mai Phifgno Lifen k6t thj tru'dng tai chinh ASEAN:
"l"h 2; Bilu ^0 ki^m dinh tinh on djnh ciia mo hinh Giai doan tir thang 7/2000 - 12/2007
Inverse roots of AR polynomial
-.5 0 5 Real
Giai doan tu- thang 1/2008 - 12/201S Inverse roots of AR polynomial
Real 0
Nguon: Tdc gid phdn tich vd long hap
NhOng van d4 KINH Tf VA CHlNH TRI THg GlOl S6 11 (247) 2016
63
Lien kk thj tru-cmg tai chinh ASEAN:.- Lai cao Mai Phifcyng
5. K6t luSn va cac h a m y Kit luan
Kk qua nghien ciiu thuc nghiem vh moi lian kat TSSL cua VNIndex voi cac chi s6 chung khoan ASEAN5 trong hai giai doan: giai doan 1 tir thang 7/2000 dSn thang 12/2007 va giai doan hai tir thang 1/2008 dSn thang 12/2015, co thi tom tat nhu sau:
VNIndex cua Viet Nam co miic biln dpng manh nhit trong sau qu6c gia nghian cihi: tang
"phi ma" truac nam 2008 va giam rat nhanh tir nam 2008.
TSSL cua VNIndex chiu tac dong tir sir bien dpng cua chi s6 TTCK cua Singapore trong ca hai giai doan.
Khi bi lech ra khoi duong can bang dai han thi t6c d6 dilu chinh ciia VNIndex trong giai doan tir nam 2008 (91%) nhanh ban t6c dp dilu chinh ciia giai doan truoc do (56,8%).
So voi giai doan truoc nam 2008, giai doan tir nam 2008 VNIndex co sir lian ket chat che hon voi TTCK ASEAN5 tha hien a ty le giai thich sir bian dpng ciia VNIndex tang tir 36,27% len 53,6%.
Hdm y
Trong sau quoc gia nghien cuu, theo FTSE (2015) chi CO Singapore dugc xep vao nhom quoc gia co thi truong von phat tricn, bon quoc gia con lai dugc xep vao thj truang mai noi va Vict Nam dugc xep vao thi truang can bicn. Co the thay, Viet Nam la thi truang non tre nhat va cung ia quoc gia co mirc do phat Irien thap nhat trong sau quoc gia nghien ciru Do do, dua vao ket qua nghien ciiu va vi tri bien tai ciia TTCK. Viel Nam, mpt so ham y mang y nghTa thuc ticn va chinh sach dugc tac gia dua ra gom:
So voi giai doan trudc, m6i liSn ket VNIndex vai cac chi s6 chiicng khoan trong ASEAN5 tang len sau nam 2007, tuy nhian, s6 lugng cac chi s6 anh huong co y nghia th6ng ka d i n VNIndex chi la 2/5. Do do, cac nha dau tu va cac nha quan ly danh muc quoc ta CO t h i thu dugc lgi ich tir viec da dang hoa tren TTCK Viet Nam. Ben canh do, cac nha ddu t u CO t h i theo d5i su b i l n dgng ciia TTCK Singapore va Philippines nhu mpt chi tieu tham khao trong viec dua ra quyet dinh d l u tu tran TTCK Viet N a m .
D I TTCK Viet Nam phat triln 6n dinh, giam b6t nhiJng b i l n dpng tang hoac giam qua manh da timg xay ra, va lam da dang san ph4m dau tu. Do do, Bg Tai chinh va Uy ban chirng khoan Nha nuoc co tha xem xet de TTCK phai sinh som dugc van hanh. TTCK phai sinh phat triln se tao co hpi cho cac nha dau tu CO t b i k i i m loi ngay ca kbi thi truang tang hoac giam, tir do co the han che dugc nhiing bian dpng manh cua TTCK Viet Nam trong thai gian qua.
Hien tai trong ASEAN co ba nuac Singapore, Malaysia va Thai Lan da thuc hien ket noi giao dich, nicm yet va huy dong quy dau tu tap the xuyen bien gioi. NghTa la nha dau tu tai mpt qu6c gia co tha giao dich chiing khoan niem yit tai ca ba TTCK thong qua don vj cung cap dich vu tai noi cu tru ciia minh; cac cong ty niem yet phat hanh fhem co the niem yet va quy dau tu tap the co the huy dgng von tir ba TTCK nay. Day cung la xu huong hpi nhap sap tai cua TTCK Vict Nam, do do, moi lien kat giira TTCK Vicl Nam va cac TTCK trong khu vuc se lilp tuc tang icn trong tuong lai. Dilu nay ham y viec lang cuong phoi hcrp. chia sc kinh nghiem quan ly, hgp tac chal che giua cac nha dilu hanh chinh sach se giup TTCK Vict Nam CO thi hgi nhap hieu qua trong thoi gian toi*
64 -NhCrng vin diKWHTt MA CHiNH TR\JH^G\<y\ S6 11 (247)2016
LfL^ao Mai Phygng _ _ _ ^ Lidn k4t thj tru6-ng tai chinh ASEAN:...
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