NGHItN CDU-TRAODdi
YEUTdANH HirONGOEN QUYETDINH
COANHAOAUTUTRENTHjTRl/dNGCHUfNG KHOAN VIETNAM
ThS. NGUYEN QUANG KHAI - Cao dang Cdng Thuang TP Hd CM Minh
Thi trddng chdng khodn dd vd dang trd thdnh kenh ddu tdthu hut nhieu cd nhdn, tdehde tham gia.
Vdi solugng edng ty niem yet ngdy edng nhieu, viee thdc Men qudn tri danh muc ddu td cdng trd nen edn thiit. Nhieu nghien edu trddc ddy cho rdng, viee qudn trj danh mue ddu tdndng ddng hieu qud han qudn tr'i thu ddng. Tuy nhien, d tri trddng chdng khodn edn khd non tre nhd Viet Nam thi viec qudn tri ndng dgng gap nhieu khd khdn vd edn ty le Idn nhd ddu tdehdp nhdn qudn trj danh mue thu ddng. Bdi nghien cdu ndy ddde thdc Men nhdm tim ra nhdng yiu tddnh hddng din quyit dinh qudn trj danh muendng ddng eua nhd ddu tdtren thi trddng chdng khodn VietNam.
• Tifkhoa: Quan tri, danh muc ddu ta, thi trUdng chUng khoan, nha dau tU.
T
heo thuyet quan h i danh muc cnia Markowitz (1952), nha dau hr (NDT) thuc Men d'au t u chiing khoan theo d a n h m u e se giam thieu dugc riii ro va gia tang ty suat sinh lgi dau tu so vdi d'au t u vao cac chiing khoan rieng le. Do dd, khai niem d'au tu chimg khoan theo danh muc gid day da da khdng cdn xa la vdi eae nude. Tuy nhien, ddi vdi vdi thi h u d n g ehiing khoan (TTCK) Viet Nam, thi khai niem nay van edn va chua phd bien.Xet ve each thiic quan trj danh muc dau t u tren TTCK, chung ta ed the chia lam 2 loai, dd la quan trj nang ddng va thu ddng. Trong dd, quan h i thu ddng chil yeu d'au t u vao eac chi sd, eac d a n h m u c cd sSn tren thj trudng. Cdn quan tri d a n h m u e nang ddng, NDT phai t u p h a n tieh thay ddi danh muc ciia m'mh n h a m dat d u g c hieu qua dau t u tdi da.
Nhin chung, tren the gidi hien nay v i n cdn rat it cae nghien a i u Hen quan true tiep den viee tim ra nhiing yeu td anh h u d n g den quyet djnh quan trj danh muc nang ddng. Hau het cac nghien ciiu lien quan deu la cac nghien citu djnh tinh nhu: Nghien citu cua Massa va Simgnov (2006) cho rang, muc tieu han che rui ro, su quen thude thj h u d n g la 2 yeu td anh h u d n g den quyet djnh quan trj danh muc.
Mayers va Smith (1983) cho rang, muc tieu quan trj riti ro dau t u la yeu td quyet dinh cae thuc hien chien duge quan trj danh mue. Mgt nghien a i u khae eua Capon et al (1996) cho rang, miic do va kha nang phan hch cua NDT quyet djnh chien luge d'au tu.
Nh'm chung, khi xet den van de quan trj danh muc, ed nhieu lap luan cung n h u nhi'eu khia canh nghien I 50
CUU khac n h a u . Rieng ddi vdi Itnh v u c q u a n h j danh m u e van chua cd n g h i e n ciiu ehuyen sau de phan tich va tim ra d u g c h a n h vi N D T tren eae TTCK the gidi chng n h u d Viet N a m .
DQ lieu va phUOng phap nghien cUu Ddlieu
Dli lieu d u g c tae gia t h u t h a p thdng qua khao sat 92 NDT ehiing khoan t h u d n g xuyen giao djch hong n a m 2015. Mau lua chgn la nhirng NDT hieu biet rd ve chiing khoan va TTCK, ed td'ng tai san chiing khoan tai thdi diem khao sat tir 500 trieu dbng trd len. Cae yeii td eiing n h u b a n g hdi d u g c thie't ke dua tren ke't qua cac nghien ciru khac n h a u tren the gidi, d'dng thdi d u g c s u hr van, gdp y eua 5 chuyen gia la cae N D T chuyen n g h i e p tren thi t r u g n g khdng nam trgng m a u khag sat. Thang dg trgng nghien ciiu nay bai vie't sir d u n g la thang d g Likert 5 diem tir mirc khdng dbng y den h g a n tgan d b n g y.
Phiiang phdp nghien cifu
Bai viet tien h a n h t h u e hien theg nhiing bude sau:
Bude 1: P h a n tieh, tim kiern eae nlran td ed kha nang anh h u d n g de'n quyet djnh quan trj d a n h muc n a n g ddng.
Bude 2: Phan tich sir ly sd lieu, kiem dinh thang do va p h a n tich n h a n td k h a m pha eae bien c'an thiet.
Bude 3: Xay d u n g va p h a n tieh md hinh hbi quy da bien.
Trong nghien eiiu nay, bai vie't sir dung md hinh
TAI CHI'NH -Thdng9/2016 ^
hbi quy nhi phan logistic. Day la dang hbi quy dugc sir dung khi cae bien phu thugc la ludng phan (bi gidi han, rdi rac va khdng Hen tue) va cac bien ddc lap la bat ky (Hosmer va Lemeshow, 1989; AIHson, 1999;
Menard 2001). Bien phu thude hgng nghien aiu la cd hay khdng viec thuc hien quan tri rid rg nang ddng ddi vdi danh mue d'au tu chiing khoan va hbi quy logistic dugc lua chgn, vi nd chg phep nha nghien ciiu khac phuc duge nhieu gia thiet gidi han cnia hbi quy OLS.
Theo do, md hinh thuc nghiem bai viei dugc hinh bay nhu sau:
Vdi: APM: Quan trj danh muc nang ddng; QAT:
Quy md dau tu; KNL: Mite dd hieu biet cua NDT;
MRK: Bien ddng aia thi trudng; FEE: Chi phi quan hi danh muc nang ddng; EQM: Cdng cu hd trg.
Bien phu thude APM la bien nhj phan mang gia hi 1, neu NDT ed quan tri danh mue dau tu nang ddng va bang 0 hong trudng hgp ngugc lai.
Quy md dau tu - QAT duge do ludng thdng qua tdng tai san udc tinh eua NDT tai thdi diem khao sat. Thdng thudng, khi d'au tu vdi ngubn vdn Idn, NDT thudng ed nhu eau eao trong viec quan tri danh muc nang ddng nham giam thie'u rui ro va tang hieu qua dau tu.
Mite do hieu biet cnia NDT - KNL dugc do ludng thdng qua su hieu biet aia NDT ve ky thuat quan tri danh mue nang ddng (KNLl), kha nang phan tieh kinh te vi md (KNL2), kha nang phan tich chirng khoan (KNL3).
Bien ddng thj trudng MRK, do ludng thdng qua cam nhan NDT v'e su bien ddng ve gia (MRKl), bien ddng vi md (MRK2) ciing nhu bien ddng lgi
B A N G 1: KET QUA O A N H GlA 0 6 TIN CAY CUA THANG BO
Bien
KNL KNLl KNL 2 KNL 3 MRK MRKl MRK 2 MRK 3 FEE FEE1 FEE 2 FEE 3
Trung binh tbang do
neu loai bien Alpha = 0.892
9.15 9.78 9.82 Alpha = 0.881
6.73 6.61 6.85 Alpha = 0.720
12.17 12.27 12.65
Phuong sai thang
do neu loai bien
5.115 5.654 5.343
9.337 9.875 9.238
3.587 3.238 3.654
Tuong quan bien
tdng
0.783 0.625 0.568
0.729 0.728 0.596
0.682 0.674 0.552
Hesd Cronbach's Alpha neu loai bien
0.684 0.742 0.824
0.657 0.768 0.861
0.526 0.678 0.694 Hgudn. Tinh todn euotde gid
nhuan cua eac chiing khoan ma NDT dang nam giii (MRK3). Neu bien dgng thi hudng cang eao thi nhu eau quan tri danh muc nang dgng cang cao va ngugc lai.
Chi phi quan hi danh muc nang dgng - FEE do ludng thdng qua ehi phi giao dich (FEEl), tiidi gian phan tich bien ddng thj hudng (FEE2), chi phi thdng tin (FEE3).
Cdng cu hd trg - EQM la bien gia mang gia hi 1, neu NDT cd cac edng cu hd trg phan tich quan tri danh mue nang dgng nhu: Phan mem xir ly dii lieu, ph'an mem djnh gia... va bang 0 trgng trudng hcxp ngugc lai.
Ket qua nghien cUu
Ket qua kiem djnh do tin cay ciia thang do (kiem djnh Crgnbaeh's Alpha) dugc the hien qua bang 1, eae bien quan sat thude 3 nhdm nhan td deu cd he sd Cronbach's Alpha Idn hon 0.6. Trong dd, thap nhat la nhdm ehi phi vdi he sd Alpha = 0.646. Ket qua kie'm djnh chiing td thang do sir dung phii hgp, cac he sd tucmg quan bien td'ng d'eu tir 0.3 trd len (Nunnally va Bernstein, 1994). Do dd, eac bien do ludng nay d'eu chap nhan duge ve mat tin cay va dugc sir dung trong phan tieh EFA. Bien QAT va EQM khdng sit dung thang do Likert nen khdng thuc hien kiem djnh d ph'an nay.
Phan tich nhan to kham pha
Nghien ciiu cho thay, phuang phap rut trich duge chgn de phan tich nhan td la phucmg phap Principal components vdi phep quay vudng gde Varimax. Ket qua phan tieh nhan td kham pha (EFA) vdi cac kiem dinh dugc dam bao nhu sau:
(1) He sd tuong quan don giiia cae bien va cac nhan td Factor loadings (he sd tai nhan to) > 0.5 he sd nay Idn cho biet nhan td va bien cd lien he chat che vdi nhau. Neu eae he sd tuong quan nhd (< 0.30) sir dung EFA khdng phii hgp (Hair et al.. 2006).
(2) Kiem dinh tinh thich hgp eua md hinh de sir dung EFA. Vdi dir lieu cd dugc, ket qua kiem djnh chg tha'y KMO = 0.825. Ve mat ly thuyet chg rang, KMO phai Idn hon 0.50. Kaiser (1974) de nghj: KMO
> 0.90: rat tot; KMO > 0.80: tdt; KMO > 0.70: dugc;
KMO> 0.60: tam dugc; KMO > 0.50: xa'u va KMO <
0.50: khdng the chap nhan duge. Rg rang, ket qua ehiing td phan tich nhan td la rat thich hgp vdi dir lieu nghien ciru.
(3) Kiem djnh Bartlett v'e tuong quan cua eac bien quan sat vdi Sig. = 0.000 < 0.05 chiing td ket qua bae bd gia thuyet HO: Cae bien quan sat khdng ed tugng quan vdi nhau trgng tdng the. Nhu vay, gia thuyet
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BANG 2: KET QUA MO HlNH HOI QUY NHj PHAN LOGISTIC
QAT KNL MRK FEE EQM Const
Bien
Cbl-square: sig -2 Log likelihood CoxandSnell-R2
B 0.131 0.287 -3.783 -0,249 -1.722 -0.972
SE 0.264 0.473 0.456 0.583 0.351 0.428
Wald df Sig 5.102
2.424 1.545 1.453 0.654 0.655
0.000 154.438
0.517
0.051 0.104 0.563 0.004 0.437 1.473 1.117
md hinh nhan to khdng phu hgp bj bac bd hay ndi khac hon dii lieu de phan tich nhan td la hoan toan phil hgp. Nggai ra, ket qua chg thay rang, cac gia tri eigenvalue = 1.14 Idn hon 1 va kiem dinh phuong sai cdng dbn = 59.763% (Idn hon 50%) chitng td cae nhan td nay giai thich 59.763% bien thien dii lieu.
Gia trj phuong sai cdng dbn dat yeu c'au.
Vdi dir lieu ed dugc, bang phuong phap hbi quy nhj phan Logistic, bai viet ed dugc ket qua the hien qua bang 2 nhu sau:
Md hinh hbi quy dugc xay dung ed y nghia thdng ke vi ket qua kie'm dinh Chi b'mh phuong ed gia trj sig = 0,000 < 0,05. Gia trj -2LL (-2 Log likelihood) la gia hj the hien miic dd phii hgp aia md hinh tdng the, gia tri nay cang nhd cang the hien miic dd sai sd aia md hinh cang it. Trong nghien ciru nay, gia trj -2 Log likelihood = 163.247 la kha Idn.
Ke't qua md hinh chg thay, eac ye'u td lien quan den cdng cu hd trg, nhan djnh tinh bien ddng thj trudng khdng cd mdi tuong quan cd y nghia thdng ke vdi viec thuc hien quan tri danh muc nang ddng ciia NDT. Trong khi dd, bai nghien ciru phat hien ra rang quy md dau tu cd mdi tuong quan duong vdi viec quan trj danh muc nang dgng nghia la NDT nao d'au tu cang nhieu vao danh muc thi hg cang ed kha nang se quan trj danh mue nang ddng.
Ket qua nay rat phu hgp tinh hinh d'au tu ehiing khoan d Viet Nam hien nay. Cac NDT nhd thdng thudng it d'au tu theo danh muc ma chi tap trung vao mdt it cd phieu nao dd hoac d'au tu danh muc theo each thu ddng titc la mua cac chi sd, danh mue ed san eua thj trudng. Tie'p theo, miic dd hieu biet ciia NDT cd mdi tuong quan duong vdi viec quan trj danh mue nang ddng. Ket qua nghien ciiu phii hgp vdi lap luan eua Capon et al (1996)...
Oe xuat va kien nghj
Ke't qua nghien citu eua tac gia phu hgp vdi
thuc trang dau tu tren TTCK hien nay va
" gdp phan bo sung cho eac ly thuyet ciing 1.222 nhu ket qua cac nghien eiiu thue nghiem 1.376 trudc day tren the gidi ve van de quan 0.783 tri danh mue d'au tu ehiing khoan. Tuy 0454 nhien, bai nghien eiiu van cdn han ehe ve sd lieu cQng nhu chua xem xet dugc nhieu yeu tg cd kha nang anh hudng den quyet dinh nay eua NDT. Cac nghien eiiu sau ed the tiep tuc bd sung va hoan thien de ket qua nghien ciiu eua tac gia dang tin cay hon.
tadn eia tdegid Dua vao ket qua nghien eiiu, de NDT cd each nhin diing hon trong viec quan hj danh muc d'au tu khi tham gia TTCK, bai viet de xuat mdt sd giai phap nhu sau:
Thu: nhat, NDT can chii y rang, chi phi cua viec quan hj danh mue nang ddng la kha Idn, NDT can can nhac giira ty suat sinh lgi mong dgi tir viec dau tu va ehi phi quan h j nay de lua chgn dugc phuang phap va chien lugc dau tu phii hgp. Tiic la NDT can xem xet den lgi ich rdng ma dua ra quyet djnh nen thuc hien viee quan hi danh mue nang dgng hay tap trung vag mdt chiing khoan rieng le hay chap danh muc cd san cnia thj trudng.
Thie hai, viec quyet djnh quan tri danh muc dau tu eiing nen xem xet den quy md dau tu ma mdi NDT cd dugc. NDT nao cd ngubn vdn lan nen dau tu da dang hda nham giam thieu rui ro va tang kha nang dat lgi nhuan cag. Nhiing NDT cd ngubn luc Idn cd the chap nhan dugc ehi phi quan tri danh muc nang ddng. Nguge lai, nhirng NDT cd quy mo nhd hon tuy theo quy md ngubn vdn nen tap trung vao mdt sd it chiing khoan cd miie sinh lgi eao hoac tap trung vao danh muc ed sin tren thj trudng de tdi thieu hda chi phi va dat dugc hieu qua d'au tu
cao hon. ^
Tai lieu tham khao:
/. Allison (1999). Comparing logit and problt coefficients across groups.
Sociological iVIethods and Research 28 (2), 186-208;
2. Capon et ai (1996), An individual Level Analysis of the IVIutual Fund Investment Decision, Journal of Financial Services Research 10:59-82;
3. Hosmer and Lemeshow (1989). Applied Logistic Regression. Wiley &
Sons, New York. Hoyt, R.E., Khang, H., 2000. On the demand for cor- porate property Insurance. The Journal of Risk and Insurance 67 (1), 91-107;
4. Menard (2001). Applied Logistic Regression Analysis, 2nd ed Sage Publications, Thousand Oaks, CA, Series: Quantitative Applications In the Social Sciences, No. 106;
5. Markowitz (1952), Portfolio Selection, the journal of finance. Volume 7, Issue 1 March 1952, Pages 77-91.
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