Tac dong cua viec thay doi ty trpng co phieu trong danh muc quy FTSE den gia va khoi
lu'O'ng giao djch - Nghien CLFU tren thj tru^ang chLFng khoan Viet Nam
v o XUAN VINH DANG BUU KIEM*
Bdi bdo ndy nghien cieu phdn ieng eiia thi truang thong qua gid cd vd khoi liegng giao dieh v&i thay doi gidm ty trgng ndm giir eo phieu Irong danh muc quy FTSE trin thi tru&ng chitng khodn Viet Nam giai dogn tic 2008 din thdng 9 ndm 2015. Nghien cieu phdn ieng thi tne&ng dugc dua tren phirong phdp nghien cim .su kiin. Ket qud cho thdy phdn ieng cita thi tne&ng (gid vd khoi lugng giao dich) it & xung quanh ngdy thong bdo vd phdn ieng mgnh a ngdy thiec hiin thay doi ty trgng eo phiiu trong danh muc quy FTSE. Khoi lugng giao dich tdng mgnh tru&c, trong vd sau ngdy thuc hien.
Tuy nhien, gid co phiiu thi gidm liin tuc tie tne&e ngdy thue hiin eho din ngdy thuc hiin vd ngay sau do gid co phieu tdng tr& lgi. Kit qud nghiin eiru edng itng hp cho gid thuyet tin hiiu thong tin.
Tir khoa: Gidm ty trgng eo phiiu, FTSE, nghiin cieu sic kiin, thi tru&ng chimg khodn Viet Nam.
\. Gioi thieu
Cac quy dau tu chi sd ETF (Exchange Traded Fund) la eac quy dau tu bi ddng md phdng theo mdt sd chi sd chimg khoan hoac hang hda. Cac loai hinh quy dau tu chi sd ETF rat da dang va phong phu. Cac cd phieu trong danh muc RTF bao gdm mgt rd chimg khoan cd CO cau nhu co cau cua chi sd md phdng. Cac chiing chi quy nay dugc giao dich tren san giao dich chimg khoan. Giao dich cua cac quy dau tu
* TS. Dai hoc Kinh te TP. Ho Chi Minh
**Th.S., NCS. Dai hoc Kinh tc TP. H5 Chi Minh
nay cd anh hudng ldn den thi trudng va den cac quyet dinh ciia cac nha dau tu, dac biet la cac nha dau tu nhd. Ddi vdi cac thi trudng chimg khoan d cac nudc nhd nhu Viet Nam thi anh budng ciia cac quy dau tu nay lai cang ldn hon do quy md cua cac nha dau tu nay Idn so vdi quy md thi trudng'
' theo so lieu cOa So giao dich chirng khoan Tp. Ho Chi Minh, tinh den cuoi thang 8/2015 tong gia trj von hoa thj trucmg cua san giao djch chiing khoan Tp. Ho Chi Minh dat khoang 1.076.159 ty VND (tuong duong khoang 50 ty USD)
NtiOng vin di KINH Tt Mk CHfNH TR! THt GICTI S6 8(244) 2016- 67
Tac dpng cua viec thay ddi ty trong cd phieu. Vo Xuan Vinh - Dang Bu-u Kiem
FTSE Vietnam Index ETF la quy diu tu chi sd diu tien fai Viet Nam dugc Deutsche Bank AG thanh lap vao ngay 15/01/2008 vdi s l von ban diu la 5,1 trieu USD. FTSE Vietnam Index la chi sd lam ca sd tham chieu cho quy ETF FTSE Vietnam UCITS do Deutsche Bank quan ly. Tinh din cudi thang 8/2015, tdng gia tri tai san rdng (NAV) ciia FTSE Vietnam ETF khoang 415,4 trieu USD va cd tdng vdn hda thi trudng khoang 4,5 ty USD, chiem ty trgng khoang 9% tdng vdn hda thi trudng san HOSE (FTSE Vietnam Index ehii yeu dau tu cac cd phieu d san HOSE). Vdi quy md nhu vay, cd the khang dinh rang sy thay ddi trong cau true va ty le sd hQu cd phieu cd anh budng rat ldn den cac cd phieu ma cac quy nay mua/ban.
Mat khac, qua quan sat, chiing tdi thay rang giai doan frudc ngay cdng bd thdng tin them bdt, tang giam ty trgng cac cd phieu trong rd danh myc FTSE la giai doan cac nha dau tu tren thi truong cd sy quan tam dac biet ddi vdi su kien nay. Cy the, cac nha phan tich, cac bao cao phan tich va cac phuang tien thdng tin dai ehung danh mdt phan ldn thdi lugng xem xet binh luan, phan tich va tham chi dy doan ve sy kien nay. Do vay, thi trudng chiing khoan chic chan bi anh hudng ve gia cung khdi lugng giao dich khdng nhung ciia cac cd phieu trong rd ma tham chi ca thi trudng ndi chung.
Trong kho tang hgc thuat cua thi gidi da cd nhieu nghien cuu ndi tieng vl phan iing cua thi trudng vdi thdng tin hoan ddi cd philu trong danh muc quy chi sd, cd thi kl din nhu (Azevedo et al. 2014; Biktimirov & Li 2014;
Chan et al. 2013; Daya et al. 2012; Liu 2011).
Mgt diem thii vi la hiu bet kit qua ciia cac nghien ciiu deu cho thay thi trudng cd phan ung manh vdi thdng tin hoan ddi cd philu trong danh muc quy chi sd. Tuy nhien, phin ldn cac
nghien ciiu tren deu thyc hien du lieu va xem xet bdi canh nghien ciiu d cac nudc phat trien.
Trong khi dd, d cac nudc mdi ndi va cac nudc cd nln kinh t l chua phat trien cao, thi trudng chung khoan cdn manh nha thi phan iing cua cac nha diu tu vdi cimg mgt loai thdng tin co thi khac so vdi d cac nudc phat trien.
Tai Viet Nam, nghien ciiu ve phan iing thi trudng vdi thdng tin thay ddi cd phieu trong danh myc quy chi sd FTSE lan diu tien dugc thyc hien bdi Vd Xuan Vinh & Dang Buu Kiem (2015). Nghien cim tren da sir dyng du lieu yen san giao dich chimg khoan Tp. Hd Chi Minh giai doan tu 2008 din 2014. Ket qua cua nghien ciiu nay da cung cap bang chiing quan trgng cho thiy thi trudng phan iing tich cyc (tang gia va tang khii lugng giao dich) vdi thdng bao them cd phieu vao danh myc FTSE va phan ting tieu cyc (giam gia va giam khdi lugng giao dich) vdi thdng bao loai cd phieu ra khdi danh muc FTSE. Tuy nhien, nghien cim cua Vo Xuan Vinh & Dang Bim Kiem (2015) mdi chi dimg lai d viec xem xet thdng tin them cd phieu vao va loai cd phieu ra khdi danh muc chii chua di sau vao viec phan tich thdng tin thay ddi ty trgng ciia cac cd phieu trong danh myc. Do vay, dang tdn tai khoang trdng nghien ciiu xem xet tac ddng cua viec thdng bao thay ddi ty trgng co phieu trong danh myc FTSE ddi vdi gia va khoi lugng giao dich trong bdi canh Viet Nam.
Ngoai cac nghien ciiu ke tren thi cdn nhieu cac nghien ciiu khac lien quan din thdng bao them vao/loai cd phieu ra khdi danh muc quy chi sd, tuy nhien khdng cd nhieu cac nghien ciiu tren the gidi va chua cd nghien ciiu nao d Viet Nam ve phan img cua thi trudng vdi thdng tin thay ddi ty trgng (tang/giam) cd phieu trong danh myc quy FTSE. Chiing tdi cho rang, ben canh thdng tin rat quan trgng nhu them vao/loai
68 - NtiOng vin 6i KINH T^ VA CHINH TR! TH^ GICTI So 8(244) 2016
V o X u a n Vinh - Bang BCPU KiSm Tac dgng ciia viec thay ddi ty trgng cd phidu...
ra cd phieu thi thdng bao tang giam ty trgng cd phieu trong danh myc quy FTSE cung cd anh hudng den thi trudng chirng khoan dac biet la thi trudng cd quy md vdn nhd va cdn sa khai nhu thi trudng chung khoan Viet Nam.
2. Co- so- ly thuyet
2.1. Ly thuyet vi khdi luang giao dich Ly thuyet ve khdi lugng giao dich dugc phat triln bdi Karpoff (1986). Gia dinh ciia ly thuylt nay la cac nha tao lap tbi trudng hoac nhQng tac nhan dai dien thj trudng thudng dua ra cac nhu cau ve muc gia va ngiu nhien gap nhung giao dich tilm nang. Dya tren ly thuylt nay, sy kien thdng tin anh hudng din khdi lugng giao dich dugc md fa theo hai each rieng biet. Mpt Id, cac bat ddng (khac biet) frong each danh gia thdng fin tao nen khdi lugng giao dich bit thudng. Hai Id, khdi lugng giao dich bit thudng cd thi dugc tao ra ngay ca viec giai thich cac thdng tin la nhu nhau nhung trudc dd sy ky vgng thdng tin la khac nhau. Ly thuyet nay dugc de cap nhilu trong cac nghien ciiu lien quan sau dd. Cy fhl nhu nghien ciiu ciia (Bamber et al. 1997;
Holthausen & Verrecchia 1990; Kim &
Verrecchia 1991; Tkac 1999). Ndi tdm lai, mdt sy kien cd the din din sy thay doi khdi lugng giao djch do each nhan thirc thdng tin khac nhau cua cac ddi tugng tham gia thi trudng.
2.2. Ly thuyet thi tru&ng hieu qud:
Gidng nhu cac nghien ciiu xem xet phan ilng thj trudng sir dyng phuong phap nghien ciiu sy kien, ly thuylt diln giai cho phan iing cila thi trudng la ly thuylt thi trudng hieu qua, dugc phat triln bdi Fama (1970). Ndi tdm luge, ly thuylt nay cho ring gia c l philu da phan anh tat ca cac thdng tin. Cd ba dang bilu hien ciia ly thuylt thi trudng hieu qua, do la: Dang ylu (weak form), dang vira (semi-strong form) va
dang manh (strong form). Thi trudng hieu qua d dang yeu cua ly thuyet nay cho rang gia ca ciia chiing khoan da phan anh day dii cac thdng tin da cdng bd trong qua khii; thi trudng hieu qua dang vua cua ly thuyet cho rang gia ca cua chiing khoan da chiu tac ddng day du ciia thdng tin cdng bd trong qua khu cung nhu thdng tin vua cdng bd xong, ndi each khac gia cd phieu se ngay lap tuc dieu chinh tai mdt mile can bing mdi khi mdt fin tile vua dugc cdng bd; thi trudng hieu qua dang manh cua ly thuylt nay khang dinb manh me hon nua ve tinh hieu qua cua thi trudng tai chinh, rang gia ciia chiing khoan da phan anh tat ca thdng tin cdng bd trong qua khu, hien fai, ciing nhu cac thdng tin ndi bd.
3. Dil lieu va phu-ong phap nghien ciru 3.1. DO: lieu nghien cuu
DQ lieu nghien ciiu dugc thu thap tu cac ngudn khac nhau va dam bao do tin cay. Trudc bet, chiing tdi thu thap dQ lieu sy kien cdng bd thdng tin thay ddi ty trgng nim giQ cd philu cua FTSE tai trang web cua FTSE http://www.ftse.com trong giai doan tu 2008 din bet thang 9 nam 2015. Sau dd, chiing tdi thu thap dQ lieu thi trudng cua cac cd philu dugc them vao/loai ra ciia cac cdng ty tai trang web cua Sd giao dich chiing khoan thanh phd Hd Chi Minh http://www.hsx.vn.
3.2. Phuffng phdp nghien ciru
Chiing tdi sir dyng phuang phap nghien ciiu sy kien, mdt phuong phap nghien cuu tuong ddi phd bien trong ITnh vyc tai chinh ngan hang. Sy kien nghien ciiu la ngay cdng b l thdng tin ciia quy FTSE tren trang web: www.ftse.com dii vdi thdng tin cac cd phieu dieu dugc chinh ty trgng nam giu trong danh myc. Nlu thdng tin dugc cdng bd trong gid giao dich thi ngay sy
NhOng vin di KINH Tt VA CHINH TRI THt GICTI So 8(244) 2016-
-m
Tac dgng cua viec thay ddi ty trgng cd phieu... Vo Xuan Vinh - Pang Bu'u Kiem
kien la ngay cdng bd. Neu thdng tin dugc cdng bd sau gid giao dich thi ngay sy kien la ngay giao dich ke tiep. Hau bet cac thdng bao thay ddi ty trgng nam giu trong danh myc FTSE thudng sau 15h ngay thii 6 tuan dau tien cua thang dau tien mdi quy, vi vay ngay sy kien la ngay giao dich tiep theo ngay cdng bd. Tdm lai, qua tdng ket cua chiing tdi, trong khoang thai gian tu 2008 din thang 9 nam 2015 cd 10 lin tang ty trgng cd phieu va 31 lan giam ty le cd phieu. Do sd lugng lan tang it, khdng dii de cd the ket luan dam bao y nghTa thdng ke, do vay, chiing tdi khdng xem xet.
Do lu&ng vd kiim dinh phdn ieng cita gid Phuang phap do ludng va kiem dinh phan ling ciia gia vdi thdng bao thay ddi ty trgng cd phieu trong danh muc quy FTSE dugc thyc hien tuong ty nhu cac nghien cim trudc (Azevedo et al. 2014; Vd Xuan Vinh & Dang Bim Kilm 2015; Vd Xuan Vinh & Dang Bim Kilm, 2014).
Do lu&ng vd kiem dinh phdn ii-ng eua khoi lugng giao dich
Phuong phap do ludng va kiem dinh phan ling ciia khdi lugng giao dich vdi thdng bao thay ddi ty trgng cd phieu trong danh mue quy FTSE dugc thyc hien tuong ty nhu cac nghien cim trudc (Gurgul et al. 2003; Vd Xuan Vinh &
Dang Bim Kilm, 2015).
4. Ket qua va thao luan ket qua
Bang 1 trinh bay kit qua phan irng cua gia vdi thdng bao giam ty trgng nim giu c l philu trong danh myc quy FTSE. Kit qua khdng cd sy khac biet dang ke giQa hai phuong phap tinh
lgi nhuan bit thudng trung binh cung nhu hai phuang phap kiem dinh tham sd (t stat) va phi tham so (z value) ddi vdi cac ngay xung quanh sy kien thdng bao va ngay thyc hien thay ddi.
Tuy nhien, cd sy khac biet giQa kiem dinb tham sd va phi tham sd ddi vdi lgi nhuan bat thudng tich luy trung binh.
Kit qua cho thay, xung quanh ngay thdng bao giam ty trgng nam giu trong danh muc FTSE chua du bang chirng de cd ket luan cd do tin cay ve phan ung cua gia cd phieu mac du gia cd phieu sut giam trong ngay cdng bd (AAR [0]: -0,53%). Tuy nhien, chiing tdi tim thay bang chung gia cd phieu phan iing xung quanh ngay thyc hien giam ty trgng. Gia cd phieu giam lien tuc trong tuan thyc hien giam ty trgng va trong ngay giam ty trgng cd phieu trong danh myc FTSE. Cu the, gia giam ke tir ngay 5 ciia sy kien (thir 2 cua tuan thyc hien) den ngay 9 cua sy kien (thu 6 ciia tuan thyc hien), the hien qua viec tdn tai lgi nhuan bat thudng trung binh am va cd y nghTa thdng ke d cac ngay 5; 7 va 9 (AAR[5]: -0,98%; AAR [7]: -1,02%; AAR [9]
(CD): -1,06%), cd y nghia thing ke d miic 5%) va lgi nhuan bat thudng trung binh tich IQy am (CAAR [AD to CD-I]: -3,03% cd y nghTa thing ke d muc 1 %>). Ngay sau ngay thyc hien (ngay bat dau cd hieu lyc cua danh muc cd ty trgng mdi), gia cd phieu tang trd lai kit thiic da giam lien tiep trudc dd bang chiing la tin tai lgi nhuan bat thudng trung binh va lgi nhuan bit thudng tich luy trung binh duong (AAR [10]:
1,93% va CAAR [CD to CD+6]: 2,63% cd y nghTa thdng ke d muc Wo). Kit qua dugc minh hga rd hon d cac Hinh 1 va Hinh 2 dudi day.
Bdng 1: Phan irng gia voi thong bao giam ty trong c6 phieu trong danh muc quy FTSE
70 NhOng vin di KINH T^ VA CHfNH TW TH^ GICTI So 8(244) 2016
V6j<uan Vinh - Pang Bu'u Kidm Tac dong cua viec thay doi ty trong cd phieu.
Date
AD-15 AD-14 AD-13 AD-12 AD-11 AD-10 AD-9 AD-8 AD-7 AD-6 AD-5 AD-4 AD-3 AD-2 AD-1 AD AD+1 AD+2 AD+3 AD+4 AD+5 1 AD+6
AD+7 AD+8 CD CD+1 CD+2 CD+3 CD+4 CD+5 CD+6
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 t AD-15 to A D - 1
AD to CD-I CD to CD+6 AD to CD+6 1 AD-15 to CD+6
Lo'i nhuan du-ffc dieu ch thj tru-ong AAR
0,43%
0,67%
0,31%
-0,07%
0,30%
0,20%
-0,14%
-0,23%
0,23%
0,13%
0,20%
-0,17%
0,06%
0,50%
0,14%
-0,53%
-0,04%
0,20%
-0,09%
0,73%
-0,98%
-0,62%
-1,02%
-0,67%
-1,06%
1,93%
0,49%
-0,11%
0,51%
0,55%
0,31%
CAAR 2,58%
-3,03%
2,63%
-0,39%
2,18%
Tstaf 0,99
1,53 0,72 -0,17
0,69 0,47 -0,31 -0,52 0,53 0,29 0,46 -0,38
0,14 1,16 0,31 -1,23 -0,09 0,45 -0,20
1,67 -2,24**
-1,43 -2,34**
-1,53 -2,43**
4 44***
1,13 -0.25
1,17 1,27 0,72 T s t a t 2,25**
-3,28***
2,66***
-0,30 1,23
nh theo
Z value 0,03
1,47 0,75 0,03 1,47 0,39 0,39 -1,05
0,03 0,03 0,75 0,03 0,39 -0,33
1,11 -1,05
0,03 0,75 0,03 1,47 -1,77*
-1,41 -1,41 -1,05 -2,13**
3 gg***
0,75 -1,05 2,55**
1,11 -0,33 Z value
0,03 -1,41 1,11 -1,05
1,11
Loi nhuan du-crc dieu chinh theo thj truong va riii ro AAR
0,39%
0,54%
0,40%
0,03%
0,37%
0,07%
-0,30%
-0,07%
0,40%
0,21%
0,16%
-0,09%
-0,02%
0,30%
-0,05%
-0,25%, -0,11%
0,15%
-0,09%
0,79%
-0,84%
-0,73%
-0,95%
-0,64%
-1,07%
2,02%
0,73%
-0,15%
0,40%
0,62%
0,30%
CAAR 2,34%
-2,66%
2,85%
0,19%
2,53%
T s t a t 0,92
1,29 0,96 0,06 0,89 0,16 -0,71 -0,16 0,96 0,50 0,38 -0,21 -0,04 0,72 -0,12 -0,58 -0,26 0,36 -0,21 1,88 -2,00**
-1,73*
-2,25**
-1,53 -2,55**
4,82***
1,73*
-0,35 0,95 1,47 0,71 T s t a t
1,85*
-2 47**
2,80***
0,12 1,12
Z value -0,27 2,24**
0,81 0,81 1,53 0,45 -0,99 -0,27 0,45 1,17 0,81 -0,27 -1,35 -0,63 0,09 -0,63 -0,27 1,89*
0,09 1,53 -2,43**
-2 79***
-0,99 0,09 -2,07**
3,68***
0,45 -0,63
1,17 1,17 -0,27 Z value
0,09 -0,63
1,17 0,45
0,81
1 Ghi chu: AD, CD tuang ieng Id ngdy thdng bdo vd ngdy thuc hien (ngdy thong bdo Id ngdy 0, ngdy thuc hiin thay doi la ngdy 9): AAR la lgi nhugn bdt thu&ng trung binh, CAAR la lgi nhugn bdt thu&ng tich liiy trung binh.NguSn: Tinh todn cua nhom tde gid *, **, *** tuang ung eo y nghia thing ke & mice 10%, 5% vd 1%.
NhOng vin di KINH T^ VA CHINH TR| TH^ GICTI S6 8(244) 2016- •71
Tac dgng cua viec thay doi ty trong cd phidu. Vo Xuan Vinh - Pang Bu'u Kiem
Hinh 1: Loi nhuan bit thu-o-ng trung binh xung quanh thong bao giam ty trong co phieu trong danh muc quy FTSE
Nguon: Tinh todn vd tdng hgp cua nhom tdc gid.
Hinh 2: Loi nhuan bat thu-dng tich luy trung binh trung binh trong khung su- kien
CAAR
4.110%
3.00% . • • 2.00%
1.00%
O.OO'i-o -1.00%
-2.00»-b
I I I
-13-14-1,^-12-11-10-') -S -7 -6 -5 -4 -3 -2 3 4 5 6 7 H 10 11 12 13 14 15
Ngudn: Tinh todn vd tong hgp cita nhom tde gid.
Ket qua phan tich tren cho thay cac nha dau tu khdng quan tam lam den thdng bao giam ty trgng nam giQ cd phieu trong danh muc quy FTSE nhung lai chii y hon cd xu hudng phan ling tieu cyc trudc ngay thyc hien thay ddi giam ty trgng. Gia cd phieu giam di kem vdi sy gia tang trong khdi lugng giao dich trudc ngay thuc hien thay ddi ty trgng (d phan sau chiing tdi se phan tich ky hon ve phan img ciia khdi lugng giao dich) cho thay cd hien tugng "ban thao" cd phieu ciia nha dau tu song song vdi ap lyc ban dl CO ciu ty trgng danh muc ciia quy FTSE. Sau
ngay thyc hien, nha diu tu lai tieh cyc mua vao the hien qua viec gia cd phieu tang di kem vdi viec tang khdi lugng giao dich. Kef qua nay cung gan nhu tuong ddng vdi ket qua phan img ciia gia vdi thdng bao loai cd phieu ra khdi danh myc FTSE dugc thyc hien bdi Vd Xuan Vinh &
Dang Bim Kilm (2015). Kit qua nay cho thiy rang, nha diu tu trong nudc giao dich van cdn dya vao ylu td tam ly (giao dich bay dan) ban la cd mdt nguyen tic va chien luge dai ban.
Ngoai ra, kit qua ciing iing hd cho gia thuyet tin hieu thdng tin.
.72.. NhOng vin di KINH Tt Mk CHfNH TR! TH^ GICTI S6 8(244) 2016
V 6 j ( u a n Vinh - Pang Bu-u K i l m Tac dong ciia viec thay ddi ty trgng c6 phidu...
Bdng 2: Phan iing cua khdi lu-ffng giao dich vdi thong bao giam ty trong co phieu trong danh muc quy FTSE
1 ' ~' r 1 1
Date AD-15
AD-14 AD-13 AD-12 AD-11 AD-10 AD-9 AD-8 AD-7 AD-6 AD-5 AD-4 AD-3 AD-2 AD-1 AD AD+1 AD-l-2 AD+3 AD+4 AD+5 AD+6 AD+7 AD+8 CD CD+1 CD+2 CD+3 CD+4 CD+5 CD+6
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 t
AD-15 to AD-1 AD to CD-I CD to CD+6 AD to CD+6 AD-15 to CD+6
AAV 0,12 -0,05 -0,11 0,04 0,12 0,02 -0,12 0,10 0,11 0,14 -0,14 0,03 -0,04 0,13 -0,16*
0,17*
-0,10 -0,09 0,07 0,14 0,21**
0,19**
0,17*
0,25***
0,41***
0,24***
Q 33***
0,19**
0,33***
0,27***
0,13 MAAV
0,01 0,11 0,27*
0,18 0,10
tstat 1,25 -0,58 -1,22 0,44
1,35 0,19 -1,34 1,08 1,19 1,56 -1,54 0,32 -0,42
1,41 -1,73 1,79 -1,11 -1,02 0,72 1,52 2,32 2,01 1,81 2,73 4,46 2,58 3,54 2,07 3,56 2,96 1,40 tstat 0,14 0,85 1,81 1,36
0,98
1Ghi chii: AAV Id khoi lugng giao dieh trung binh,
mpt ngdy_ tinh cho mpt giai dogn. Ngudn: tinh todn cua nhom tde gid.
nghia thing ki & mue 10%, 5% vd 1%.
MAAV la khoi lugng giao dich trung binh eiia
H* * * * llffffjg ilyig f.^ j ,
NhOng vin di KINH T^ VA CHfNH TRj TH^ GICTI So 8(244) 2016- -73
Tac ddng cua viec thay ddi ty trpng cd phieu. Vo Xuan Vinh - Pang Btru Kiem
Bang 2 trinh bay ket qua phan iing ciia khdi lugng giao dich vdi thdng bao giam ty trgng nam giu cd phieu trong danh myc quy FTSE.
Ket qua cho thay khdi lugng giao dich cd phan ling vdi thdng tin giam ty trgng cd phieu trong danh muc quy FTSE d xung quanh ngay thdng bao va xung quanh ngay thyc hien. Khdi lugng giao dich giam trudc ngay thdng bao va tang tai ngay thdng bao (AAV [-1]: -0,16; AAV [0]:
0,17, cd y nghTa thdng ke d mifc 10%)). Dac biet, tdn tai khdi lugng giao dieh ldn xung quanh ngay thyc hien thay ddi giam ty trgng the hien qua viec khdi lugng giao dich bat thudng trung binh tu ngay [5] den ngay [9] diu cho cac gia tri duong va cd y nghTa thdng ke cao va khii lugng giao dich bit thudng trung binh ngay trong giai doan sau ngay thyc bien.
5. Ket luan va ham y kinh te
Bai viet nghien cim phan iing ciia thi trudng thdng qua gia ca va khdi lugng giao dich vdi thay ddi giam ty trgng nam giu c l philu trong danh myc quy FTSE tren thi trudng chiing khoan Viet Nam giai doan tu 2008 din thang 9 nam 2015. Nghien ciiu phan iing thi trudng dugc dua tren phuang phap nghien cifu sy kien.
Ket qua cho thay phan iing cua thi trudng (gia
va khdi lugng giao dich) it d xung quanh ngay thdng bao va phan ifng manh d xung ngay thyc hien thay ddi ty trgng cd phieu trong danh muc quy FTSE. Khdi lugng giao dich.tang manh trudc, trong va sau ngay thyc hien. Tuy nhien, gia cd phieu thi giam lien tyc tu trudc cho den ngay thyc hien va ngay sau dd gia cd phieu tang trd lai. Ket qua nghien ciiu cung img hd cho gia thuyet tin hieu thdng tin.
Tiep ndi nhung khuyen nghi trudc ciia Vo Xuan Vinh & Dang Biiu Kiem (2015), bai vilt cd mdt sd khuyen nghi cho nha dau tu nhu sau:
Thic nhdt, viec them vao/loai ra, tang giam ty trgng cd phieu trong danh myc FTSE khdng dya tren cac yeu td ca ban cua doanh nghiep ma dya tren cac tieu chuan mang tinh ky thuat nhu (vdn hda, thanh khoan, ty le ty do chuyen nhugng) nen nha dau tu chi nen tham khao dl dua ra quyet djnh dau tu hon la viec mac dinh cd phieu them vao/loai ra, tang/giam ty trgng trong danh muc FTSE la cd philu tdt/xiu. Thie hai, nha dau tu trong nudc, dac biet la nha diu tu ca nhan nen cd mdt chien luge dau tu rd rang, bai ban va nguyen tic de tranh hanh vi mang tinh bay dan va phan iing qua muc vdi thdng tin. Thic ba, nha lam chinh sach can tang cudng phd biln, nang cao kien thuc tai chinh, chiing khoan, diu tu cho cac nha dau tu de gdp phin In dinh va phat trien thi trudng chiing khoan*
Tai lieu tham khao:
1. Azevedo, A., Karim, M., Gregoriou, A. & Rhodes, M. (2014): 'Stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysian KLCT, Journal of International Financial Markets, Institutions and Money, 28, 20-35.
2. Bamber, L.S., Barron, O.E. & Stober, T.L. (1997): Trading volume and different aspects of disagreement coincident M'ilh earnings announcements. Accounting Review, 575-597.
3. Bechmann, K.L. (2004): Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index-The KFX Index, Multinational Finance Joumal, 8(1-2), 3-35.
4. Biktimirov, E.N., Cowan, A.R. & Jordan, B.D. (2004): 'Do demand curves for small stocks slope down?, Joumal of Financial Research, 27(2), 161-178.
. 7 4 • - NhOng vin di KINH T^ VA CHINH TR! TH^ GICTI So 8(244) 2016
V6j<uan Vinh - P a n g B i j u Kidm Tac dgng ciia viec thay doi ty trgng co phidu...
5. Biktimirov, E.N. & Li, B. (2014): Asymmetric stock price and liquidity responses to changes in the FTSE SmallCap index. Review of Quantitative Finance and Accounting, 42(1), 95-122.
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8. Chan, K., Kot, H.W. & Tang, G.Y. (2013): A comprehensive long-term analysis of S&P 500 index additions and deletions. Journal of Banking & Finance, 37(12), 4920-4930.
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10. Daya, W., Mazouz, K. & Freeman, M. (2012): Information efficiency changes following FTSE 100 index revisions', Joumal of International Financial Markets, Institutions and Money, 22(4), 1054-1069.
11. Denis, D.K., McConnell, J.J., Ovtchinnikov, A.V. & Yu, Y. (2003): S&P 500 index additions and earnings expectations. The Journal of Finance, 58(5), 1821-1840.
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13. Fama, E.F. (1970): Efficient capital markets: A review of theory and empirical work*', The journal of Finance, 25(2), 383-417.
14. Gurgul, H., Mestel, R. & Schleicher, C. (2003): Stock market reactions to dividend announcements: Empirical evidence from the Austrian stock marke', Financial Markets and Portfolio Management, 17(3), 332-350.
15. Hanaeda, H. & Sarita, T. (2003): Price and Volume Effects As.sociated with a Change in the Nikkei 225 Index List: new evidence from the big change on April 2000, Intemational Finance Review, 4, 199-225.
16. Harris, L. & Gurel, E. (1986): Price and volume effects associated with changes in the S&P 500 list: Ne-H' evidence for the existence of price pressures. The Joumal of Finance, 41(4), 815-829.
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20. Liu, S. (2011): The price effects of Index additions: A new explanation, Joumal of Economics and Business, 63(2), 152-165.
NhOng vin di KINH T^ VA CHfNH TW TH^ GICTI S6 8(244) 2016^ — - 5
Tac dgng cua viec thay ddi ty trgng cd phidu. V6 Xuan Vinh - Pang Biru Kiem
21. Lynch, A.W. & Mendenhall, R.R. (1996): New Evidence on Stock Price Effects Associated with Charges in the S&P 500 Index.
22. Madhavan, A. (2003): The Russell reeonstitution effect, Financial Analysts Journal, 59(4), 51-64.
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27. Vd Xuan Vinh & Dang Biru Kilm (2015): Phdn ieng cua thi tru&ng (gid vd khoi lugng giao dieh) v&i thong tin thay doi eo phiiu trong danh muc FTSE. Nghien ciiu thyc nghiem tai Viet Nam', Kinh ti & Phdt triin.
28. Vd Xuan Vinh & Dang Bim Kilm (2014): Nghien cieu lgi nhugn bdt thu&ng khi xudt hiin khoi lugng giao dieh bdt thudng trin thi trudng chdng khodn Viet Nam, Phat trien Kinh tl, 290,21-41.
29. Vd Xuan Vinh & Dang Bim Kilm (2015): Giao dich ciia nhd ddu tu nu&c ngodi v&i thong bdo chi trd co lice bdng tiin mat. Nghien ciiu thyc nghiem tai Viet Nam', Working Paper.
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DINH CHINH
Do 161 ky thuat khi len chuyen muc, bai viet: "Chuyen dich quyin lice va tuong lai cita trgt Ity the giai" da dang tren Tap chi Nhiing v i n d l Kinh te va Chinh tri T h i gidi s6 7(243)2016 tai trang 43 da in: K I N H T E T H E GlCil - KHU v y c . Nay xin dinh chinh lai cho diing: CHINH TRI A N N I N H THE G\6\.
Toa soan xin chan thanh cao loi cung Tac gia va Ban doc.
Rdt mong nhgn dirgtc sic cam thong vd tiep tuc dong hdnh cung Tgp chi trong thai gian t&i
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TAP CHi NHU'NG V A N DE KIH TE VA CHINH TRI THE GlCil
76 NhOng vin di KINH Tt Mk CHfNH TR! THt GICTI So 8(244) 2016