Phan Thl Bich Nguy?! & Phgm Dirong Phuang Thao Tap chi Phat men Kinh le, 27(5), 45-62
Moij[uan he gifra thi trirang chirng khoan va thj triroTig bat dong san:
Trircmg hop tai Thanh ph6 H6 Chi Minh
PHAN THI BICH NGUYET Truang Dai hgc Kinh tS TP.HCM - [email protected] vn
PHAM DUONG PHUONG THAO Truang Dai hoc Kinh tS TP.HCM - pdpthao(gueh.edu vn
Ngay nhdn 24/11/2015 Ngay nhan lai:
10/05/2016 Ngdy duyet dang:
12/05/2016 Ma so
in5-G29-V06
Thi truong chiing khoan, thi truang bdt dpng san.
Keywords:
Stock market, real estate market.
Tom tat
Nghien ciiu kiem dinh moi tucmg quan giua thi truing chiing khoan (TTCK) va thl tnrong bat dgng san (TTBDS) VN qua tnrong hgp dien hinh tai TP.HCM giai doan tir quy 1/2009 dSn quy 3/2014. Khao sat y kien chuyen gia cho thiy cac nhan to kinh te vT mo bao gom: GDP, lai sudt, lam phat, chfnh sach tai khoa, chinh sach tien te, cac quy dinh phap luat hen quan den TTCK, dong von qu6c tS, thj truong tien te co tac dong TTCK va TTBDS, va ban than hai thi trucmg nay cung tac dong hai chieu lan nhau. Trong do, chinh sach kiem soat doi vcri nhh.
_ dau tu nuac ngoai la nhan t6 tac dong manh nhat tdi sir dich chuyen von giua hai thi trudng. Ngoai ra, khi phan tich bang mo hinh TECM tren da lieu ve chi so gia bat dong san tai thi trudng TP HCM va chi s6 VN-Index tac gia tim thdy hai thi trudng nay the hien quan he hai chieu, tuong quan duang trong dai han.
Abstract
This study inspects the relationship between the stock market and real estate market in Vietnam, particularly with the case of Ho Chi Minh City from Ql/2009 through Q3/2014. Using a survey of expert opinions, we find that several macro factors including GDP, interest rate, inflation, fiscal policy, monetary policy, and securities regulations, intemationai capital flows and money market have effects on both the stock and real estate markets, which, in turn, do have mutual interactions Furthermore, it is suggested by the survey results that among the determinants, policy on foreign investment confrol has the most powerful impact on capital movements between the two markets. The results of TECM analysis of property price index and VN-Index reveal a two-way relation between the two markets, which are positively related in the long run.
Phan Thl Bich Nguyei & Pham Dirong Phucmg ThSO- Tap chi Phat tn£n Kinh te, 27(5). 45-62
1. Gioi thieu
Thuc tiln thai gian qua VN chung kiSn sir thang tram ciaa ca TTCK lan TTBDS, t\J soi dong, thu hut dugc sir quan tam va dong von Ion ciia cac nha dau tu trong nhiJng nam truac 2008 d6n am dam, suy thoai sau khung hoang kinh te toan cau. NhiJng diln bien bdt thuang cua hai thi tnrang nay khong chi thu hut su quan tam, chu y cua nhieu nha nghien ciju ma con dat ra vdn de la lieu co moi li6n he nao giiia TTBDS va TTCK hay khong. Nghien ciiu vl moi quan he giu'a hai thi tnrang nay da duoc nhieu nha khoa hoc tren the giai thyc hien tij' nhung nam 1990 cho den thai gian gan day. Nhieu quan diem cho rang hai thi truang nay khong c6 moi tuang quan vai nhau do chung chiu anh huang bai cac yeu to khac nhau va co nhiJng tac dong khac nhau d6i vai nen kinh te va nha diu tu (Schnare & Struyk, 1976; Goodman, 1978; Geltner, 1990; Wilson & Okunev, 1996).
M6t so nghien cuxi khac c6 quan diem da chieu ve moi quan he giiia hai thi tnrong nay:
Tai mot so quoc gia, TTCK co tuang quan vai TTBDS (Quan & Titman, 1999; Sutton, 2002) nhimg tai nai khac moi tucmg quan la yeu hoac khong ton tai (Lin & Lin, 2011), va tuong quan th6 hien phi tuyen hay tuyen tinh thi van chua co the ket luan ro rang (Lizieri & Satchell, 1997; Glascock & cpng sir, 2000; Lee & Chiang, 2004). Co thl, dac thil thi truong a moi qu6c gia co nhieu khac biet da gay ra cac ket qua thirc nghiem trai chieu nhau (Lin & Lin, 2011).
DQi vai VN, thai gian hinh thanh va phat trien hai thi truang nay khong dai nen cac nghien cij-u ve moi quan he nay con kha mai va chua he thong. Tuy nhien, theo nhan dmh ciia mot s6 chuyen gia nuac ngoai, tai VN noi chung va TP. HCM noi rieng, hai thi truang nay luon tac dpng manh me den nhau, su phat trien cua thj trudng nay cung la co bpi phat trien thi truang kia, riii ro cua thj truang nay co thl anh huong din rui ro thi truong kia. Vi vay, nghiSn cuu dupc thuc hien nhSm xem xet nhung nhan t6 nao tac dong den hai thi trudng nay dong thdi kiem djnh moi tuong quan giira chiing. TIJ do de xudt cac gai y chfnh sach vl gia! phap dieu hanh va phat triln thi trudng ben viing. D6i tuang nghien ciru la TTCK va TTBDS VN, lay mau diln hinh tai TP.HCM. Pham vi nghien ciju la tren dia ban TP.HCM, giai doan tir quy 1/2009 din quy 3/2014. Phan tich duac thuc hien kit hgp dinh lugng va khao sat y kiln chuyen gia de lam sang to cac vdn de ciia muc tieu nghien cuu.
Phan Thl Bich Nguyet & Pham Ducmg Phuang Thao Tap chi Phat triSn Kinh le, 27(5), 45-62
2. Cffsfrli thuyet
TTCK la bg phan quan trpng cua thi trudng von, hoat dpng nham thu hut cac nguon von trong xa hgi de tai trg cho doanh nghiep, cac to chiic kinh te va chinh phu nham phat trien san xuat, tang trudng kinh te hay cho cac du an dau tu. TTBDS la thi trudng ciia hoat dgng mua ban, trao doi, cho thue, the chap, chuyen nhugng bat dpng san va quyen su dung chiing theo quy luat ciia thi trudng, la nai tong hoa cac giao dich dan sir ve bat dgng san tai mpt dia ban nhat dinh, trong thdi gian nhat dinh. Ve moi quan he giira TTCK va TTBDS, cac nghien ciru tren the gidi ve cbii de nay vin co nhilu kit qua trai ngugc nhau. Co hai nhom quan diem doi lap cho rang ton tai su lien he chat che giiia hai thi tnrdng; va nhom con lai phan bac lap luan nay. De giai thich cho su lien he giira hai thi tnrdng, cac nha nghien cuu ve kinh te hge tren the gidi dua tren ba ca che sau day:
2.1 Moi quan he dong tich hop giua TTCK va TTBDS
Vdi cac bang chiing thirc nghiem thuyet phuc, nhieu hpc gia va nha nghien ciin tren thl gidi dong quan dilm cho rang giu'a TTCK va 1TBDS ton tai moi quan he dong tich hgp, tlie la hai thi trudng nay ve dai ban co tuang quan vdi nhau. Cac nha nghien ciiu thugc trudng phai nay giai thich nhung thay doi trong TTBDS tac dgng Idn den xu hudng ciia hoat dgng kinh tl. Noi each khac, khiing hoang trong ITnh vijc bat dpng san anh hudng dang kl din tang tnrdng san xuat, den trien vpng cua nen kinh te, lao dpng va thu nhap cua ngudi dan. Trong khi do, dii vdi TTCK, khi dong tiln ki vpng trong tuang lai tang se din din dau tu tang theo. Xet vl tac dgng cua sd hiiu tai san, gia bat dpng san thay ddi lam cho gia tri tai san c6 dinh tren bang can doi ke toan ciia doanh nghiep thay d6i, trudng hgp doanh nghiep sir dung v6n dl dau tu bat dpng san thi nguon von tren bang can ddi kl toan ciia doanh nghiep cung thay doi tuang ung. Ket qua ia lam thay doi gia tri s6 sach cua doanh nghiep, keo theo thay ddi gia thi trudng ciia co phan. Gia bat dgng san thay ddi lam gia chiing khoan cua doanh nghiep cung thay doi theo, vi vay thi trudng chiing khoan va thi trudng bdt dgng san cd quan he dong tich hgp. Day la quan dilm chung cua nhilu nha nghien cuu ma tieu bilu la Liu va cgng su (1990), Myer va cgng su (1993), Ambrose va cgng sir (1992), Gyourko va Keim (1992), Lim va Ong (1992), Ling va Naranjo (1999), Kapopoulos va Siokis (2005).
2.2. Hieu ung tdi sdn (Wealth Effect)
Markowitz (1952), Kapopoulous va Siokis (2005), Teodora (2010) sii diang li thuyit hieu ling tai san dk phan tich va van dung vao hai thi trudng TTBDS va TTCK. Theo li
Phan Thl Bich Nguyet & Ph^m Ducmg Phucmg Th^o. Tap chi Phfit tngn Kinh te, 27(5), 45-62
thuyit nay, tieu dimg la ham sd cua thu nhap kha dung va tong tai san. Ca thu nhap ISn ting tai san diu cd tac ddng duong din mii'c chi cho tieu dung. Tong tai san la tong cua tai san tai chinh (co philu, trai phieu), bSt dpng san, va tai san con ngudi. Do bat dgng san vira dugc xem la hang hoa tieu diing vira la sir dau tu; cdn chiing khoan thi khong phai vay nen cac ho gia dinh khi cd thu nhap ngoai ki vgng tu gia co phieu se co khuynh hudng ua thich tang lugng bat dpng san nSm giii. Theo Kapopoulous va Siokis (2005), moi quan he giiia TTCK va TTBDS the hien hieu ling tai san do anh hudng dieu chinh danh muc dku tu. Khi gia co phieu tang, gia tri chiing khoan trong danh muc nam giQ cija cac hd gia dinh tang theo, vi vay cac hp gia dinh se mong muon tai can bSng Iai danh mijc ciia minh bang each ban bdt c6 philu va nSm giii cac tai san khac, trong do cd bat dgng san. Vi vay, se cd su d&n truyen tii' gia chiing khoan sang gia bat dpng san, Khi gia tri ciia danh muc co phieu tang gia trong giai doan TTCK di len, nha dau tu tan hudng cam giac hung phan, kich thich tinh than hudng thia nhieu hon, chi tieu cho tieu diing, mua sam nhieu han. Tinh trang tam li nay lam cho nha dSu tu cam thay thoai mai ban ve tai san ciia hg, ve khoan ng vay, va vl tat ca mgi thu, hg se chi tieu rgng rai, din din tieu diing tuang lai tang. Ket qua la cac cong ty gia tang tai dau tu vao bat dpng san, dieu nay Iam tang nhu cau nha d, va den lugt cau bat dgng san gia tang. Cudi ciing, nhu cau tang lam tang gia tren TTBDS.
2 3. Hieu iing tin diing (Credit Effect)
Song hanh vdi hieu iing tai san la hieu iing tin dung dugc Ghosh va cgng su (1997), Liow (1999), Seiler va cgng su (2001), Sim va Chang (2006), Apergis va Lambrinidis (2011) Sli dung dl giai thich ca chl truyin dSn ngugc lai tir TTBDS sang TTCK. Mpt su thay dii trong gia tri bat ddng san la nhan td quan trgng ddi vdi kit qua cua bang can ddi ke toan, se lam thay doi lgi nhuan, keo theo su thay dii gia chiing khoan cac cong ty nay. Gia tri sd sach thay doi, din din su bien dgng trong gia co philu tren TTCK (Apergis & Lambrinidis, 2011). Sim va Chang (2006) giai thich rd hon cho ca che tac dpng nay nhu sau: Khi gia bat dpng san tang thi cac cong ty nao c6 vay tin dung va dang nam giii mgt lugng bat dgng san hay dat dai se trd nen co lgi bdi vi sir tang gia tri ciia tai san giiip hg cd the the chap cho cac khoan vay tii dd lam giam chi phi di vay va giiip cac cdng ty cung nhu cac hg gia dinh de dang tiep can ngudn vdn vay hon. Vi vay, cac cong ty di vay nhilu hon va dSu tu vao qua trinh sin xuat (Kapopoulous va Siokis, 2005).
Khi dd, gia tri co phan ciia cac cong ty nay den lugt chiing se tang neu ngudi ta nhan biet dugc lpi nhuSn ki vpng tir kit qua dau tu nay. Cac cdng ty vi the lai can gia tang
Phan Thi Bich Nguy8t & Pham Duong Phucmg Thio T?p chi Phat Irien Kinh te. 27(5), 45-62
nam giii them bat ddng san va dat dai de phuc vu cho muc dich dSu tu md rdng, hinh thanh nen vdng trdn xoan dc lam tang gia tren ca hai thi trudng bSt dpng san va chung khoan. Teodora (2010) cho ring hieu ling tai san di kem vdi hieu iing tin dung se tuang tac vdi nhau va tao ra hieu iing vdng trdn tin dimg (Credit Cycle Effect) dupc minh hga qua Hinh 1, the hien mdi quan he hai chieu giiia TTCK va TTBDS. Ca che truyen d§n nay giai thich cho van de vi sao khi xay ra mdt cii sdc bat thudng tren thi trudng lai gay ra mgt anh hudng dai dang.
Gia nha ting
Gii tri t ^ sin thi cb^tang
Hinh 1. Vdng trdn tin dung Nguon: Teodora (2010)
3. Cac b5ng chihig thyc nghiem ve moi quan h | giira hai thj trudng
Ben canh cac li thuyit giai thich cho mdi quan he giiia TTCK va TTBDS, nhieu nghien cmi thuc nghiem tai cac nin kinh tl khac nhau tren thl gidi da dugc tien hanh va cho cac kit qua da chiiu. Cd thl tdm tat chiing thanh ba nhdm kit qua chinh ylu sau day:
Quan diim hai thi trucmg doc lap: Tieu bilu nhu nghien cuu ciia Schnare va Struyk (1976), Goodman (1978), Geltner (1990), Wilson va Okunev (1996).
Phan Thi Bich Nguyet & Pham Duong Phuong Thao Tap chl Phat inen Kinh ti, 27(5), 45-62
Quan diim hai thi trirang c6 tuamg quan tuyin tinh: Day la nhdm quan diem chiem da s6 cac nghien ciiu thuc nghiem nhu Myer va cpng sir (1993), Gyourko va Keim (1992), Chi (1998), Ling va Naranjo (1999), Quan va Titman (1999). Ibbotson va Siegel (1984), Hartzell (1986) xac nhan mdi tuong quan am giija TTCK va TTBDS My qua cac thdi ki khac nhau; tucmg tu cung phat hien mdi tuong quan am tai thi trudng Canada, Anh va My la nghien cuu ciia Eichholtz va Hartzell (1996); trong khi dd Worzala va Vandell (1993) lai dua ra bSng chiing ve moi tuong quan duong trong trudng hop nghien ciiu thj trudng tai Anh khi sir dung dir lieu theo quy. Gan day hon, cd cac nghien cuu ciia Sim va Chang (2005), Kapopoulos va Siokis (2005). Mdi tucmg quan tuyen tinh gifia hai thi trudng khdng chi dugc tim thay tai cac nudc phuong Tay da phat trien ma con ca d cac nudc chau A va dang phat trien nhu Stone va Ziemba (1993), Ito va Iwaisako (1995), Seo va Kim (2000), Park va Park (2001), Kamada va cdng su (2007), Zhang va Wu (2008), Lin va Lin (2011).
Quan diem hai thi trucmg co tuang quan phi tuyen: Liu va cpng su (1990), Liu va Mei (1992), Ambrose va cpng sir (1992) cho thiy cac chi s6 bat dpng san nhu REITs va chi sd gia cd phieu phd thdng the hien nhiing biln dgng phi tuyen. Trong khi do, Lizieri va Satchell (1997), Glascock va cdng sir (2000), Lee va Chiang (2004) trinh bay cac bang chiing ve mdi lien he nhan qua giiia hai thi trudng la pha trdn khdng ro rang giiia tuyen ti'nh va phi tuyen. McMillan (2012) de xuat md hinh hdi quy chuyen tiep trcm mu (ESTR) de mo hinh hoa moi quan he giu'a hai thi trudng va lap luan hanh vi cua nha dau tu CO the la nguyen nhan gay ra mdi quan he phi tuyen giiia gia nha va gia chiing khoan.
Okunev va Wilson (1997) nhan dinh hai thi trudng nay la hai phan khiic hoan toan tach biet va khong tim thSy quan he tuyin tinh vdi nhau, hg de xuat mdt md hinh phi tuyen de kiem djnh thdng qua dir lieu thi trudng My. Ket qua cua md hinh phi tuyen dupc so sanh vdi ket qua tir cac kiem dinh ddng lien ket truyen thdng. Cac ket qua kiem dinh ddng lien ket ling hd cho quan diem la TTBDS va TTCK tach biet vdi nhau, trong khi md hinh phi tuyen lai iing hp cho quan dilm cac thi trudng nay cd su lien ket mpt phan nhung su dich chuyen ciia ciia chiing thi kha chSm, do dd su phan ki giiia hai thi tmdng CO the keo dai. Gan day hon, Chi-Wei Su (2011) cung tim thay moi quan he phi tuyen giua TTCK va TTBDS d Bi, Tay Ban Nha va Phap.
Nhu vay, co the thay cac nha nghien cuu ve hai thi trudng nay da phan tich va thao luan chii yeu dua tren cac phuong phap cd dien va md hinh hdi quy tuyin tinh; trong khi do sd lugng nghien cuu diing cac md hinh phi tuyen cho den nay khdng nhieu. Ddi vdi VN, tac gia nhan thay cd Nguyen Ngpe Vinh (2008), Tran Thu Van va Nguyen Thi
Phan Thj Bich Nguy?t & Ph?ni Ducmg Phucmg Thia, T?p chi Phai mgn Kinh tt, 27(5), 45-62
Giang (2011), Ngd Xuan Thanh (2012), Nguyen Htm Huan (2013) phin Idn chi nghien ciiu ve TTCK hoac TTBDS rieng biet, cd rat it cac nghien cuu mang tinh he thing ve mdi tucmg quan giiia hai thi trudng.
4. Fhuong phap nghien cmi
De lam ro mdi quan he giira hai thi trudng nay, tac gia dua tren cac nghien ciiu di trudc kit hgp vdi thuc trang thl chl va dac thii TTBDS va TTCK tai VN dl tiln hanh khao sat va tham van y kien chuyen gia. Theo Kamada va cdng su (2007), xu hudng gia bSt dpng san thdng thudng se bi anh hudng bdi cac yeu td: (1) Cac yeu td ca ban ciia n6n kinh te nhu: dan sd, thu nhap tinh tren dau ngudi; (2) Cac yeu td tai chinh nhu: lai suat cho vay, han miic tin dung; (3) Xu hudng gia ciia cac tai san tai chinh; (4) Moi tuang quan giGa gia nha va yeu td khong gian; va (5) Bong bdng thi trudng BDS. Bang cau hoi dugc xay dung va khao sat thir nghiem tren mdt nhom nhd cac chuyen gia, va bang khao sat hoan thien cudi ciing dugc giii den cac chuyen gia ve lmh vuc chiing khoan va bat ddng san.
Ngoai ra, md hinh kinh te lugng dugc su dung de kiem dinb ban chat mdi tuong quan giiia hai thi trudng va cu the hda thi trudng nao ddng vai trd quyet dinh, thi trudng nao ddng vai trd bi anh hudng va muc do anh hudng giiia chiing.
Gpi VNs la bien dai dien cho thi trudng chiing khoan; VNh la bien dai dien cho thi trudng bat dpng san. Dil lieu cua hai bien nay co dang chudi thdi gian. Viec dau tien khi kilm dinh vdi hai bien nay la phai kiem tra tinh dimg. Neu ca hai chudi thdi gian nay diu dimg tai gdc thi tiln hanh udc lugng bang mo hinh cho chuoi thdi gian, vi du mo hinh VAR. Trudng hop hai chudi nay diing d sai phan bac 1 thi tiep tuc kiem tra dong lien kit bdi vi cac chudi thdi gian cd ddng lien ket thi cd quan he trong dai han, va khi dd md hinh udc lugng phii hgp nen la ECM (Error Correction Model) - day la md hinh do ludng tac ddng qua lai trong dai ban cua cac chuoi thdi gian. Mdt each khai quat, md hinh dk kilm dinh ddng lien kit la: EI ^ g(yt) - f(xi).
Da sd cac nghiSn cuu trude day vl chii dl TTCK hay TTBDS khi kilm tra dong lien kit thudng sir dung phuang phap kilm dinh Engle-Granger hoac kiem dinh Johansen dua tren gia thilt mdi quan he giiia hai chuoi thdi gian la tuyen tinh, mac dinh f(xi) la ham sd tuyin tinh ciia Xt nhung Chi-Wei Su (2011), Sargan va Bhargava (1983) chi ra nhiing biln dpng manh me xuat hien trong ca hai thi trudng bat dgng san va thi trudng chiing khoan, dan din mdi quan he ciia ehiing la phi tuyen. Vi vay, de vira kiem dinh
52 Phan Thi Bich Nguy?! & Pham Ducmg Phucmg Thao. Tap chi Phai tnen Kinh te, 27(5), 45-62
dugc gia thiet ddng lien ket vira co the xac nhan moi quan he la tuyen tinh hay phi tuyen, tac gia ke thira kilm dinh ciia Seo (2006) va kiem dinh Hansen va Seo (2002). Tac gia cung thuc hien udc lugng nhan qua Granger dua tren md hinh ECM cd ngudng (Threshold-ECM). Neu VNs, VNh la 2 chudi cd ddng lien kit, phuong trinh ddng lien ket phan anh mdi quan he trong dai ban giira VNh va VNs la:
VNh, = pi + p2 VNst + u,
Phuong trinh do ludng sir dieu chinh trong ngan han de duy tri mdi quan he trong dai han c6 dang nhu sau:
AVNht = an + aiiAVNhi-i + ctnAVNst-i + yiECT + en vdi ECT = ut-i = VNh,.i - pi - p2VNs(.i
AVNs, - a2i + a22AVNsi-i + a23AVNhc.i + 72ECT + £21
Vdi Threshold-ECM diing cho mdi quan he phi tuyen, Xo la gia trj cua ngudng dupc xac dinh, khi ECT i-i < h, thi udc luong dugc be sd tuong quan cua md hinh ECM, ki hieu la ECM 1. Kbi ECT n > Xo thi mdi tuong quan va he sd tuong quan cd the thay ddi, udc lupng dugc he sd tuong quan khac ciia md hinh ECM, ki hieu la ECM2. Viec thyc hien cac kiem djnh ve ddng lien kit, xac dinh quan he phi tuyen ciia hai biln, xac dinh nguong, va nam bat qua trinh dieu chinh ddng giiia hai thj trudng trong ngSn han va dai ban dugc thuc hien bang phan mem R.
5. Ket qua va thao luan
5.1. Kel qud khao sdty kien chuyin gia
Sau khi loai bd cac bang tra ldi khdng hgp le, cuoi ciing thu dugc 217 bang tra Idi.
PhSn dku cua bang khao sat tap trung vao cac nhan td tac dgng din TTCK. Tac gia sir dung thang do Likert 5 dilm. Ket qua khao sat (Hinh 2) cho th4y cac ylu to kinh tl vT md bao gom: GDP, lai suat, lam phat, chinh sach tai khda, chinh sach tien te, cac quy dinh phap luat lien quan den TTCK, ddng vdn qudc tl, thi trudng tiln te va thj trudng bat dpng san deu cd diem sd trung binh ldn han 3, dilu nay cho thay cac chuyen gia diu cd chung nhan dinh ve tam quan trpng ciia cac nhan td nay ddi vdi TTCK. Cac nhan to nhu TTBDS, cac quy dinh cua phap luat, lam phat va lai suit dugc danh gia la co tac dpng rat dang kl len TTCK, va dac biet la TTBDS dugc danh gia la cd tac ddng manh nhat trong nhdm vdi diem sd trung binh la 3,95/5. Nhu vay, TTBDS cung la mdt trong nhang ylu td then chdt tac ddng len TTCK trong bii canh tai TP.HCM.
Phan Thi Bich Nguy?t & Pham Ducmg Phutmg Thao. Tap chi Phdt IriSn Kinh ta, 27(5), 45-62
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• GDP
Hinh 2. Ket qua khao sat cac nhan td tac dpng len TTCK Nguon' Ket qua khao sat cua tac gia
Tiep theo, bang khao sat tap trung vao nhan dinh ciia cac ehuyen gia ve cac nhan td VI md tac dpng len TTBDS (Hinh 3) cho thay ngoai cac nhan td vT md nhu tren thi cac quy dinh phap luat lien quan din TTBDS, tinh minh bach cua thdng tin va TTCK ciing dupc nhan dinh la cd tac dpng dang ke len TTBDS. Trong dd, cac y8u td nbu lai suSt, lam phat, TTCK va cac quy dinh phap luat cd tac ddng kha manh len TTBDS. Diem sd trung binh cua cac chuyen gia danh gia ddi vdi TTCK la 3,73/5 cho thay khdng chi tdn tai mdi quan he mdt chieu cua TTBDS len TTCK ma cdn tdn tai ca mdi quan he d chieu ngupc lai.
l i i i i i i i i M i M i ^ ^ . 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 4
IS TTCK
= Dong von quoc te I Chinh sach tai khoa
• GDP
^ Thong linh minh bach •' Han che kieu hoi I Quy dinh phap luat •'• Chinh sach lien te TL^mphat ' Lai suat
Hinh 3. Kit qua khao sat cac nhan td tac ddng len TTBDS NguSn: Kit qua khao sSt ciia tac gia
:h Nguy^l & Pham Ducmg Phucmg Thilo, T?p chl Phat t n ^ Kinh t^, 27(5), 45-62
Tilp theo, bang cau hdi dl cap din ban chat mdi quan he giiia TTCK va TTBDS. Ket qua khao sat cho thiy phin ldn ngudi tham gia khao sat cho rSng tdn tai mdi quan he giiia hai thi trudng, chi cd 2% cho ring hoan toan khdng cd mdi quan he nao giira hai thj trudng, trong khi cd den 36% nhan djnh hai thi trudng nay cd mdi quan he d mire trung binh va 51% dong y moi quan he nay kha chat che. Nhdm tac gia tiln hanh khao sat cu thl han nhan dinh ciia cac chuygn gia vl ban chk moi quan he giiia hai thj trudng sir dung thang do Likert 5 dilm tir Hoan toan khdng ddng y (mire 1) din Hoan toan ddng y (miic 5). De cap den mdi quan he nhan qua giiia hai thj trudng, niuc dp dong y TTCK tac ddng len TTBDS la 2,9/5 trong khi d chiiu ngugc lai, muc do ddng y la 3,3/5. Dang chu y, diem so trung binh cao nhit thudc vl nhan dinh mdi quan he giiia bai thi trudng khdng bat bien ma se thay doi theo thdi gian vdi 4,09/5.
Cuoi ciing, khao sat tap trung cac ylu to co thl tac dpng den sir luan chuyin von giua TTCK va TTBDS. Kit qua cho thdy dilm s6 trung binh cao nhat vl miic dp dong y thupc vl ylu to lien quan din cac quy dinh rang bupc nha dku tu nudc ngoai vdi 3,6/5. Diing thii hai la ylu t l lien quan din cac quy dinh ve ehdng riia tiln vdi diem so trung binh la 3,52/5.
Va culi cimg la tinh thanh khoan ciia TTBDS dugc nhan dinh la se tac ddng din su luan chuyin vdn giiia hai thi trudng vdi miic dp ddng f la 3,3/5. Nhu vay, trong bdi canh thi tnrdng ciia VN ylu td cac chinh sach kilm soat ddi vdi nha dau tu nudc ngoai theo cac chuyen gia va nha dku tu thi tac dpng manh nhSt tdi su dich chuyen vdn giiia hai thi trudng la kha hgp li. Su thay ddi cac chinh sach ddi vdi nha dau tu nudc ngoai trong lmh vuc kinh doanh chiing khoan va BDS thdi gian gan day la mpt minh chiing.
5.2. Kit qud kiim dinh bdng mo hinh kinh ti luQng
Tac gia sii dung chi so gia bat dgng san tai thi trudng TP.HCM cung cap bdi cong ty Savills Vietnam tir quy 1/2009 din quy 3/2014. Chi sd gia thi tnrdng chiing khoan VN- Index thu thap tir Sd Giao dich Chung khoan TP.HCM cung thdi gian tren. Sd lieu thu thap gia TTCK dua tren so lieu binh quan cac ngay theo quy. Sau khi thu thap dil lieu, tac gia thuc hien kT thuat ndi suy de co dugc bd chi sd theo thang nham tang so quan sat de phan tfch tac ddng dilu chinh cua hai thi trudng khi vugt qua nguong. Vi viy, mau cuoi dua vao phan tich gom 69 quan sat ciia hai bi6n VNh va VNs.
B a n g l Thdng ke mo ta
BiSn VNh VNs
So quan sat 69 69
Trung binh 94,95436 467,7198
Do lech chuan 5,266945 73,92495
GT thip nhdt 88,61822 266,9537
GT cao nhat 105,5312 658,4428
Ngudn- Kgt qua ciia tac gia
Phan Thi Bich Nguyet & Pham Duotig Phucmg Thao, Tap chl Phfit tnin Kinh td, 27(5), 45-62
Nam 2006-2007 cd thl xem la giai doan tang trudng ndng ddi vdi TTCK VN va nha dau tu tham gia thi trudng dat dugc ti suat sinh lgi kha cao tii cac boat ddng dau ca tren TTCK. Dieu nay tao ra ngudn von thang du ldn chuyin dich sang thi trudng BDS tao dieu kien cho phan khiic cao cSp tren TTBDS tang trudng manh bat thudng va he qua tat yeu la tinh trang bong bdng bat ddng san va vao nam 2008. Vi vay, tac gia chpn giai doan 2009-2014 la khoang thdi gian cho mau nghien cihi, chi sd gia bat dpng san the hien xu hudng giam theo thdi gian. Mac dii chi sd TTCK ghi nhan trong mSu thap nhat vao nam 2009 nhung that ra chi so nay vao cudi nam 2009 dugc cac chuyen gia phan tich danh gia la da phuc hdi 57% so vdi cudi nam 2008 tuy vin cdn giam 46,28% so vdi dau nam 2008; dieu nay chung td theo thdi gian, xu hudng cua TTCK da di vao 6n dinh va phuc hdi dan sau khung hoang.
Kiem dinh ddng lien ket va ban chat cQa moi quan he
Ket qua kiem djnh tinh dimg cho thSy chudi VNh va VNs dimg tai sai phan bSc 1. Vi vay, tiep tuc tien hanh kiem dinh ddng Hen ket va viec tdn tai ngudng bang kiem dinh Seo (2006) vdi gia thilt Ho; Khong co dong lien kit giUa cac chudi thoi gian; va Hi:
Co dong liin kit vai ngudng.
Bang 2
Kit qua kilm dinh Seo (2006)
Test Statistic 11.79477 P-value (20 bootstrap) 0,0000 Critical values (bootstrap)'
90% 95% 97,5% 99%
11,79477 11,79477 11,79477 11,79477 Nguon: Kit qua ciia tac gia
Tai tit ca cac miic ^ nghTa, gia tri kilm djnh = gia tri tdi han ^ 11,79477 vdi p-value (20 bootstrap) = 0,0000. Vi vay, cd dii bSng chiing dl bac bd gia thiet Ho, tiic la giiia hai chuoi VNh va VNs cd ddng lien kit, hai dii trudng la cd quan he trong dai han.
Tac gia ciing thuc hien kilm dinh Hansen va Seo (2002) vdi gia thiet Ho: Co quan he tuyin tinh; va H i: Co ddng liin idt v&i nguong.
Phan Thi Bich Nguy?t & Pham Ducmg Phuong Thao Tap chi Ph^t tnen Kinh ti, 27(5), 45-62
Bang 3
Kit qua kilm dinh Hansen va Seo (2002)
value: 0,02 Test Statistic
Critical values (bootstrap).
90%
11.62832
14,59: 342
95%
12,45044
99%
15,1585 Nguon: Ket qua ciia tac gia
Tai miic y nghia 1%, gia tri kilm dinh (14,59342) < gia tri tdi ban (15,1585). Vi vay, gia thilt Ho bi bac bd, nghia la moi quan he giiia hai chudi VNh va VNs khong phai la tuyin tinh. Gia thilt Hi dugc chip nhan, nghTa la hai chuoi VNh va VNs cd dong Hen ket vdi ngudng.
Nhu vay, kit hgp kit qua hai kilm dinh Seo (2006) va kilm dinh Hansen va Seo (2002) cho thay hai chuoi chl sd gia dai dien cho hai thi trudng thl hien giiia chiing co mdi quan h& phi tuyen vdi do tin cay 99%.
Tu-ong qnan dai han giua TTCKva TTBDS
Ket qua ude lugng tir mo hinh TVECM the hien mdi quan he trong dai ban giiia hai thi trudng:
VNht = constant + 0,198394 VNsi+ ut
He so hoi quy trong phuang trinh tren cho thay TTCK va TTBDS cd mdi tuong quan duong trong dai han. Khi chi sd gia chiing khoan tang 1 diem thi chi sd gia bat dpng san Cling tang 0,198394, va ngugc lai khi chi sd ciia TTCK giam diem thi chi so cua TTBDS cung giam.
Ket qua phan tich ciing cho thay mau dii lieu dugc phan chia thanh 3 mien, the hien su bien ddi trong mdi quan he giiia hai thj trudng trong ngan han vdi hai gia tri nguong la:
Xo--9,716601 va Xo =-7,503655
Khi TTBDS cd bien dgng, vi TTCK ya TTBDS co quan he trong dai han nen TTCK phai dieu chinh trong ngin han theo moi quan he dai han do. Phuang trinh ECM se do ludng su bien ddi dieu chinh trong ngSn ban (Adjustment Speed) de duy tri moi quan he trong dai han nay. He sd ciia ECT cho bilt chiiu hudng va toe dd dieu chinh khi co su
Phan Th) Bich Nguy?! & Ph^an Duong Phuong Thao. Tpp chi Phit tridn Kinh ti, 27(5), 45-62 57
mat can bang xay ra d ki trudc dl quay trd lai mdi quan he can b5ng trong dai han. Hai gia tri ngudng Xo phan chia chudi dii lieu cua TTCK va TTBDS thanh 3 miln sau day:
Khi ECT <-9.716601 Phuang trinh ECM:
AVNh, = 0,0035 + 1,6162 AVNh,-i + 0,0027 AVNsi-i + 0,0061 ECT + eu (la) AVNs, -39,9731 + 0,5589 AVNsn -160,7356 AVNhn + 0,7012 ECT + Ea (2a)***
-9.71660KECK -7,503655 Phuang trinh ECM:
AVNh, =-0,7665 + 0,711 lAVNht-i + 0,0066 AVNst-i-0,0858 ECT +EI, (lb) AVNs, - 37,8701 + 0,2340 AVNSM - 6,5334 AVNh,.i + 4,4339 ECT + ejt (2b) Khi ECT >-7,503655
Phuang trinh ECM:
AVNh,--0,2849 + 0,6600 AVNh,.] + 0,0006 AVNs,.i + 0,0288 ECT +eit (Ic)***
AVNsi = -5,6575 + 0,8125 AVNSM + 0,2915 AVNh,.i + 0,7974 ECT + Eit (2c)***
Phuang trinh (la) cho thSy khi TTCK bien ddng thi TTBDS cd xu budng dilu chinh giam de quay trd Iai can bang dai han vdi TTCK. Tuong ty, phuang trinh (2a) cung cho thay TTCK dieu chinh giam khi TTBDS cd bien ddng xay ra. Tdc dp dilu chinh giam ciia TTCK dien ra manh me hon so vdi TTBDS. Trong mien nay thi cac he so ciia phuang trinh (2a) diu dat y nghia thong ke vdi dp tin cay 99%. Vi mdi quan he giiia hai thi tnrdng nay la phi tuyen nen khi ECT vugt qua ngudng, su bien dpng va tuong quan ciia chiing thay ddi. Phuang trinh (lb) cho thay khi TTCK bien dpng thi TTBDS dang thap hon gia tri can bang do dd cd xu hudng dilu chinh tang dk quay trd lai can bang dai ban vdi TTCK. Trong khi dd d phuang trinh (2b), TTCK cd xu hudng dieu chinh giam khi TTBDS cd bien ddng xay ra. Toe dp dieu chinh giam ciia TTCK dien ra manh me hon so vdi tdc dp dieu chinh tang ciia TTBDS. Ket qua nay tuang dong vdi nhan dinh cua Fu va cpng sir (1997) cho rang vdi moi thay ddi trong kinh te vT md thl thi trudng chung khoan du kien se bien ddng manh han va sdm ban so vdi thi trudng bat dpng san.
Phucmg trinh (1 c) va (2c) cho thay khi xay ra bien ddng d ki trudc la mat can bang thi mdi quan he giiia hai thi trudng lam cho TTCK va TTBDS deu cd xu hudng dieu chinh giam de quay trd lai can bang trong dai ban vdi nhau. Tdc do dieu chinh giam ciia TTCK khdng cdn manh me nhu trong cac mien trudc, tuy vay tdc do dieu chinh giam
Phan Thl Bich Nguyet & Phpm Duong Phuang Thao T?p chi Phat Irien Kmh 16,27(5), 45-62
Ciia TTCK vin cao ban so vdi tdc do dilu chinh giam TTBDS. Dac biet, miln nay chilm 71,6% s6 quan sat trong miu tiic la giai doan tCr dau nam 2013 cho din 2014 va hau hit cac he sd ciia ca hai phuong trinh (Ic) va (2c) diu dat y nghTa thing ke vdi do tin cay 99%.
Tdm lai, kit qua phan tich xae nhan TTCK va TTBDS VN cd mdi tuong quan duong vdi nhau trong dai han; va TTCK giii vai trd quylt dinh anh hudng den TTBDS. Quan he phi tuyin giiia hai thi trudng the hien trong ngan ban lam cbo cac thi trudng nay dieu chinh xu hudng dl quay vl can bang trong dai han. Ket qua cua md hinh kinh te lupng cung nhat quan vdi phan tich ciia nhdm tac gia ve thuc trang hai thi trudng chiing khoan va bat ddng san trong trudng hgp nghien cuu dien hinh TP.HCM. va tuong dong vdi lap luan va kit qua cua cac nghien ciiu trudc tren the gidi nhu Worzala va Vandell (1993), Teodora (2010).
6. Ket luan va g^i ^ chinh sach
Ket qua tu md hinh kinh te lugng cung nhu khao sat y kien chuyen gia cho thay TTCK va TTBDS VN cd mdi quan he hai chieu, the hien tuong quan duong trong dai han va TTCK gift vai trd quyet dinh anh hudng den TTBDS. Ben canh do, khao sat ciing cho thay cac nhan td kinh te vT md bao gdm GDP, lai suSt, lam phat, chinh sach tai khoa, chinh sach tien te, cac quy dinh phap luat lien quan den TTCK, ddng vdn qudc te, thj trudng tien te cd tac ddng TTCK va TTBDS; chi'nh sach kilm soat doi vdi nha dau tu nudc ngoai la nhan td tac dpng manh nhat tdi sir dich chuyen von giiia hai thi trudng.
Ngoai ra, kit qua tir md hinh TECM khing dinh sy t6n tai moi quan he ddng tich hpp giiia hai thi trudng. Tren co sd ket qua phan tich tren, tac gia de xuat cac goi y chinh sach ve giai phap sau day:
Boi vdi TTCK, Chinh phu tiep tuc xay dyng va hoan thi§n khung phap li ddng bd cho hoat ddng cua TTCK, tao hanh lang va moi trudng dau tu thdng thoang de thu hut cac nha dau tu nudc ngoai. Td chuc va dieu hanh TTCK theo diing chuan myc qudc te, dam bao tinh cdng khai va minh bach cua cac td chiic niem yet, nham bao ve quyen lgi chinh dang cua cac nha dau tu theo tinh than cua Luat Chiing khoan, nang cao nang lyc quan ll va giam sat TTCK. Tang cuong quan li cac hoat dgng cua td chuc trung gian nhung giam su can thiep qua sau cua Chi'nh phu vao TTCK, giam bdt su phu thudc vao he thong ngan hang, tang vai trd ciia thj trudng von trong nen kinh te, khuyen khich nha dau tu chuyen nghiep va dau tu dai ban tham gia TTCK, tao diSu kien tdi uu cho cac nguon von
Phan Th) Bich Nguy?t & Pham Duang Phuong Thao T?p chi Phai IriSn Kmh ll, 27(5), 45-62
dai ban trong xa hdi tham gia thj trudng theo md hinh cac nudc cd thi trudng phat trien.
Trien khai thuc hien de an ca cau lai va phat trien cac Sd Giao dich Chiing khoan, cac cdng ty chiing khoan, he thdng luu ki, thanh toan bii trir chiing khoan; tiep tuc nang cao nang lyc hoat dpng cua cac trung gian tai chinh.
Dot vdi TTBDS, hoan thien he thdng van ban quy pham phap luat ve dau tu, dat dai, xay dung, kinh doanh bat ddng san va nha d; tao ca sd phap li thong nhSt cho TTBDS phat trien dn dinh, cho hang hda bSt dpng san dugc giao djch thuan lgi, cdng khai, minh bach. Chinh phu thuc hien quan li thi trudng bang cdng cu phap luat, chii dpng dieu tiet TTBDS vdi tu each dai dien chu sd hiiu dat dai, thdng qua viec dieu tiet ngudn cung tren thi trudng quyen sir dung dat so ckp va sii' dung linh hoat cac chinh sach thui. Tai ca cau TTBDS, phat trien da dang cac loai hang hda bat dpng san, nhat la nha d phu hgp vdi nhu cau va kha nang chi tra cua timg nhdm ddi tugng trong xa hpi, khic phuc tinh trang lech pha cung - cau trong phat trien nha d. Thu hiit vdn dau tir FDI cho TTBDS va nang cao hieu qua sir dung vdn FDI. Hinh thanh he thdng TTBDS ddng bp, thong nhkt va Hen thdng vdi cac thj trudng khac dac biet la TTCK.
Doi v&i TP.HCM, can sdm ban hanh bp dir lieu thdng tin co sd ve TTBDS de phan tich that ro cac yeu td ve ngudn cung - cau, cd thu thap rd cac sd lieu ve ngudn cung d timg phan khiic tii binh dan den cao cap va ca thi trudng nha d cho thue. Tii dd, giiip dinh hinh dugc qua trinh phat trien ciia thi trudng. Cac quy dinh ve gia BDS cung can dugc hoach dinh sao cho phii hgp vdi quy luat ve gia tri dat, quy luat canh tranh va cung - cau tren thi tnrdng. Tang cudng vai tro quan Ii cua Thanh phd trong khai thac va sit dung cd hieu qua ngudn lyc dat dai, kiem soat ngudn cung dat dai cho thi trudng so cap thong qua viec giao dat, cho thue dat, chuyen ddi muc dich sir dung dat, cung nhu chii ddng dieu tiet gia bat ddng san thdng qua cac co che dinh gia, thue, phi va le phi lien quan den bat ddng san.
Nghien ciiu nay khang dinh su tdn tai mdi quan he tuong tac lln nhau giira hai thi trudng cung cd y nghTa ldn ddi vdi cac thanh vien tham gia d ca hai thi trudng. Nha dau tu tham gia dii tren thi trudng nao cung can cac cdng cu de nhan dien, danh gia tinh hinh thj trudng qua cac kenh thdng tin khi dua ra quylt dinh dau tu. Mgt sy thay ddi d thi trudng nay co thl la tin hieu dl danh gia thi trudng kia va ngugc lai. Can hoan thien ca cau td chiic va nang cao nang luc cac chu the tham gia thi trudng, dac biet la cac doanh nghiep dku tu kinh doanh bat dpng san, he thdng mdi gjdi, dinh gia bat dpng san va san
Phan Tht Bich Nguyet & Pham Duong Phucmg Thao Tap chi Phfit triSn Kinh ta, 27(5). 45-62
giao dich bat d d n g san, bao dam tbi t r u d n g hoat d p n g m d t each lanh m a n h va chuyen ngbiepB
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