Bang chiing hieu urng nguoc vj the tqi Viet Nam thong qua phan tich sinh ton'
PHAN TRAN TRUNG DONG NGXJYfiN QUANG LQC
j ghien edu nay chiing minh sij ton tai ciia hieu Ung nguijc vi the ddi vdi cac nha dau tiX ca nhan tai VietNam, mgt hieu Ung ve hanh vi trong do nha dau tt/ co xu hiiUng cat id mugn va cit lai sdm, hay noi each Ichac, hg co xu hiidng miin cudng, tri hoan cat 16 nhiing hao hiing chot lai. Giong nhU da so thien lech hanh vi Jchac, hieu lingngi/dc vi the co xu hiidng tang manh ddi vdi cac thi triidng thudng xuyen bien dgng manh, do do nhdm nghien ciiu mong muon tim hieu hieu iing nay tren thi truang ch ling khoan Viet Nam, nham cung cap mgt cd sd ly giai cho hanh vi cua nha dau tU ca nhan Viet Nam. Thay vi sii dungphiidngphap truyen thd'ng cua Odean (1988), nghien cUu sii dgng ham phan tich sinh tdn va md hinh hdi quy logistic nhi bien vdi nhieu liu diem noi trgi Ket qua nghien cUu cho thay cd sii tdn tai cua hieu ling ngtidc vi the tai Viet Nam.
TU khoa; tai chinh hanh vi, hieu iing ngiidc vi the, phan tich sinh ton, hoi quy logistic nhi bien.
1. Gi6i t h i e u
Trong cac thien lech tJilOc n h i c t6i trong tai chinh h a n h vi, co k h a nhieu nghien cijtu da tim hieu cac bfing chiing cho sU ton tai cl cac quoc gia khac n h a u va thoi diem khac n h a u . Trong p h a m vi cua nghien ciiu nay, thien lech h a n h vi cu t h e dUclc nhom tac gia quan tam t6i la sii m i l n cUOng cat 16 va k h u y n h hu6ng chot lai, mot h a n h vi con duoc biet tai vfli ten goi Hieu Clng ngUOc vi t h e (disposition effect). Nghien cflu ducic thiic day bcli q u a n diem ciia Odean (1998) cho rang; "Hieu iing ngUcfc vi the la mot minh chiing cho viec md rong nghien ciiu ve thuyet trien vong ciia K a h n e m a n va Tversky (1979) sang Hnh viic dau tU tai chinh. Til do, nghien cilu n a y gop p h a n u n g ho quan diem ciia trUOng phai Tai chinh h a n h vi, k h a n g dinh; "Nha dSu ti! khong p h a i luon dUa r a quyet dinh nhSm toi da hoa dp thoa dung ky vpng clla minh".
Da CO nhieu cong t r i n h ve hieu ling ngUpc vi the trong hai t h a p ky viia qua.
Theo do, hieu ling ngUdc vi the da dupe
chiing minh co a n h hiiSng tdi cac n h a dau tu ca nhan, hp gia dinh, t h a m chi cac n h a quan ly danh muc d a u t u chuyen nghiep, dinh che tai chinh... Trong mot nghien ciiu ciia Grinblatt va Keloharju (2001), hieu iing nguac vi the da dupe chiing minh ton tai d ca nam nhom n h a d a u tU: cac t a p doan phi tiii chinh, cac dinh che tai chinh va bao hiem, cac CO quan n h a niidc, cac to chile phi Ipi n h u a n va ho gia dinh. D l chiing minh cho su t^n tai ciia hieu ilng ngUdc V, the tren thi trUclng c h i i n g ' k h o a n Viet Nam, nghien cilu nay phan tich dfl h e u va tim hieu ve hieu iing nguoc vi the' cua cac n h a dau t u tren thi truong chimg khoan Viet N a m . Ket hpp Phuong ph p h i quy logistic nM bi^n va phan t i c r s i n h t t da cung cap 4 ldi the chinh cho nghii
la; hien cifu
Phan Trin Trang Dung, TS . Ngiiyf„ Q
hpc Ngoai thuong. '
* Bai viet thuoc khuon kh6 tie tii „ L.
hoc cap b6, Bo Giao due va dao tao ma 02.
'ang U c , Dai
ciiu khoa
°W019-NTH-
36 Nghien eiiu Kinh te 5610(497^7
Bang chiifng hieu iirng ngirac
(i) m6t mo hinh thd'ng ke khoang thdi gian cac c6 phieu thtictng diidc giQ trong d a n h miic dau tut. Trong nghien ciiu nay, mo h i n h thong ke da chi r a xac suat b a n cd phieu t h a y ddi theo th&i gian; (ii) t a n dting diia vao p h a n tich ca nhtJng ngay n h a dau tU chi ddn t h u a n giQ cd phieu ma khong co lenh giao dich; (iii) cung ca'p mot each hieu ve he so' cua mo hinh hdi quy logistic nhi bien dttdc stt dting, lien he n6 v6i xac suSft de b a n cd phieu, ddng thdi 1^ giai sti thay ddi cua xac suli't nay do sti thay ddi cila bien phii thu6c (bien nhi p h a n TLI, TGI...); (iv) phiidng p h a p nay do do co mot so tiu di^m so v6i phildng p h a p truyen thdng cua Odean. ThQ nhat, phtidng p h a p cua Odean chi quan t a m den ngay m u a va ban nhiing khong de ;^ t6i lich s^ tang, giam gia cua cd phieu va quyet dinh tUdng Qng ciia nha dau tti trong khoang thdi gian n a m giQa ngay mua va ngay ban. ThQ hai, khi sv( dijng di phan tich hieu Qng cf cap do ca nhan, phiidng phap cua Odean con gap mot van di nQa khi nhieu ca n h a n chi b a n cd phieu khi lai hoac chi ban cd phieu khi l6, ngn ket qua do dlidc CO kha nSng khong t h e la bien trdn va lien tiic diidc.
2. Ca sd ly t h u y g t
NghiSn cQu cua Terrance Odean (1998) la nghien cQu dinh lifdng d a u tien sQ dung so'
li§u thtic te v6i kich thvl6c m i u so' lieu tiidng do'i 16n dlidc cung c^'p bcli mot cong ty moi gidi chQng khoan. Cti the, nghien cQu sQ dung bo dQ lieu cua 10000 tai khoan tQ mot cong ty moi gidi chQng khoan Idn tai My trong khoang thcii gian tQ nam 1987 den nam 1993. Quan trong hdn, Odean (1998) da phat trien mot phiidng phap di do liicing hieu Qng ngiidc vi the, sau do no da diidc sQ dting rong r a i trong nhieu nghien cQu. Theo phtidng phap nay, Odean tien h a n h phan loai cac vi the cd phieu t h a n h 4 loai: (1) co phieu diidc b a n lai, (2) co phieu bi ban 16, (3) co phieu dlidc giQ lai va dang lai, (4) co phieu diidc giQ lai va dang 16. O day, gia t h a m chieu de xac dinh lai, lo la gia m u a vao trung binh cua co phieu. TQ do, Odean lan liidt tinh diidc lai thiic, lo thiic, lai danh nghia va lo danh nghia. Tdng lai thiic va lai danh nghia the hien tdng iQdng lai co the difdc nh^n thay hbi n h a dau tti. Tiidng tii, tong 16 thiic va 16 danh nghia cho t a tdng lUdng lo ma n h a ddu tii co the phai chiu. Sau do, ong tien h a n h so sanh liidng lai thiic t r e n tong iQdng lai co the dQdc n h a n tha'y hbi n h a dau tU, tQdng tii doi vdi lo, Sau khi t i n h boh gia tri nay cua tQng n h a dau tQ, Odean tinh tong t r e n ta't ca n h a d l u tii va ta't ca ngay giao dich, sau do sQ dung chiing de lap cac ti so:
L2i thyc hi^n U ! tfau-c hi?n + U i danh n^Ta
LS thvc hi$n L 5 thyc hi^n -I- L 5 danh nghTa
= T;^ le iai thyx iiien (PGR)
= T^lflSthM-chi^nCPLR)
Hieu giQa PGR va PLR cho biet mot n h a dau tu trung binh s i n sang chot lai hdn h a y cat 16 hdn. D§' chQng minh tdn tai hiSu Qng ngiidc vi the, Odean va cac n h a nghien cQu khac cung ap dung phiidng p h a p nay kiem dinh gia thuyet PGR Idn hdn PLR. Theo ket qua nghien cQu cua Odean, PGR cua mpt nh& d i u tii t r u n g binh la 14,8%, trong khi do PLR chi dat 9,8%, p h a n a n h cac n h a d l u tii quyet dinh cho't lai vdi k h a n a n g cao hdn 50%
so vdi quy^t dinh cat 16.
Da so' cac nghien cQu ve hieu Qng ngQdc vi t h e v a n sQ d u n g phQdng p h a p cua Odean cho tdi n a m 2001, k h i S h a p i r a va Venezia (2001) s^ dung mot each tiep can hoan toan khac de kiem dinh hieu Qng ngiidc vi the.
PhQdng p h a p nay dQdc phat trien dQa tren nghien cQu cua Schlarbaum, Lewellen va Lease (1978), trong do thQdc do cho hieu Qng ngiidc vi the chinh la thdi gian t r u n g binh nkm giQ cd phieu lai va cd phieu 16 (winner va loser). Nhom nghien cQu loc tQ dQ lieu giao
A^/itfn ciiu Kinh tSsS 10(497) - Thing 10/2019 37
Bang chiing hieu ilfng nguoc ,
dich cac "round trip" (dUdc dinh nghia la nhQng giao dich trong do co mot hoac nhieu lan mua va mot hoac nhieu lan ban sau do, sao cho den cuoi "round trip", khach hang c6 vi the cua cd phieu do bang khong). Do dai cua mot "round trip" dUdc tinh bang trung binh cua thdi gian tQ khi mua vao cd phieu lan thQ nhat den khi ban, mua vao cd phieu lan thQ hai den khi ban... De kiem dinh hieu Qng ngiidc vi the, Shapira va Venezia (2001) da diia ra gia thuyet do dai cua "round trip"
Id 16n hdn so vdi do dai cua "round trip" lai.
Theo ket qua nghien cQu, do dai trung binh cua mot "round trip" 16 la 55,42 do'i v6i nha dau tii CO tai khoan dQdc quan ly bcii cac chuyen gia va 63,27 doi vdi cac nha dau tU ca nhan; trong khi do, do dai t m n g binh cua mot
"round trip" lai lan liidt la 24,84 va 20,24 ddi vdi hai nhom nha dau tu nhu tren. Ket qua nay cho phep chung ta chap nhan gia thuyet hieu Qng ngiidc vi the c6 ton tai.
Khac vdi hai hUdng tiep can tren, Grinblatt va Keloharju (2001) da dUa ra mot phUdng phap ddn gian hdn, k h i c phuc dUdc mot sd ban che trong phUdng phap truyen thdng cua Odean (1998), sQ dung mo hinh hdi quy logistic nhi hiin cua chi sd ban, giQ doi vdi chi sd giao dich lai, lo va nhieu bien dieu khien khac. Theo do, bien phu thuoc la mot bien nhi phan, n h a n gia tri bang 1 neu ban cd phieu va bang 0 neu giQ cd phieu. Bien doc lap la cac bien lien quan den giao dich 16 (chi sd b&ng 1 neu giao dich id va bang 0 trong trUdng hdp con lai). He sdcua chi so'giao dich 16 (hoac lai) neu nho (hoac Idn) hdn gia tri mot cho thay nha dau tU co (hoac khong ^c6) m i i n cU3ng do'i vdi viec chot lo, tQ d6 khang dinh hieu Qng ngUdc vi the c6 tdn tai. Phiidng phap nay da dUdc ap dung bcJi Lei Feng va Seasholes (2005).
Ngoai viec sQ dting cac phUdng phap nghien cQu khac nhau de kiem dinh sti ton tai cua hieu Qng ngUdc vi the, cac cong trinh nghien cQu con tim hieu ve cac yeu td anh hudng den hieu Qng ngUdc vi the. Dhar va Zhu (2006) dua vao kinh te hoc thUc n g h i | m
va Cd che tii sQa da dat r a gia thuyet rang, s^
phQc tap cua n h a dau t u ve thi trUdng ^tai chinh va kinh nghiem giao dich da anh h\i(ing den hieu Qng ngUdc vi the b ca'p do ca nhan.
Cac proxy duoc Itia chon de dai dien cho sQ phQc tap ctia nha dau t u bao gdm: thu nhap, nghe nghiep, tudi tac va t a n sua't giao dich.
Nguyen DQc Hien va cong sU (2012) cung tim hieu ve moi lien he giiia hieu Qng ngUdc vi the va cac dac diem cua nha dau tU dUdc the hien qua: t i n sua't giao dich, gia tri tai khoan hay tai san va do da dang danh miic dau tU.
Ben canh do, khdng chi dOng lai cf cac nha dau tu ca nhan, nhieu nghien cQu con cung ca'p cac bang chQng thiic nghiem khang dinh vai tro ciia hieu Qng ngUdc vi the b cap do thi tnidng, trong do phai ke tdi nghien cQu ciia Massimo va William (2008). Mot sd nghien cQu md rong doi tUdng nghien cQu tdi cac nhom nha dau tU khac. Shapira va Venezia (2001) so sanh hieu Qng ngUdc vi the b cac nha dau tu ca n h a n va cac n h a dau tU dUdc tU va'n hdi nha moi gidi chuyen nghi6p. Theo do, ho nhan tha'y sii khac biet ro r e t trong hanh vi cua hai nhom n h a d l u tU nay, ve ca t i n suat giao dich, khdi lUdng giao dich va kha nang sinh ldi. Grinblatt va Keloharju (2001) cung da phat hien bang chQng ro ret cua hieu Qng ngudc vi the ddi vdi cac nhom n h a dau tU khac nhau: cac tap doan phi tai chi'nh, cac dmh che tai chinh va bao hi^m, cac cd quan nha nudc, cac td chQc phi loi nhuan va ho gia dmh. Trong do, nhom cac nha d l u tU dUdc danh gia phQc tap hon bao g6m cac tap doan phi tai chinh va cac dinh che' tai chinh, bao hiem cac lo.i con lai n i m trong nhdm it phQc tap, tmh VI bang.
Ngoai ra, hieu Ung nguoc vi the' da diloc c M n g minh co t6n t , i d rft nhilu thi , u S chung khoan tren the gi6i r • • ">*
Keloharju (2001) nghien Tiji vl I v f - ™ chiing khoan P h i n Lan tv, thang 12 ? , „ ™ " ^ thang 1-1997. Tai thi truong ' h t l v t Trung Quoc, Lei Feng va Mark ^ ^ ° ^ "
(2005) m i l n cUflng khi phai cit jg^^^'^o'es ket -luan cac n h a dau tu Trun„ r. • '^™^
38 ™"9 W/2019
Bang chiing higu iing nguffc ..
phai thien 16ch qua tti tin va thien lech dai dien, ddng thdi cac n h a dau tQ ca n h a n p h a i ganh chiu tQ cac thien lech t a m ly nay n h i e u hdn so vdi cac quy, dinh che d l u tU. Istvan Joo (2012) da tim tha'y hieu Qng ngUdc vi the tai thi trUdng Hungary. S h a p i r a va Venezia (2001) sQ dung dQ lieu tQ c6ng ty moi gidi cua Israel cung di den k e t luan:
"nhom tac gia chQng minh dUdc ca n h a dau tu chuyen nghiep l l n ca n h a n deu cho tha'y hieu Qng ngUdc vi thd, tuy hidu Qng nay manh hdn d cac n h a d a u t u ca nhan". Brown va c6ng sQ (2003) khdng chi chQng minh dUdc hieu Qng ngUdc vi the' cd tdn tai t r e n thi trUdng chting khoan uc ma cdn p h a t hien dUdc hieu Qng nay se khdng con nQa sau 200 ngay nam giQ c6 phieu, t h e m vao do, hieu Qng tien nha cai va cac chUdng t n n h nhltm lam tang sii t r u n g t h a n h cua cd dong cd the lam giam hi&u Qng ngUdc vi the.
3 . Phtfofng p h a p n g h i e n cuhi 3.1, Cap gid thuyet
Cap gia thuyat 1 chQng minh sQ tdn tai hieu Qng ngUdc vi the tren mien lo - chot Id muon:
Ho: Hazard ratio > hoac = 1 doi vdi cac quan sat co bien TLI bang 1 neu 16 va bang 0 neu lai.
Hi: Hazard ratio < 1 dd'i vdi cac quan sat CO bien TLI bang 1 neu 16 va bang 0 ndu lai
Cap gia thuyet 1 nay cung cd t h e dUdc viet lai nhu sau:
Ho: Khong cd sii khac biet giQa h a m nguy cd khi ban cd phieu 16 va h a m nguy cd t r u n g binh cua ta't ca cac cd phieu.
Hi: Nguy cd b a n cua cd phieu 16 tha'p hdn so vdi nguy cd bi b a n cua m6t cd phieu t r u n g binh.
Cap gia thuydt 2 chQng minh sii tdn tai hi$u Qng ngUdc vi the t r e n mien lai - cat lai sdm:
Ho: Hazard ratio > hoac = 1 do'i vdi cac quan sat CO bien TGI b i n g 1 neu lai va bang 0 ndu lo.
Hi: Hazard ratio < 1 doi vdi cac quan sat CO bien TGI bang 1 neu lai va b i n g 0 n e u 16
Cap gia thuyet 2 nay cung cd the dUdc viet lai n h u sau:
Ho: Khong cd sU khac biet giQa h a m nguy cd khi b a n co phieu lai va ham nguy cd trung binh cua t a t ca cac cd phieu
Hi: Nguy cd b a n cua cd phieu lai cao hdn so vdi nguy cd hi ban cua mot co phieu trung binh
3.2. Chu gidi bien
Hazard ratio (ty s6' nguy cd) co cong thQc n h u sau:
h ( t p , X , Z t = l )
^ ^ ^ ^ " ^ ' ° ^ ^ > = h ( t , p . X , Z , - 0 ) Ty so' nguy cd cua h§ so' la sti t h a y ddi t r o n g ty le n g u y cd khi bie'n doc lap chuydn tQ 0 s a n g 1. Ndi each khac, khi bien doc lap t h a y ddi tQ 0 s a n g 1 (tQ t r a n g t h a i khong 16 s a n g t r a n g t h d i lo hoac tQ t r a n g t h a i k h o n g lai s a n g t r a n g t h a i lai) t h i lam t a n g ty le b a n cd phieu thgm bao nhieu lan, t r o n g didu kien h a m ddn bidn hoac giQ cac bien doc l a p k h a c kh6ng doi. Ve m a t y n g h i a k i n h te', h a i cap gia t h u y e t n a y ddng n g h i a vdi vi6c n h a d l u tU c6 it k h a n a n g b a n CO phie'u va cha'p n h a n mot khoan 16 hdn k h a n a n g ma dudng nguy cd tho'ng ke chi ra, va n h a d l u tU co n h i l u k h a n a n g b a n cd phiS'u va cd dUdc mot k h o a n lai hdn k h a n a n g ma dUdng nguy cd tho'ng ke chi r a .
Hai chi so' q u a n trong trong nghien cQu la TLI va TGI. TLI (Trading Loss Indicator) h a y chi s6' giao dich 16 la mot bien nhi p h a n cd gia tri b i n g 1 ndu cd phie'u vao ngay do lo thiic hoac lo d a n h nghia, b i n g 0 trong t r u d n g hdp cdn lai. TGI (Trading Gain Indicator) h a y chi so giao dich lai la mot bien nhi p h a n c6 gia tri b a n g 1 n e u co phieu vao ngay do lai thiic hoac lai d a n h nghia, b i n g 0 trong trUdng hdp con lai. Ca h a i chi so nay deu bien ddi lien tuc theo thdi gian, vi mot co phie'u cd t h e la lo vao ngay n a y nhUng chua c h i c tie'p tuc 16 vao n g a y tiep theo tuy thuoc vao didn bie'n gia. T u y nhien, dieu chac
Nghiin eOu Kinh tes6l0(437) • Thing 10/2019 39
Bang chAng hieu ung nguoc ...
chan la TGI va TLI k h o n g t h e cung dUdc dUa vao mot mo h i n h nao vi mot cd phie'u chi cd t h e dUdc xdc dinh la lai hoac 16 (TLI = 1 hoac TGI = 1).
3.3. Hdm sinh ton vd hdm nguy cd PhUdng p h a p p h a n tich sinh tdn giup nhdm tac gia dUa r a mot mo hinh tho'ng ke de mo t a thdi gian n h a d a u t u t r u n g binh giQ mot CO phidu trong d a n h muc trUdc khi b a n di. Nhom t a c gia gia dinh nhUng l a n mua cd phieu vao (sau l a n m u a d l u tien) dUdc coi la n h a d a u tU dang giQ co phieu.
Nhom tac gia tim gia t r i cua bien Thdi gian sinh tdn (Position failure time), dUdc tinh b i n g thdi gian tQ k h i cd phie'u dUdc m u a vao den khi b a n r a lan d l u tien. Nhom t a c gia cho r a n g dieu nay se lam ddn gian hda dQ lieu de ap diing p h a n tich sinh t6n, trong khi v i n hdp ly ve m a t kinh te' trong trUdng hdp n h a d l u t u tach t h a n h nhieu l a n giao dich, vi nhdm tac gia chi quan tam den dieu kien gay r a lan b a n dau tien. Ham sinh ton bang mot trQ h a m p h a n phd'i tich luy cua thdi gian sinh ton, cong thQc cu the nhU sau:
F(t) = J j f ( s ) d s = Prob(T < t ] S(t) = 1 - F(t) = P r c b ( T ^ t ) P h a n tich sinh tdn gan lien vdi ty le nguy cd. Ham nguy cd tho'ng ke hoan toan cd the xac dinh dUdc dUa vao h a m sinh tdn tho'ng ke. Vao mdi ngay t s a u k h i co phieu dUdc mua vao, dtia vao ham sinh ton tho'ng ke, nhdm tac gia tinh xac sua't de c6 phie'u ton tai tQ ngay mua vao tdi ngay t — 1 va tiep tuc "sinh tdn" trong danh muc dau tU vao ngay t. TQ dd, gia t r i cua ti le nguy cd vao ngay t bang mot trQ xac sua't ke tren va dUdc hieu la xac sua't de cd phieu bi ban vao ngay t vdi dieu kien nd "sinh tdn" trong danh muc den ngay t — 1.
h ( t ) = . i m . . „ « S = I | (2) Thay vi sQ dung h a m p h a n ph6'i mu, nhdm t a c gia iQa chon h a m phan phd'i
Weibull de bieu d i l n h a m smh tdn va ham ti lg nguy cd de n i m b i t dUdc sU thay ddi khdng cd dinh (non-constant) cua hai ham nay. Ham p h a n phdi Weibull vdi tham so p va hang so' tich p h a n A:
f ( t ) = p A t P - ^ e x p ( - A t P ) S(t) = exp ( - AtP) (3)
h ( t ) = p A t P - ^
3.4. Mo hinh hoi quy logistic nhi bien
Gio'ng vdi hdi quy logistic nhi bien, nhdm tac gia ap diang mo hinh hoi quy vdi chi s6 ban/giQ phu thuoc vao ham nguy cd th6'ng ke va cac bien doc lap khac, Nghien cQu nay quy udc dang h a m hdi quy nay b cdng thQc (4). Cac bie'n d ve' phai co the la hang s6' hoac khong, va dai dien cho cac dac diem cua tQng n h a dau tU, cua tQng co phieu va thi trUdng.
h(t,p,X,Z,) = pAt'-'exp(xp + Z,Y+e,) (4) 4 . D a l i e u
Nghien ci3u nay sii dung da lieu ci cap do tai khoan giao dich tai cong ty chiing khoan tai tro dii lieu cho nhom tac gia, dUdc lay dudi sU cho phep ciia cong ty va loc bo hoan toan cac dU lieu ca nhan cua khach hang de dam bao tinh bao mat thong tin khach hang nhung v&n chiia day du cac thong tin can thiet CO the h6 trfl nghien cilu. Dudi phuong phap loc nhu vay, nhdm nghien eiiu da nhan duoc bo dii lieu bao gom thong tin ve giao dich va nam giQ co phie'u cua 78 tai khoan hay 78 nha dau t u vdi thai gian nghien ciiu la 1 nam giao dich (til ngay 1-1 den ngay 31- 12-2018). Mdi ghi chep ve tai khoan bao gam:
ma so nhan dang tai khoan cua nha dau tu ngay giao dich, ma co phieu, chi so ban, mua' gia giao dich, so lugng co phieu giao dich cua nha dau tu. Bp dQ lieu nay co t a t ca 5593 quart sat ting vdi tilng t a i khoan, tQng co phieu, titng ngay va dudc loc theo dung thii tu nay.
40 A/gWen ciiu Kmh tes6 10(497). Th^n^,
Bang chiirng hieu ufng ngugc ...
Nghien cQu n a y t a p t r u n g vao vi t h e gia len (long position), b i t d a u b i n g viec m u a vao cd phieu va k e t t h u c khi so' du co phie'u do trd ve b i n g khong, vi t h e cd t h e chi gdm mot lan m u a va mot l l n ban, cung c6 t h e hi tach r a t h a n h n h i e u l l n giao dich. Thdi gian nam giQ t r u n g b i n h cua cac n h a d l u tu thuoc m l u nghien cQu la 35,33 ngay, thdi gian ke tQ khi m u a vao tdi l a n b a n d l u tien la 34 ngay. M l u dQ lieu nay cd ta't ca 235 vi the, tUdng dUdng vdi viec mot n h a dau t u t r u n g binh cd k h o a n g 3,01 vi the, nhan vdi khoang thdi gian n i m giQ t r u n g binh la 35,33 ngay, cho nhom tac gia ket qua g i n 5593 quan s a t t r o n g m a u nghien cQu nay.
Viec xac dinh lai, 16 d6'i vdi moi ngay nam giQ va giao dich cd a n h hUdng quyet dinh tdi viec xac dinh TLI va TGI. Moi ngay ke tQ khi n h a d a u tU m u a vao cd phieu, nhdm tac gia so s a n h gia tUdng Qng cua ngay do vdi gia t h a m chieu de xac dinh lai, 16. Gia t h a m chie'u dUdc nhdm tac gia Ilia chon la gia m u a vao binh q u a n trong so', vdi trpng so' la s6' co p h i e u dUdc m u a vao. Ngoai gia m u a vao binh q u a n t r o n g so', gia mua vao dau tien, gia m u a vao cao nha't, gia mua vao t r u n g binh cung cd t h e dUdc dung lam gia t h a m chie'u. Vao nhQng B A N G l :
ngay cd giao dich ban, lai h a y Id dUdc xac dinh b a n g each so s a n h gia b a n ra vdi gia t h a m chie'u. Vao nhQng ngay giQ cd phieu (khdng cd giao dich ban), nhdm tac gia tien h a n h so s a n h gia t h a m chieu vdi mQc gia cao nha't va tha'p nha't cua cd phieu vao ngay hdm ay. Neu gia tha'p nha't trong ngay cua cd phie'u dd Idn hdn gia t h a m chieu, nd duoc t i n h la lai d a n h nghia (ndi each khac, n h a d l u t u da cd t h e b a n lai tai moi thdi diim trong ngay). Neu gia cao nha't trong ngay cua cd phieu dd nho hdn gia t h a m chieu, nd dUdc t i n h la Id danh nghia (ndi each khac, n h a d l u tU da cd k h a nang ban 16 tai moi thdi diem trong ngay).
5 . Ket q u a n g h i e n ciiu
5.1. Bleu dien hdm Phdn tich sinh ton (Survival Analysis) cua cdc nhom bien gidi thich
Cau hdi bat ngudn cua nghien cQu nay la kiem dinh moi lien he giQa viec co phie'u lai hay 16 a n h hudng den thdi gian nam giQ co phie'u cua n h a d l u tu. De t r a ldi cau hoi nay n e u chi sQ dung p h a n tich sinh tdn, nhdm tac gia muo'n so sanh tUdng quan giQa h a m song sdt cua c6 phie'u lai va c6 phie'u kh6ng lai, giQa h a m song sdt cua cd phie^u Id va cd phieu khdng 16.
Mo t a b i e n
Bign to
t Lai
L6 X
M6 ta bi^n
Thdi gian bat dlu quan sat bien cd Thdi gian kSt thiic quan sat bidn c6'
Trang thai cua bien co' (bing 1 ndu cd phiS'u trong quan sal dang lai, bing 0 trong cac trudng hop con lai)
Trang thai cua bidn co' (bing 1 neu cd phidu trong quan sat dang 16, bang 0 trong cac trudng hgp con lai)
Trang thai ban/ giu cua cd phieii (bing 1 ndu ban, bing 0 neii giQ) Ngudn: Nhom tac gia.
Hinh 1 bieu dien ham sinh tdn tho'ng ke cua thay dudi 10% cua ta't ca vi thd co phieu dUdc thdi gian n i m giQ co phie'u. Theo Mnh 1, cd the n i m giQ trong danh muc dau tu nhieu hdn 50
NghiSn ciiu Kinh tes610(497) - Thing 10/2019 4 1
Bang chung hifu iing nguoc ..,
ngay, va dUdi 20% cac vi the cd phieu dUdc nam giQ trong danh muc dau t u nhieu hdn 25 ngay- HINH 1: H a m s i n h t o n tho'ng k e
Ngudn:t^6m tac gia.
Hinh 2 va hinh 3 bieu d i l n ham phan tich sinh tdn vdi thdi gian sinh ton Qng vdi hai nhdm dQ lieu tach bi$t sau: nhdm ban co phieu dat lai va nhdm b a n cd phieu bi Id;
dudng bieu dien h a m sinh tdn Qng vdi nhdm b a n cd phie'u bi 16 n i m t r e n dQdng bieu didn
ham sinh tdn Qng vdi nhom b a n cd phieu cd lai. Noi each khac, nhdm bdn co phieu bi Id cd thdi gian n i m giQ cd phie'u cho tdi lan ban d l u tien (thdi gian sinh tdn) dai hdn so vdi nhdm ban cd phie'u dat lai khi xet b cung mot gia tri xac sua't ban co phie'u.
H I N H 2: H a m s i n h t d n t h o n g k e Qng vdi n h o m cd p h i e u d a t l a i
Ngudn J^om tac gia
42 Nghiin c&i Kinh ti'sff 10(497JT^—
Bang chiifng hieu ung ngugic ..
HINH 3: Ham sinh ton thong ke iing vcli nhom co phieu bi 16
I.OO
5 •
i - S-
s..
S A q u a n s d t « nAtrt g i & c d
L 3 =» 1 LE 0 a n i d u S07 2 8
1 0 0
3 1 6
Lai=1
2 C O 3 0 0 T h o ' i g i a n p h d n t f c h
O O 6 2 - L6 = O L« = 1 1
4 0 O
O O
Ngudn: Nhom t5c g
TQ hinh 2 va hinh 3 nhan thSy rang, cd phie'u lai dUdc chdt sdm hdn so vdi cac cac cd phieu khdng lai. Trong khi do, du khac biet khong qua Idn nhUng cac cd phie'u 16 v i n dUdc cat s6m hdn so vdi cac cd phidu khong 16, dac biet khi thdi gian nam giQ co phieu rdi vao khoang tren 50 ngay thi xu hUdng nay cang rd rang. Ket qua nay cd the dUdc giai thich bdi ly do: hieu Qng ngUdc vi the' ddi vdi cac cd phieu cho't lai sdm (trong thdi gian ngin) se dUdc the hien ro trong khoang nQa dau cua thdi gian phan tich, trong khi hieu Qng nay do'i vdi cac co phieu cit Id muon (trong thdi gian ddi) the hien ro trong nQa sau cua thdi gian phan tich.
Nhdm tac gia kiem dinh lieu nha d l u tU trong m l u nghien cQu cd hay khdng tam ly mien cUdng ban co phie'u khi tinh trung binh.
De thiic hien kiem dinh nay, nhdm tac gia Udc lUdng m6 hinh nguy cd trong cong thQc (3).
Bien d vd ben trai la mot chi so' b i n g 0 vao mdi ngay nha dau t u nam giQ vi the cd phieu va bang 1 neii nha dau t u ban cd phie'u dd. Bie'n duy nha't 5 ve ben phai tinh den thdi diem nay la bien TLI (chi sd ban 16). Nhdm tac gia ket BANG 2: K i e m d i n h
hdp dQ lieu cua ta't ca nha dau tu lai vdi nhau va udc lUdng mot ty so' nguy cd (Hazard ratio) duy nha't. Do dd, nhdm tac gia se trinh bay hi$u ling trung binh d ta't ca nha dau tU.
Bang 2 the hien cac ty sd' nguy-cd Qng vdi quyet dinh cua mot n h a d l u tU trung binh ve vi§c ban hoac giQ co phieu d mQc lai hoac Id.
Cac bie'n d ve ben trai c6 gia tri bang 0 moi ngay n h a dau tU giQ co phie'u, va cd gia tri b i n g 1 mdi ngay nha dau tu ban cd phie'u.
Trong mo hinh hdi quy Reg 1, bie'n doc lap la mot chi so cd gia tri bang 1 moi ngay co phie'u dd hi giao dich 16 (khi so sanh vdi gia tham chieu) va bang 0 trong tnidng hdp cdn lai.
Trong mo hinh hdi quy Reg 2, bien doc lap la mot chi so' nhan gia tri b i n g 1 mdi ngay co phieu dd dUdc giao dich lai (khi so sanh vdi gia tham chie'u) va bang 0 trong trUdng hdp cdn lai. nhdm tac gia sQ dung phan phd'i Weibull vdi tham so' p de tham sd hda ham nguy cd.
Tham s6' cd gia tri bang 1 the hien ty le nguy cd phan phd'i theo ham mu. Tham sd cd gia tri nhd hdn 1 the hien ty le nguy cd giam dan theo thdi gian.
H i e u Qng ngQqTc vj t h e
1
1 Trading Loss Indicator or "TLI"
(z-stat) 1 Trading Gain Indicator or "TGI"
i (z-slal)
RcBl 0.5209 (-5.60)
ReK2
5,4921 (14,37) Ngudn: Nhom tac g
Wff/i/Bn ciiu Kinh t4^fi6'10(497j - Thing 10/2019 43
Bang chiifng hifu ung nguoc ,
Trong bang 2, nhdm tac gia t r i n h bay ty so nguy cd Qng vdi bien TLI trong md hinh hdi quy Reg 1. Mot ty sd nguy cd Idn hdn mot cho biet xac sua't (cd dieu kien) cua viec b a n CO phieu tang len bao nhieu khi hiep bie'n thay doi. Mot ty so' nguy cd nhd hdn mgt cho tha'y ty so' nguy cd ciia bien TLI giam khi cd hiep bie'n thay d6i. Viec ty so' nguy cd cua bie'n TLI dat gia tri v6 cung tha'p la b i n g chQng cho tha'y mot n h a d l u t u t r u n g binh mac phai hieu Qng ngUdc vi the. Nhdm tac gia thd'y rang ty so nguy cd cua viec ban cd phieu giam 0,4790796 (0,5209204 - 1) neu cd phieu bi giao dich dudi mQc gia t h a m chieu. Ty s6' nguy cd cua TLI (0,5209204) nhd hdn mot cdch dang ke.
Nhdm tac gia cung kiem dinh lieu n h a d l u t u trong m l u nay cd hay khong cd xu hudng ban cac cd phidu dang lai (khi tinh t r u n g binh). Ket qua kiem dinh dUdc the hien trong bang 2, mo hinh hdi quy Reg 2.
Ty so'nguy cd Qng vdi TGI la 5,49207 va cho th^y xac sua't cua viec b a n co phieu tang dang ke so vdi xac suat b a n co phie'u cua dudng sinh tdn thd'ng ke, hay h§ sd cua bien TGI Idn hdn 1 m5t each dang ke neu cd phieu dUdc giao dich vdi gia cao hdn gia t h a m chieu. Ndi each khdc, xac sua't co dieu ki§n cua quydt dinh b a n se t a n g len khi co phieu dUdc b a n lai.
6 . K e t l u a n
Nghien cQu dinh lUdng cua nhdm tac gia bat d l u bang vide dat r a cau hdi cac n h a d l u t u tr6n thi trUdng chQng khoan Viet Nam cd hay khdng chiu a n h hudng cua hieu Qng ngUdc vi the. Chon mot each tiep can, mot phUdng phap nghien cQu tidn tien hdn, nhdm tac gia hi vong co thd k h i c phuc dUdc mgt sddiem yeu cua Odean (1998).
Theo nghiSn cQu dinh iQdng nay, hieu Qng ngUdc vi thd cd tac dgng m a n h den xu hudng c i t Id cua n h a d l u tU, vdi he sd cua bien TLI hay ty sd nguy cd dat gia tri nhd hdn 1, thoa man gia thuyet cua nghien cQu.
Hdn the, hieu sdgiQa he s d n a y va 1 vd cung
44
dang kd (1 0,5209204 = 0,4790796), cho tha'y tam ly cac n h a d l u tU dac bi^t thieu nhay cam vdi l5 va dugc ddnh gia each biet r a t xa so vdi tam ly bang quan khi dQng trudc cac khoan lo cua mgt n h a d l u tU theo thuyet thi trUdng hieu qua.
TUdng t u n h u vky, higu Qng ngQdc vi the cung cd anh hudng dang ke den tam ly n h a dau t u khi hg chdt lai. Nhdm tac gia da chQng minh dUdc gia thuyet nay thong qua gia tri h§ sd cua bie'n TGI h a y ty sd nguy cd b mQc Idn hdn 1, thd hi^n n h a d l u tU trong m l u cua nhdm tac gia n h a y cam hdn do'i vdi viec cho't lai h a y hg s i n sdng hdn vdi viec chd't lai so vdi mgt n h a d l u tU hdp ly (rational investor) n e u hieu theo q u a n diem cua thi trUdng hieu qua. Dac biet, h$ s6' nay cd gia tri 5.49207 Idn hdn nhidu so vdi 1 (gia tri 1 the hien cho sU b a n g q u a n cua n h a dau tu trudc cac khoan lai), q u a do nhdm tac gia cd the ket l u a n hieu Qng ngUdc vi t h e tac dong manh ddn t a m ly n h a d l u tU khi ho c i n dUa r a quyet dinh trUdc cac khoan lai.
Khong chi sQ dting kiem dinh de chiing minh, nhdm nghien cQu ket hdp vdi phUdng phap Phan ti'ch sinh tdn (survival analysis) de cung ca'p b i n g chQng khSng dinh sQ ton tai cua hieu Qng ngUdc vi t h e mgt each t n i c quan. Nhdm tac gia da svt dung dQ li6u ve thdi gian n i m giQ cd phidu dd thd hien bidu do dUdng cua phan tich sinh tdn d ^ vdi hai nhdm VI the' rieng biet: lai va lg. PhUdng phap nay cung dUa tdi ke't luan tUdng tU v l su ton tax cua hieu Qng ngUdc vi the','bdi dUdng bieu dien p h a n tich sinh tdn cua nhom lo nam tren dudng bidu diin p h a n tich sinh ton cua nhom lai, cho tha'y vdi cung mgt xac stiat b a n c6 phil'u nhu nhau thi sd ngay giQ lo cua mdt nha d l u t u trung 1 dai hdn so ngay giQ lai; khoang thbi ^ t u trung binh
oang . khac 1 ' ^ " 1 I t " ' ' ! . * * " ','' ^^'.^^''^ t™ec lai va 15 la nam gifl the hien ro n h f t su khaj h - t
trong trong khoang ngay thOl 10 dgn ngj^y ^^^ ^^^
Khong chi CO ket q u i kilm clinh v' k-»
it true q u a n n h u mong dai, nhn>^ ,^. "
"ni tac Bia NgtiiSti alv WnftMstfio(5^T^^;r-
10(80)9
B^ng chirng hieu iifng nguoc
tap t r u n g vao tQng tai khoan chQng k h o a n ca n h a n trong sud't thdi gian dUdc q u a n sat.
PhUdng phap ndy cho nhdm tac gia cac ldi the sau: (i) tim hieu h a n h vi cua tQng ca nhan thay vi do lUdng hieu Qng t r u n g binh cho mgt nhdm cac ca n h a n ; (ii) q u a n s a t hanh vi cua ca n h a n tQ thdi diem b i t d l u nghien cQu vdi t i n sud't h a n g ngay, (iii) cung ca'p bang chQng true q u a n cho sii tdn tai cua hieu Qng ngUdc vi the./.
TAI LIEU THAM KHAO
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1131-1150.
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Ngay nhan bai: 14-8-2019 Ngay d u y a dang: 18-9-2019
Nghien eiiu Kmh tesd 10(497) - Thing 10/2019 45
