VON CO PHAN Mdi NOI QUA CUA DANH MUC TE NHU THE NAO?
ThS. TRANTH! HAI LY
E ^ ^ hUng nam gan day, thi trudng vdn cd phan B l ^ H m d i ndi n h a n dupc su quan tam cua cac i S H R n h a dau tu qudc te, ddng vdn chay vao cac thi trudng nay ngay cang tang. Bai viet nay se xem xet mot vai dac trUng cua cac thi trudng mdi ndi, phan tich nguyen nhan dan den su gia tang ddng vdn nUdc ngoai vao cac thi trudng nay va de danh gia hieu qua cua danh muc dau tu qudc te, phan tich thdng ke md td ve rui ro, ty suat sinh Ipi, tuang quan giUa 35 thi trUdng (trong dd gdm 14 thi trudng da phat trien va 21 thi trUdng mdi ndi didn hinh) dupc thuc hien. Ket qua cho thay, danh muc da dang hda giua hai nhdm thi trudng cd hieu qua vUpt trdi hon so vdi chi da dang hda trong pham vi cac thi trudng da phat trien. Bai viet cung dua ra mot vai suy nghi ve da dang hda dau tu cua cac quy ddu tu qudc te vao thi trudng
\ ^ cung nhu cua cac quy dau tu \"N ra cac thi trudng khu vUc va qudc te
Nhufng dac triAig cua thj trifdng mdri noi
Klidng cd mdt dinh nghia chinh xac tuyet ddi va thdng nhat ve thi trUdng mdi ndi vi thUc chat
"thi trudng mdi ndi" ham chda mdt sd cac dang thi trudng. Cdng ty tai chinh qudc te IPC de xuat mot vai thudc tinh dinh tinh cua mdt thi trUdng mdi ndi nhu: Thi trUdng dd ndm d mdt qudc gia dang phat trien, thi trudng chUng khoan chinh thuc ddng gdp miJfc dp cao vao he thdng tai chinh va mUc dp ddng gdp nay dupc do ludng bang ty sd vdn hda thi trudng (gia tri cua tat ca cac tai san
tai chinh dupc niem yet tren thi trudng chinh thuc chia cho GDP), mUc dp thanh khoan cua thi trudng chua cao, thi trUdng hap dan ddi vdi cac nha dau tu ndi dia cung nhu cac nha dau tu nude ngoai.
NhUng goi y dinh tinh nay gpi ra nhung van de ma cac thi trudng chung khoan chinh thUc phai ddi mat, chang han nhU: Quy nid thi trudng nhd, thi trudng phan doan, vdn hda thi trUdng tap trung vao mdt sd it doanh nghiep, sU yeu kem trong dieu hanh va khung phap ly, tinh thanh khoan kem. rui ro kha cao nhung tiem nang ty suat sinh Ipi cung kha Idn.
NhUng dac tinh tren tuang doi khac nhau d cac thi trudng nen chung thudng khdng the duac xem nhu la mot nhdm cac thi trudng ddng nhat. Su khac biet quan trpng giUa cac thi trudng nay ton tai a cap dp cau true vi md (tUc la td chUc thi trudng) cung nhu mUc dp hoat dpng. Mdt vai thi trudng chUiig khoan mdi ndi da ton rat lau, mdt sd dang o thdi ky dau cua su phat trien va mdt sd khac cd the tuong duang vdi cac thi trudng cua nhUng qudc gia da phat trien. Mdt sd nghien cUu ve thi trudng mdi ndi da phan qua trinh phat trien cua mdt thi trudng mdi ndi ra 4 giai doan:
• Giai doan khdi ddu: Dac trUng cua giai doan nay la he thdng khdp lenh cdn so khai, dupc td chUc mdi lan mdt ngay vdi tu 2,3,4, hoac 5 ngay mdt tuan, mUc dp xU ly tU dpng cac hoat dpng cua thi trudng thap, va khdi lupng giao dich nho. Cac
• Phat trien kinh te - Thang Sau nam 2009
T H I TRUCING CHUNG KHOAN
luat le va quy dinh cdn sp khai. Thi trudng chdng khoan chinh thUc chua n h a n dupc su quan t a m ddng ke cua cac nha dau tU tai chinh.
• Giai doan hoat dong thap: Nhieu qudc gia dang phat trien tU do hda nen kinh te theo de xuat cua quy tien te qudc te (IMF). Theo dd, budc dau tien la cac qudc gia nay tien tdi giam tham hut ngan sach va cai thien van de nd qua mdc.
Mdt trong nhCJfng dd xuat cua IMF ddi vdi viec tU do hda la thuc hien chudng trinh cd phan hda cac doanh nghiep nha nude. Chuong trinh nay dUa den mdt dpng luc mdi cho thi trudng va tao xuat phat diem cho giai doan thur hai trong tien trinh phat trien cua cac thi trudng mdi noi. Cd phan hda md rpng kenh tai trp va dau tu. Quan trpng han, cd phan hda tao nen nhUng bUdc nhay vpt trong hieu qua hoat dpng cua cac doanh nghiep va su gia tang sau dd trong vdn hda thi trudng, gia tang khdi lUpng niem yet tren thi trudng chinh thufc. Tiem n a n g dau ca va su bien ddng gia cd phieu kha Idn. De kiem soat dUdc nhUng thay ddi trong hoat ddng cua thi trudng, cac nha hoach dinh chinh sach bat dau bam theo nhiJfng xu hudng phat trien tren thi trudng de sua ddi bd sung cac luat le ve td chdc va hoat ddng cua thi trUdng chdng khoan.
• Giai doan hoat dong: Day la giai doan tiep tuc ddi mdi de cai thien hieu qua cua thi trudng va minh bach thdng tin lien quan den cac hoat dpng tren thi trudng chinh thdc. Dac triUig cua giai doan nay la he thdng xu ly giao dich tU ddng va hieu qua han. Day cung thudng la giai doan md cUa cho ddng vdn nUdc ngoai chay vao va thi trudng nhan dupc sU quan tam han cua cac nha dau tU nUdc ngoai nhat la cac nha dau tu td chiic nhu cac quy dau tU, cac cdng ty bao hiem.
Tinh thanh khoan cua thi trUdng gia tang manh me.
• Giai doan sung mdn: Cac luat le cho hoat ddng thi trUdng da hoan thien. Thi trUdng chinh thdc gidng vdi thi trUdng cua cac nUdc da phat trien ca ve td chu'c thi trudng Ian mdc dp hoat dpng. (J giai doan nay, thi trudng chinh thdc danh dupc sU tin cay cua cac nha dau tu nude ngoai dang ndni giU cac danh muc dau tu qudc te. Thi trudng nay bdt dau hdi nhap sau vao thi trUdng tai chinh qudc te. Tuy nhien, du d giai doan sung m a n nhung cac thi trudng mdi ndi van rat nhay cam han trudc nliUng cd sdc bat ngd so vdi cac thi trudng d nhung qudc gia da phat trien.
Xu hifdng di chuyen cua dong von dau tif vao cac thj trifomg vdn cd phan mdi ndi
Vao cudi n h d n g n a m 1980, d cac thi trudng dang p h a t trien, nguon tai trd bang nd vay tii cdc td chdc tai chinh nhu ngan h a n g dudng nhu dUdc ua thich n h a t va la ngudn tai t r a chinh thdc cija cac doanh nghiep. Su phat trien cua cac thi trUdng chdng khoan d nhiJng qudc gia nay bi han che vi mot so cac nguyen n h a n nhU quy md cdc doanh nghiep niem yet nho, thieu cac khoan tiet kiem trong nen kinh te va nhCifng khd k h a n trong viec tich luy vdn. Vi le dd ma cac nha dau tU ndi chung kha thd a vdi thi trUdng chdng khoan chinh thufc d nhiJfng qudc gia nay.
Tuy nhien, td dau nhufng nam 1990, cd phieu d cac thi trudng mdi ndi thu hut dUdc sU quan tam cua cac nha dau tu ca trong nude va qudc te. Dac biet trong mot vai nam trd lai day chung ta chdng kien mdt su gia tang m a n h me trong cac dau tu vdn cd phan d tat ca cac thi trudng mdi ndi khu vuc. Vdn hda thi trudng da vUpt qua GDP, dac biet d chau A, trong ndm 2007 da cd nhieu han mot nda trong so 23 cac thi trUdng mdi ndi chu yeu cd vdn hda thi trUdng vUdt qua quy md tdng san pham qudc ndi h a n g nam. Quy md hoat dpng cua cac thi trudng nay tang manh ma quan trpng hdn la quy md cua thi trUdng vdn cd phan da Idn hdn quy md cua thi trudng chdng np trong hau het cac qudc gia mdi ndi. Didu nay cd the khd xay ra neu nhUng qudc gia mdi ndi khdng thuc hien cac thay ddi sau rdng ve mat cau true va cai each kinh te.
Trong nd lUc duy tri tang trudng kinh te cao va gia tang hieu qua cua he thdng tai chinh, cac qudc gia mdi ndi budc phai theo sat nhdng thay ddi mang tinh qudc te khi tien h a n h cai td he thdng tai chinh va ngan hang. Viec nay da anh hudng kha tich cue len thi trudng chufng khoan chinh thufc. Cung luc dd xu hUdng phat trien manh me cua cdc quy ddu tU qudc te. Su hdi nhap (cd the la tdng phan tuy vao mice dp tU do hda va md cUa thi trudng vdn) cua cac thi trUdng mdi ndi vao thi trudng tai chinh toan cau md ra them cd hdi da dang hda dau tu cho cac nha dau tu qudc te. Theo IMF, dau tu gidn tiep ma cac qudc gia cdng nghiep Idn nam giU tang td 574 USD vao nSm 2001 len gan 2.000 ty USD trong nam 2006, trong dd ty trpng vdn cd phan tang manh td 60 len 74'V trong thdi gian nay. Mdt sd thi trudng ddng dau trong viec thu hut ddng vdn dau tu qudc te nhu Brazil va An Dp. Nam 2007, vdn dau tU gian tiep nUdc
ngoai vao thi trudng Brazil len tdi 214,14 ty USD, trong dd 77''; dau tu vao vdn cd phdn, ig';; vao cac trai phieu chinh phu, 0,8'v vao chdng khoan phai sinh, 0,5'^; vao cac thudng phieu doanh nghiep va 2,7'^ vao cac cdng cu tai chinh khac.
Bdng 1: Dong vdn dau tU vao cac nen kinh te mdi ndi (ty USD)
Giai doan 1993 - 1996 1 9 9 7 - 2 0 0 1 2002 - 2007 2008C)
Dong von vao 280 269 951 619
Nguon: IMF, Balance of Payments Statistics; OInstitute of International Finance, Capital Flows to Emerging Mar- ket Economies
Bang sau day cho thay von hda thi trUdng (thudc do quy md thi trudng) va ty so giao dich (thudc do tinh thanh khodn) cua cac thi trudng mdi ndi theo khu vuc va so qudc gia tang nhanh nhu the nao trong nhUng nam vUa qua.
Bang 2: Von hoa thi trUdng va ty sd giao dich cua cac thj trUdng vdn cd phan
Khu vuc/
Qudc gia
Chau A Trung Qudc An Dd Chau My Latinh Brazil Mexico Trung Au Nga Nam Phi Nude khac
Gia tri giao dich/
Vdn hda thi trudng
2001
142 85 122 27 35 32 34 30 83 82
2007
110 161 28 31 38 27 45 45 48 52
Vdn hda thi trudng/GDP
2001
47 40 43 24 34 20 15 25 71 34
2007
258 138 317 70 104 45 49 117 293 117
Ngudn CGFS paper NO 33 Capital Flows and Emerg- ing Economies (Bank for International Settlements)
Tai sao cac thi trudng mdi ndi lai cd dupc su hap dan nhU vay ddi vdi ddng vdn ddu tu qudc te?
Cac nha kinh te da cd nhieu tranh luan ve van de nay, nhuiig nhin chung cac nhan td tac dpng den ddng vdn vao cac thi trUdng mdi ndi dUpc chia lam hai nhdm. ThU nhat la cac nhan td ben ngoai, nghia la cac nhan td phan anh dieu kien cua qudc gia dau tu ThU hai la nhUng nhan td ben trong
cua cac qudc gia mdi ndi.
Cac lap luan ung hp cho nhdm nhan td thU nhat cho rang ddng vdn vao cac qudc gia nidi ndi tang khi dieu kien tai trp d cac qudc gia di dau tu trd nen de dang chdng han nhu chinh sach lai suat thap va tang trudng manh trong cung tien va nhan td chu ky kinh te d cac qudc gia nay. Lai suat d cac qudc gia da phat trien thap se khuyen khich cac nha dau tU qudc te tim kiem cac cP hdi dau tu cd ty suat sinh Ipi cao hon d nhUng qudc gia khac. Tang trudng manh trong cung tien dan den gia tang du thUa trong tdng phuang tien thanh toan cua cac qudc gia da phat trien, neu nhUng dieu kien khac khdng ddi thi du thUa tdng phuong tien thanh toan nay se dupc dd vao cac thi trudng tai chinh. Chu ky kinh te d cac qudc gia da phat trien cd the cd tac dpng hai mat ddi vdi ddng vdn vao cac qudc gia mdi ndi. Su sut giam cua nen kinh te d cac qudc gia da phat ti'ien cd the lam cho cac cP hdi dau tu vao cac qudc gia mdi ndi hap dan han va khuven khich ddng vdn vao tuy nhien khi dieu kien kinh te d cac qudc gia phat trien da dupc cai thien, dau tu trong nUdc cd the danh duoc su quan tam han, iihUiig dieu nay cd dan den su giam sut trong ddng vdn vao cac qudc gia iiuii IKH iiay khdng cdn tuy thupc vao tuang quan trong kha nang sinh loi giUa iiai nhdm qudc gia nay. Mot lap luan khac ung hp cho nhdm nhan td thu nhat nUa dd la nhu cau da d.ing hda dau tu cua cac nha dau tU qudc te cd the dan den xu hudng gia tang ddng vdn dau tU vao cac thi trudng mdi ndi. Dac biet khi ma tdng tai san tai chinh tich luy cua cac nha dau tu td chuc nhu quy huti bong, cac cdng ty bao hiem d chau Au, Nhat, Anh va M}' dat tdi 34 nghin ty vao cudi nam 2007, thi chi can mdt ty le phan bd kha nhd vao cac thi trudng mdi ndi cung cd the tao ra sU gia tang Idn trong dong vdn vao cac qudc gia nay.
Cac lap luan ung hp cho nhdm nhan to thu hai dupc xem la quan trpng hon. Dd la, sU gia tang nhu cau dau tU cua cac nha dau tu qudc te vao nhifng thi trudng mdi ndi do day la nhung thi trudng cd ty suat sinh Ipi tiem nang cao xuat phat td cac thanh qua kinh te vl md duoc cai thien. Cac qudc gia mdi ndi dat dupc tdc dp tang trUPiig kinh te vUPt bac so vdi cac nen kinh te da phat trien.
Bang 3 dudi day la mot dan chUiig cho dieu nay.
Mdt ly do nUa la vi the tai chinh cua cac thi trudng mdi ndi dang manh len, nipt sd qudc gia da tien rat gan vdi cac qudc gia da phat trien.
Phat trien kinh te - Thang Sau nam 2009
T H I TRUCING CHUNG KHOAN
Bang 3: Tang trUdng kinh te cua cac thi trUdng d cac qudc gia mdi ndi va cac qudc gia phat trien
1 9 9 3 - 9 6 2006 - 0 7 2008 (*)
T a n g trUdng GDP Thj trUdng mdi
ndi
3.0 7.6 6,4
Thi trUdng da phat trien
2.7 2,9 1,1
Ngudn: IMF world economic outlook and International Finance Statictis:
(') Institute of International Finance, Capital Flows to Emerging Market Economies
Them vao dd do sU thao bd cdc rao can dau tU, cac thi trudng mdi ndi hdi n h a p sau rdng hon va tien h a n h tU do hda nen kinh te bdng viec ndi long hoac dd bd cac han che ddi vdi cac nha dau tu nUdc ngoai ve linh vUc dUpc phep tham gia ddu tu, gia tang mufc dp sd hUu va cac quy dinh ve quan ly ngoai hdi cung theo hudng thuan Ipi han cho cac nha dau tu nude ngoai.
Da d^ng hoa vao cac thj triidng chufng khoan mdi ndi - Ty suat sinh idi va rui ro
Lpi ich ma nha dau tu nhan dUpc tU viec ddu tu vao cac thi trudng mdi ndi tiiy thudc vao ty sd giUa ty suat sinh lpi va rui ro. Phan Idn ty suat sinh lpi tiem nang cua viec dau tU vao nhUng thi trudng mdi ndi xuat phat tU xu hudng tang trudng vUpt bac cua chung. Tuy nhien, rui ro d cac thi trudng ndy cung Idn han cdc thi trUdng da phat trien. Thi trUdng mdi ndi d cac qudc gia dang phat trien ganh chiu nhieu rao can. NhUng rao can nay cd the trUc tiep va xuat phat td cac luat le kinh te hoac gian tiep nhu thieu su phat trien ve mat kinh te va tai chinh cua cac thi trUdng chinh thUc.
Nen kinh te cua cac thi trudng mdi ndi phu thudc vao hoan canh kinh te chung (vi day la nhUng nen kinh te hudng den xuat khau). Su le thudc nay cdng vdi thu nhap qudc dan thap cd the gay anh hudng len quy trinh tich luy vdn va nang luc tiet kiem. Ngoai ra rui ro cao d nhung thi trudng nay cdn xuat phat td cac luat le (quy dinh) dau tU, chinh sach quan ly ngoai hdi; thieu cd sd ha tang tin cay de phat trien thi trudng, thieu cac cdng cu bao ve nha dau tu, van de minh bach thdng tin va mdc dp tin cay cua cac bao cao tai chinh thap, rui ro thanh khoan va bat dn chinh tri cao t h a p
cCing gdp p h a n tao nen mdc dp bien ddng cao trong gia cd phan va do dd bien ddng cao trong ty suat sinh Idi. Mac du vay nhCfng rui ro nay cd the thuyen giam do da dang hda mang lai. Cdc nha dau tu cd the n h a n dUdc lpi ich td da dang hda dau tu vao cac thi trUdng mdi ndi vi mdi tUdng quan cua ty suat sinh lpi d cac thi trudng nay vdi cac thi trudng da phat trien thap hdn so vdi tUdng quan giUa cac thi trUdng phat trien.
Ly thuyet danh muc cua Harry Markovvitz dupc su dung lam cdng cu giup ddnh gia lpi ich da dang hda do dau tU vao cac thi trudng mdi ndi so vdi chi dau tu vao thi trudng da phat trien. De xem xet da dang hda, gia sd rdng quyet dinh phan bd tai san cua mdt nha dau tu qudc te dUdc thUc hien dua chi tren cd sd cac dac tinh rui ro, va dp lech chuan cua ty suat sinh lpi tai san. Neu da dang hda vao n tdi san rui ro trong danh muc vdi ty trpng vv' = (\Vi,..,w„) va neu ma t r a n hiep phuPng sai cua cac ty suat sinh Idi la V, luc dd phudng sai cua danh muc la vv'Vw. Cac danh muc dau tU tdi uu la danh muc hoac rui ro nhd n h a t vdi mdt mdc ty suat sinh lpi nao dd hoac vdi mdt mdc dp rui ro ndo dd ty suat sinh lpi la Idn nhat. Neu khdng cd cac gidi han ban khdng thi ket qua cua bdi toan tdi Uu d tren se la vv' = (wl....,w'„)'
Vdi VV'i — '^<p,, trong ddV', tdng cac thanh phan trong cot thd i cua ma t r a n dao V va z^*^' la tdng tat ca cac t h a n h p h a n cua ma train V . Phuong sai cua danh muc cd phUdng sai tdi thieu, V% bang ^ v . Trong trUdng hpp khdng cho phep ban khdng bai toan tdi Uu can them rang budc khdng am cho cac ty trpng dau tu.
De phan tich kha nang da dang hda cua danh muc dau tu tren vien canh qudc te, tac gia sU dung 35 thi trudng (trong dd 14 thi trudng da phdt trien va 21 thi trudng mdi ndi), dU lieu theo thang td thang 1/1995 den t h a n g 12/2008 dupc lay td Mor- gan Stanley Capital International. Ndi chung, cac thi trudng trong danh muc nay thudc nhieu qudc gia nham muc dich dai dien cho tat ca cac khu vUc tren the gidi (chau Au, chau A, chau Phi, Trung Ddng, chau My Latinh). NhUng thi trudng ndy d4u cho phep su tham gia cua cac nha dau tU nUdc ngoai va cd sdn dU lieu de phan tich tUdng quan va xay dung danh muc da dang hda.
Bang 4 cho chung ta thay mufc dp ty suat sinh lpi (mean) va rui ro (Std. Deviation) cua mot sd thi trUdng indi ndi va phdt trien trong inau 35 thi trudng xem xet, ngoai ra chdng tdi cung dUa vao
hai chi sd thi trudng mdi ndi cua khu vUc chau My Latinh (EM Latin America), chau Au (EM Europe), va mdt chi sd dai dien cho cac thi trudng mdi ndi (EM), mdt chi sd dai dien cho tat ca cac qudc gia phat tridn (MSCI world).
B^ng 4: Thdng ke mo ta ciia cac ty suat sinh \cf\ thj trudng
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1 0 1 n r f l i 1 C B O ^ i T U Kit JJ^J C i . ' u y e t ) C 4 U - S J U i j i . i i ; 7 H T r r . s f > 4 « o L ' j i - 3 . ' J r.4 j 7 R f i r .
Ngudn: DO lieu tU Morgan Stanley Capital International, tinh toan cua tac gia.
Thdng ke md ta cho thay cac thi trUdng mdi ndi nhu An Dp, Indonesia, Han Qudc, Brazil, Hun- gary, Argentina, Thd Nhi Ky va Cdng hda Czech cd ty suat sinh lpi vupt trdi han so vdi cac thi trudng da phat trien My, Nhat, Anh, Y, DUc va Phap. c a c thi trudng Thd Nhl Ky, Hungary va Brazil cd ty suat sinh lpi hang t h a n g cao n h a t tuang dng la 2,72'~'f, l,177f va 1,08% trong khi ty suat sinh lpi cao n h a t cua hai trong 6 thi trUdng da p h a t trien la 0,469'. (Phap), 0,3Kr (DUc). Ty suat sinh Idi cua cac chi sd mdi ndi cung cao han nhieu so vdi chi so thi trudng qudc te, 1,1 Kr ddi vdi chi sd thi trudng mdi ndi chau Au, 0,9'^ ddi vdi chi so thi trUdng mdi ndi chau My Latinh, 0,47. ddi vdi chi sd dai dien cho cac thi trudng mdi ndi EM, trong khi ty suat sinh lpi cua chi sd qudc te (dai dien cho cdc qudc gia da phat trien) MSCI world la 0,237. Song di kem vdi ty suat sinh lpi cao d cac thi trudng mdi ndi la dp bien ddng cua ty suat sinh lpi kha Idn. Ty suat sinh lpi tdi da cua cac thi trudng mdi ndi cao n h a t Id 58,97r (Ar- gentina) thap nhat -48,27 (Brazil) trong khi d thi trudng da phdt trien ty suat sinh Ipi chi dao ddng td -28,67 (Ddc) den 19,77 (Y). Dp lech chuan cua ty suat sinh lpi cua cdc chi sd thi trUdng mdi ndi cao nhat la 14,67 (Thd Nhl Ky) va thap nhat la 0,827 (An Dp), dp lech chuan cua cac thi trudng phat trien cao nhat la 6.57 (Dufc) va thap nhat la 4,1% (Anh). Dp lech chuan cua cac chi sd mdi ndi
cua khu vUc cung cao hon nhieu, cu the la 8,8'.
(chau Au), 7,1'''> (chau My Latinh) va 6,37 (chi sd dai dien cho cdc thi trUdng mdi ndi), so vdi dp lech chudn 4,27 cua chi sd qudc te MSCI world.
Khd nang da dang hda se dupc danh gia thdng qua tUOng quan theo tdng cap ty suat sinh lpi d hai nhdm thi trudng. Neu nhu tUPng quan giUa cac thi trudng mdi ndi thap va thap hon tUPng quan giUa cac thi trudng nay vdi thi trUdng qudc te nghia la cd CO hdi de da dang hda thdng qua viec dau tU vao cac thi trudng nay. Neu nhU tUong quan giua cac thi trudng cao thi nha dau tu cd the it cd dupc lpi ich tU da dang hda.
Bdng 5 cho thay tUOng quan giua cac cap thi trudng.
Chung ta cd the thay tucfng quan giUa cac thi mdi ndi thap han so vdi tUOng quan giUa cac thi trUdng phat trien. Cu the, tUPng quan cao nhat giUa cac thi trudng mdi ndi la 0,64 giUa Cdng hda Czech va Hungary, ke den la 0,629 giUa Brazil va Hungary. Tupng quan thap nhat la 0,257 giUa Indonesia va Thd Nhi Ky. Trong khi dd tUPng quan giua cac thi trudng phat trien cao hpii nhieu, vdi mijfc tUPng quan cao nhat la 0.896 giUa DUc va Phap va tuang quan thap nhat 0,49 giUa Y va Nhat. Tuang quan giUa thi trudng mdi ndi va phat trien cao nhat la 0,73 giUa My va An Dp thap nhat la 0,34 giUa Y va Czech. He sd tUPng quan thap giUa ty suat sinh lpi d cac thi trudng chUng khoan mdi ndi va phat trien la mdt chi bao ve lpi ich tiem nang cua da dang hda cua cac danh muc dau tu qudc te vao cac thi trUdng mdi ndi.
Phat trien kinh te - Thang Sau nam 2009
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Nguon: Du lieu tu Morgan Stanley Capital International, tinh toan ciia tac gia
Hinh 1 cho thay dudng bien hieu qua dupc tinh toan dua tren thuat toan tim danh muc tdi Uu Harry Markowitz, tren chudi duf lieu ty suat sinh Idi cac chi sd thj trUdng cua 21 thi trUdng mdi ndi va 14 thi trudng da p h a t trien. Chung ta thay rang, trong ca hai trudng hop cd va khdng cd gidi han ban khdng thi dudng bien hieu qua cua danh muc da dang hda dau tu qudc te vao ca hai nhdm thi trudng nay deu ndm tren dudng bien hieu qua cua 14 thi trudng mdi noi, nghia la cac danh muc da dang hda qudc te (35 thi tnxdng) cho cac ket hop dau tu tot han so vdi danh muc chi dau tU vao cac thi trudng phat trien (14 thi trudng). Ket hop cac tai san tai chinh t d hai loai thi trUdng tren vao trong danh muc dUa den ty sd ty suat sinh Ipi/rui ro h a p dan ho'n mdt danh muc chi gdm cac cd phieu thi tnJong da phat trien.
Da dang hoa cua cac nha dau ti^quoc te vao VN va cac quy dau tii cua VN ra ni/dc ngoai
Trong nam 2006 va 2007, vdi nhUng thanh tich ve tang trudng cao (8.4':; trong nam 2007, 6,23';;
trong nam 2008) cung sU hoan thien dan cac luat le va quy dinh tao h a n h lang phap ly, hoat dpng cua thi trudng vdn cd phan cua VN da trd nen hap dan va thu hut nhieu n h a dau tu qudc te. Quy md thi trudng dupc cai thien dang ke so vdi nhUng nam trudc dd. Tuy nhien, chi vdi thanh tich tang trudng thdi thi chua du manh de cd the tiep tuc thu h u t dau tU bdi le day la lpi the chung cua nhieu qudc gia khac nhu Trung Qudc (tang trUdng 11,4'^-; trong nam 2007, d'i trong nam 2008), An Dp (tang trudng 9,6"^ trong nam 2007, T'.'r trong nam 2008). Mac du viec da dang hda danh muc dau tu qudc te la can thiet nhung cac quy dau tU Hinh 1 Danh muc da dang hoa dau tuquoc te
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Nguon Du lieu tu Morgan Stanley Capital International, tinh toan cua tac gia
cung d a n h gia va so sanh lpi the giUa cac thi trudng tren nhieu khia each khac nhau de dUa ra chien lupc phan bd tai san cua minh. De la mdt thi trudng hap dan, VN phai tu tao ra nhUng lpi the rieng cho minh thdng qua viec nang cao han nUa nang luc quan ly vl md, tao Idng tin cho cac nha dau tu thdng qua viec day nhanh tien dp thUc hien ke hoach cd phan hda doanh nghiep nha nUdc theo. Cd phan hda cac doanh nghiep nha nude nhat la cac doanh nghiep ddc quyen se mang lai nhieu lpi ich (da cd nhieu bai viet cua nhieu tac gia de cap), gia tang kiem soat cua cac nha dau tu ben ngoai. Tang tinh minh bach ve thdng tin thdng qua hieu qua cua cua hoat ddng kiem toan va che dp cdng bd thdng tin tdi thi trudng.
Xu ly manh cac trudng hpp giao dich ndi gian, lam gia, chi phdi va lung doan thi trUdng.
Khdng hoang tai chinh nam 2008 da lam sut giam ddng vdn cua cac nha dau tu qudc te vao cac thi trudng mdi ndi ndi chung va thi trudng VN ndi rieng, nhUng khung hoang cung la co hdi cho quoc gia nao biet nhanh chdng cai thien chinh minh.
Khdng hodng tai chinh se dan den nhieu kha nang tai didu chinh danh muc dau tu cua cac quy dau tu qudc te. Thi trUdng VN cd phai la thi trudiig hap dan cho cac nha dau tu nUdc ngoai hay khdng tuy thudc vao kha nang cai thien nhUiig van de neu tren. VN cung can sdm dUa ra thi trudng cac san pham mdi (nhat la cac san pham phai sinh, trUdc mat cd the dp dung cho cac chi sd (index)), nhdm cho nha dau tU nhieu lua chpn han de cd the tang hieu qua danh muc dau tu cua hp han.
Ben canh dd, phan tich da dang hda d tren cung gpi ra cdch thufc gia tang hieu qua (va do dd
tang kha nang canh tranh) cua cac quy dau tU \'X.
Ve phia minh, ban than cac qu\' na> can cd chien lupc da dang hda phij hpp, tim kiem nhung co hdi dau tu d cac qudc gia tiem nang trong khu vuc va xa hon nUa la tren pham \i quoc te. Tuy nhien de cac quy dau tU trong nUdc cd the lam dupc dieu de thi ve phia quan ly nha nude, cac ca quan quan ly cd tham quyen can sdm tao lap hanh lang phap ly va cac dieu kien cho hoat dpng dau tu tai chinh ra nUdc ngoai cua cac to chUc dau tu ndi dia •
Tai li#u tham khao
1. PGS.TS I r a n Ngpc ThO (2005). Kmh te VN tren duang hoi nhap - Quan ly qua trinh tu do hda tai chinh.
NXB Thdng k e . 2 0 0 5
2. Tran Ngpc Thp - Vu Viet Quang (2007). Lap mo hinh tai chinh. NXB Lao dpng Xa hoi. 2007.
3. I S Phan Thi Bich Nguyet (2006). Dau tu tai chinh - Quan ly danh muc dau tu. NXB Thdng Ke. 2006
4. Committee on the Global Financial System, Capital flows and emerging market economies. CGFS paper No 44. December 2008
5. Bekaert. G, Harvey. C (2003). "Research in emerging Market Finance; Looking to the future". Emerging Markets Review.
6 IMF (2008), World Economic Outlook. October 2008.
7 Committee on the Global Financial System. Institu- tional investors, global savings and asset allocation. CGFS Paper No 27, February 2007,
8 Divecha, Arjun B,, Jaime Drach & Dan Stefek (1992),
"Emerging Markets A quantitative Perspective'. Journal of Porfolio Management. 19(1); 41-50
Phat trien kinh te - T h a n g Sau nam 2009
