TR NGUY N TH ƠË LU TP H CHÍ MINH N 2018 TR NGUY N TH Chuyên ngành: Tài Ngân hàng Mã s : 8340201 LU NG D N KHOA H C: PGS.TS NGUY N TH NG C TRANG TP H CHÍ MINH N 2018 L u khoa h c c a riêng d a s ng d n c a PGS.TS Nguy n Th Ng c Trang Các thông tin, s li u nghiên c u có ngu n g c rõ ràng, c th K t qu nghiên c u trung th c cơng b b t k cơng trình nghiên c u Tác gi Nguy n Th M CL C TRANG PH BÌA L M CL C DANH M C CÁC T VI T T T DANH M C B NG DANH M C HÌNH TĨM T T I THI U 1.1 Lý ch tài 1.2 M c tiêu nghiên c u câu h i nghiên c u ng ph m vi nghiên c u u 1.5 K t c u nghiên c u LÝ THUY T VÀ T NG QUAN CÁC NGHIÊN C C lý thuy t 2.1.1 M i quan h gi a t giá h ng khoán lý thuy t v m i quan h gi a t giá h cm in i 2.2 T ng quan nghiên c 2.2.1 Các nghiên c u ng khoán t i 13 c phát tri n 13 2.2.2 Các nghiên c u cm in i U VÀ D 14 LI U 18 u 18 3.1.1 Quy trình nghiên c u 18 3.1.2 Ki nh nghi 19 3.1.3 Ki nh m i quan h 3.1.4 Ki nh m i quan h nhân qu Granger ng liên k t 20 22 3.2 D li u 23 p d li u 23 3.2.2 X lý d li u 24 T QU NGHIÊN C U 27 4.1 Ki nh nghi 27 4.2 Ki nh m i quan h ng liên k t 30 4.3 Ki nh m i quan h ng n h n dài h n gi a ch s ch ng khoán, t giá h 4.3.1 Ki c c u trúc tài 36 nh m i quan h dài h n gi a ch s ch ng khoán, t giá h c u trúc tài 4.3.2 Ki 4.4 Ki nh m c 36 hi u ch nh sai s ECM ng n h n 41 nh m i quan h nhân qu Granger 44 T LU N 48 5.1 K t lu n 48 5.2 H n ch ng phát tri n c tài 48 5.3 Ki n ngh 49 TÀI LI U THAM KH O PH L C DANH M C CÁC T VI T T T EX Exchange rate FS Financial structure IMF International Monetary Funds SP Stock price index VECM WB Mô Vector error correction model World Bank DANH M C B NG B ng 3.1: B ng mô t d li u 24 B ng 3.2: Th ng kê mô t bi n t i Vi t Nam 26 B ng 4.1: Ki nh nghi i v i ch s ch ng khoán t i Vi t Nam 28 B ng 4.2: Ki nh nghi i v i t giá h B ng 4.3: Ki nh nghi i v i c u trúc tài t i Vi t Nam 29 B ng 4.4: Ki nh m i quan h B ng 4.5: Ki c t i Vi t Nam 29 ng liên k t t i Vi t Nam theo th ng kê Trace 30 nh m i quan h ng liên k t t i Vi t Nam theo th ng kê Max - Eigenvalue 31 B ng 4.6: Ki B ng 4.7: Ki nh m i quan h ng liên k t t i Singapore theo th ng kê Trace 31 nh m i quan h ng liên k t t i Singapore theo th ng kê Max - Eigenvalue 32 B ng 4.8: Ki B ng 4.9: Ki nh m i quan h ng liên k t t i Thái Lan theo th ng kê Trace 33 nh m i quan h ng liên k t t i Thái Lan theo th ng kê Max - Eigenvalue 33 B ng 4.10: Ki B ng 4.11: Ki nh m i quan h nh m i quan h ng liên k t t i Malaysia theo th ng kê Trace 34 ng liên k t t i Malaysia theo th ng kê Max - Eigenvalue 34 B ng 4.12: Ki nh m i quan h B ng 4.13: Ki nh m i quan h ng liên k t t i Philippines theo th ng kê Trace 35 ng liên k t t i Philippines theo th ng kê Max - Eigenvalue 35 B ng 4.14 37 B ng 4.15 39 B ng 4.16 dài 41 B ng 4.17 42 B ng 4.18 43 B ng 4.19 43 B ng 4.20 44 B ng 4.21 45 B ng 4.22: Ki nh quan h nhân qu Granger t i Thái Lan 45 DANH M C HÌNH a t giá h n i s ch ng khoán cm i n khác Hình 2.2: M i quan h gi a giá ch ng khoán t giá h u trúc tài 13 Hình 3.1: Quy trình th c hi n nghiên c u 18 Ph l c K t qu nghiên c u th c nghi m m i quan h gi a t giá h ch s ch ng khoán t n 1995-2017 Th ng kê mơ t bi n LSP Trung bình Ki nh nghi LEX LFS 4.65506 2.35922 5.81575 4.39247 2.35117 5.76340 4.78030 3.12524 6.44631 3.41820 2.19945 4.89190 0.78961 0.56754 0.60361 276 276 276 Null Hypothesis: D(LSP) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=15) t-Statistic Augmented Dickey-Fuller test statistic -22.191390 Test critical values: 1% level -3.452215 5% level -2.871061 10% level -2.571915 *MacKinnon (1996) one-sided p-values Prob.* 0.0000 Null Hypothesis: D(LEX) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=15) t-Statistic Augmented Dickey-Fuller test statistic -26.953470 Test critical values: 1% level -3.452215 5% level -2.871061 10% level -2.571915 Prob.* 0.0000 *MacKinnon (1996) one-sided p-values Null Hypothesis: D(LFS) has a unit root Lag Length: (Automatic - based on SIC, maxlag=15) t-Statistic Augmented Dickey-Fuller test statistic -17.196720 Test critical values: 1% level -3.453072 5% level -2.871438 10% level -2.572116 *MacKinnon (1996) one-sided p-values Prob.* 0.0000 Ki ng liên k t Johansen Sample (adjusted): 299 Included observations: 294 after adjustments Trend assumption: Linear deterministic trend Series: LSP LEX LFS Lags interval (in first differences): to Unrestricted Cointegration Rank Test (Trace) Hypothesized Trace 0.05 No of CE(s) Eigenvalue Statistic Critical Value Prob.** None * 0.186193 86.136870 29.797070 0.0000 At most 0.020981 6.999625 15.494710 0.5777 At most 0.001281 0.082775 3.841466 0.7736 Trace test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized Max-Eigen 0.05 No of CE(s) Eigenvalue Statistic Critical Value Prob.** None * 0.235990 79.137250 21.131620 0.0000 At most 0.023252 6.916851 14.264600 0.499 At most 0.000282 0.082775 3.841466 0.7736 Max-eigenvalue test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values K t qu h i quy mơ hình VECM m i quan h gi a t giá h khoán Vector Error Correction Estimates Date: 08/16/18 Time: 22:33 Sample (adjusted): 1995 2017 Included observations: 296 after adjustments Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq1 LSP (-1) 1.000000 s ch ng LEX -2.254600 (0.04929) [-2.01059] LFS 2.524955 (0.01476) [ 1.04729] C 3.594922 Error Correction: D(LSP) D(LEX) D(LFS) CointEq1 0.00206 0.000167 -0.003528 (0.00066) (0.00534) (0.00032) [3.10521] [ 0.37516] [-11.04340] -0.248162 -0.002517 0.026547 (0.06126) (0.00152) (0.02939) [-4.05111] [-1.65607] [ 0.90321] -1.305112 -0.422528 -0.944719 (0.24417) (0.06058) (1.17155) [-0.53450] [-6.97513] [-0.80638] 0.273899 -0.000661 0.105574 D(LSP(-1)) D(LEX(-1)) D(LFS(-1)) (0.17883) (0.00444) (0.08587) [ 1.53158] [-0.14898] [ 1.23040] 7.784488 0.036886 -0.075132 (3.65302) (0.09063) (1.75273) [ 2.13097] [ 0.40701] [-0.04287] R-squared 0.109365 0.188345 0.532767 Adj R-squared 0.087718 0.168617 0.521410 Sum sq resids 6.044426 0.283363 0.005407 S.E equation 0.620178 1.538586 0.297564 F-statistic 5.052115 9.547197 46.91346 Log likelihood -167.668000 543.486000 142.029000 Akaike AIC 11.11938 3.72626 9.650619 Schwarz SC 11.21912 3.826 9.750359 Mean dependent 5.924696 0.015903 0.057421 S.D dependent 0.181245 0.001682 0.633589 C Determinant resid covariance (dof adj.) 6.86E-14 Determinant resid covariance 5.78E-14 Log likelihood 853.947000 Akaike information criterion 24.4253 Schwarz criterion 24.76192 Ki i quan h nhân qu Granger Null Hypothesis: Obs F-Statistic Prob LEX does not Granger Cause LFS 298 4.9648 0.0266 0.74721 0.3881 2.40433 0.1221 16.2879 0.00007 2.57201 0.1098 0.4559 0.5001 LFS does not Granger Cause LEX LSP does not Granger Cause LFS 298 LFS does not Granger Cause LSP LSP does not Granger Cause LEX LEX does not Granger Cause LSP 298 Ph l c K t qu nghiên c u th c nghi m m i quan h gi a t giá h ch s ch ng khoán t n 1995-2017 Th ng kê mơ t bi n LSP Trung bình Ki nh nghi LEX LFS 6.22808 3.93385 4.55716 6.15895 3.78173 4.49890 6.41963 4.37025 5.23965 4.51270 2.08418 3.90831 1.81986 0.89408 1.03523 276 276 276 Null Hypothesis: D(LSP) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=15) t-Statistic Augmented Dickey-Fuller test statistic -18.693700 Test critical values: 1% level -3.452215 5% level -2.871061 10% level -2.571915 *MacKinnon (1996) one-sided p-values Prob.* 0.0000 Null Hypothesis: D(LEX) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=15) t-Statistic Augmented Dickey-Fuller test statistic -15.099400 Test critical values: 1% level -3.452366 5% level -2.871128 10% level -2.571950 Prob.* 0.0000 *MacKinnon (1996) one-sided p-values Null Hypothesis: D(LFS) has a unit root Lag Length: (Automatic - based on SIC, maxlag=15) t-Statistic Augmented Dickey-Fuller test statistic -25.455800 Test critical values: 1% level -3.453072 5% level -2.871438 10% level -2.572116 *MacKinnon (1996) one-sided p-values Prob.* 0.0000 Ki ng liên k t Johansen Sample (adjusted): 299 Included observations: 294 after adjustments Trend assumption: Linear deterministic trend Series: LSP LEX LFS Lags interval (in first differences): to Unrestricted Cointegration Rank Test (Trace) Hypothesized Trace 0.05 No of CE(s) Eigenvalue Statistic Critical Value Prob.** None 0.249845 13.217625 29.797070 0.3146 At most 0.024608 8.108054 15.494710 0.4539 At most 0.002659 0.782757 3.841466 0.3763 Trace test indicates no cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized Max-Eigen 0.05 No of CE(s) Eigenvalue Statistic Critical Value Prob.** None 0.249845 10.867494 21.131620 0.3801 At most 0.024608 7.325297 14.264600 0.499 At most 0.002659 0.782757 3.841466 0.7736 Max-eigenvalue test indicates no cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Ph l c K t qu nghiên c u th c nghi m m i quan h gi a t giá h ch s ch ng khốn t n 1995-2017 Th ng kê mơ t bi n LSP Trung bình Ki nh nghi LEX LFS 2.57281 1.32417 3.85884 2.35104 1.07728 3.80467 2.86695 2.83923 5.72337 1.94732 1.40349 3.45591 0.78832 0.50839 1.26114 276 276 276 Null Hypothesis: D(LSP) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=15) t-Statistic Augmented Dickey-Fuller test statistic -22.404520 Test critical values: 1% level -3.452215 5% level -2.871061 10% level -2.571915 Prob.* 0.0000 Null Hypothesis: D(LEX) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=15) t-Statistic Augmented Dickey-Fuller test statistic -17.014020 Test critical values: 1% level -3.452215 5% level -2.871061 10% level -2.571915 Prob.* 0.0000 *MacKinnon (1996) one-sided p-values Null Hypothesis: D(LFS) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=15) t-Statistic Augmented Dickey-Fuller test statistic -11.937340 Test critical values: 1% level -3.452596 5% level -2.871229 10% level -2.572004 *MacKinnon (1996) one-sided p-values Prob.* 0.0000 Ki ng liên k t Johansen Sample (adjusted): 299 Included observations: 294 after adjustments Trend assumption: Linear deterministic trend Series: LSP LEX LFS Lags interval (in first differences): to Unrestricted Cointegration Rank Test (Trace) Hypothesized Trace 0.05 No of CE(s) Eigenvalue Statistic Critical Value Prob.** None 0.180243 15.711946 29.797070 0.2983 At most 0.027334 8.280229 15.494710 0.4359 At most 0.000449 0.132126 3.841466 0.7162 Trace test indicates no cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized Max-Eigen 0.05 No of CE(s) Eigenvalue Statistic Critical Value Prob.** None 0.180243 15.048221 21.131620 0.1905 At most 0.027334 8.148103 14.264600 0.3639 At most 0.000449 0.132126 3.841466 0.7162 Max-eigenvalue test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values ... nh p c ng th i c th mà i vi c giá ch ng khoán s v y, t giá h giá ch ng khoán s gi giá h ng kéo theo giá ch giá h m Tóm l i, theo cách ti p c u v i ch s ch ng khoán cl i Xét k ch b u c a Frankel... n m t m i quan ng ch ng khoán C th là, t giá h nh giá th p) giá ch ng khốn s c chi u gi a hai th i c phát hi n t cách khác, t giá h c l i, m t m i chi ng n i t b nh p nh giá cao) giá ch ng khốn... cung nhu c u tài s n s i t giá h i ng Nói cách khác, giá ch i gi i s kéo theo t i c chi u C th , giá ch ng khoán n i d ng n giá h m c a c tác gi gi u giá ch ng khoán xem xét l i danh m u mà h