B O IH -o0o - N T T NGHI P N C PHI TH NG C I C PH NG CH C HI N : N : A21577 : I 2015 T NAM B O IH -o0o - N T T NGHI P N PHI TH NG C I C PH NG CH ng d n c hi n T T NAM : : 21577 I 2015 Thang Long University Library L IC c hi nh n t t nghi cs nhi t t i gi n l c, nhi th c hi s c nh il ic ng d n c a em ThS b ng d n em su t th n n ng d y t ih n th c v kinh t t nh n l a, truy c n n t ng v ng n nh t, i, t i ib nc a ng h em su lu n ng il ic i gian th c hi L I n t t nghi li ng d c ps d b c hi h tr t uc ng ch d mv l Thang Long University Library M CL C M 1.1 U p thi t c 1.2 u 1.2.1 c u 1.2.2 M u 1.3 u 1.3.1 u 1.3.2 Ph u 1.4 u 1.5 K t c T TV PHI PHI 2.1 T ng quan v ch phi 2.1.1 T ng quan v th NG ng ng ch 2.1.2 T ng quan chung v ch 10 2.1.3 T ng quan chung v c phi ng 13 2.2 Nh ng v chung v 2.2.1 M phi phi u ng 14 2.2.2 s 2.2.3 th c c a c phi 2.2.4 th 2.3 phi v 2.4 ng 14 ng 16 i 16 i 16 2.3.2 2.3.4 ng 14 ng c a c phi 2.3.1 2.3.3 Ho ng 13 nc ng ch t Nam 18 oc i 19 ng kinh doanh c i 21 phi ng 21 2.4.1 21 2.4.2 26 2.5 u 36 U 38 2.6 u 38 2.7 p s li li u 39 2.7.1 p s li u 39 2.7.2 li u 40 2.8 u 42 2.8.1 u 43 2.8.2 thuy u 43 TH C TR PHI PHI NG C NG CH M 4.1 L ch s i Th 4.2 Th c tr th ng ch ng ch phi T NAM 50 t Nam 50 ng c t Nam 52 4.3 Th c tr i C ph 4.3.1 NH phi ng ch ng c t Nam 55 ng GDP (GDP) 55 4.3.2 L 57 4.3.3 T 58 4.3.4 Th i gian ho ng c 4.3.5 59 60 4.3.6 T su t sinh l n (ROA) 62 4.3.7 T su t sinh l n ch s h u (ROE) 64 4.3.8 H s p (P/E) 66 4.3.9 T l n x u (NPLs) 67 4.3.10 4.3.11 T l phi u (EPS) 69 n (CAR) 70 4.3.12 T ng v n ch s h u 71 4.3.13 T ng t n 72 Thang Long University Library 4.3.14 T ng t ng ti n g i 73 4.3.15 T ng c ng 74 N I DUNG K T QU 5.1 Th m 5.2 U 77 u 77 i quy 5.2.1 81 pc 5.2.2 Ki 82 pc 82 5.2.3 Ki ng 83 5.2.4 K t qu c 5.3 u ch 5.4 Ki 85 89 nh khuy t t t c 5.4.1 Ki 5.4.2 Ki 90 ng n 90 nh d p 91 5.4.3 Ki p 92 K T LU 6.1 t k t qu 6.2 M t s h n ch c TS KI N NGH 94 u 94 u 94 6.3 M t s ki n ngh 95 K T LU N U THAM KH O DANH M C VI T T T u vi t t t ACB CTD CTG EIB EPS HBB NCB NHNN NHTM NXB ROA ROE SHB STB TTCK TTS VCB VCSH Thang Long University Library DANH M NG BI B TH C 18 B ng 2.2 M t s B ng 2.3 M t s uv uv ng GDP t ng l B ng 2.4 M t s B ng 2.5 M t s uv uv ng c a t ng th i gian ho phi u 22 phi u 24 phi u 25 ng c phi u 27 B ng 2.6 M t s uv phi u 28 B ng 2.7 M t s uv ng c a kh phi u 30 B ng 2.8 M t s B ng 2.9 M t s uv uv ng c a h s phi u t B ng 2.10 B ng t ng h p bi B ng 3.1 B B B ng 4.2 Th thi phi phi u c ng ch t Nam t B ng 4.3 T B ng 4.4 T l l B ng 4.5 Th B ng 4.6 Th ng i gian ho ng c phi u 31 phi u 33 u 36 42 2014 52 i c ph t 2014 52 2014 56 57 - 2014 58 59 B ng 4.7 Th Nam t i c ph t -2014 60 B ng 4.8 Th Nam t i c ph t - 2014 62 B ng 4.9 Th Nam t B ng 4.10 Th m i c ph t - 2014 64 s pc i c ph y B ng 4.11 Th t Nam t l n x - 2014 66 i c ph Vi t Nam t -2014 67 B ng 4.12 Th n phi t Nam t 2014 69 B ng 4.13 Th l nc t Nam t B ng 4.14 Th ph 2014 70 ng v n ch s h u c ic t Nam t 2014 71 B ng 4.15 Th TTCK Vi t Nam t i c ph -2014 72 B ng 4.16 Th ng c ng c ic ph B ng 4.17 Th t Nam t 2014 73 ng c ic ph B ng 5.1 K t qu th B ng 5.2 K t qu t Nam t 2014 74 77 pc 82 ng c B ng 5.3 K t qu ki pc i bi n ph thu c Price 83 B ng 5.4 K t qu iq i bi n ph thu c Price 84 B ng 5.5 K t qu phi i quy n 89 B ng 5.6 K t qu u ch nh v i bi n ph thu c LNPrice 89 B ng 5.7 K t qu ki B ng 5.8 K t qu ki nh d ng n 91 92 B ng 5.9 Ki Bi p 92 ng 18 Ph l ng ch i t Nam (2010 i c ph 2014) Ph l c Th i gian ho ng c ng ch t Nam (2010 Ph l ng GDP, t l l i c ph 2014) -2014 Ph l m i c ph Ph l phi phi u c ng ch 2014 ng GDP, t l l i phi t Nam t 2014 Ph l phi l ROA, t l ROE, t l n x u c t Nam t Ph l phi 2014 3.1 Thi t k u 38 ng t phi u c i c ph h ng ch t Nam 43 Thang Long University Library B ng 5.7 K t qu ki ng n a Coefficients Model Collinearity Statistics Tolerance VIF (Constant) AGE 561 1.782 ROA 317 3.152 LNSIZE 386 2.594 LNEX 497 2.013 VCSH 532 1.879 TTS 334 2.993 TTG 317 3.153 a Dependent Variable: LNPrice Ngu n: t t ng h p qua ng n ta th y t t c T b ng k t qu ki u nh s ng n t s SPSS i th c hi c ti p ul cl v i B i v y T i quy 5.4.2 Ki nh d Sau ki ng ta c n ti hi u qu nh d Breusch Khi th c hi n ki m H0 : H1 : Breusch D nh d Pagan thuy t ng d ng d k t lu mb gi thuy t H0, ta s p nh nh Pagan Prob k t lu p nh n hay N u Prob gi thuy t H0 gi thuy t H0 hi n i N u Prob sai sai s p nh n H0 i 91 hi B ng 5.8 K t qu ki nh d Breusch-Pagan / Cook-Weisberg test for heteroskedasticity Ho: Constant variance Variables: AGE ROA LNEX LNSIZE VCSH TTS TTG chi2(7) = 3.62 Prob > chi2 = 0.8229 Ngu n: T k t qu ki nh d t t ng h p qua ng 5.8), ta th y r ng Stata Prob l c phi i quan h v i nhau, 5.4.3 Ki b ng k t lu n sai l ta c n ti gi thi t th Ch i p ng tin c y ho c ki nh nh b Khi th c hi n ki H0 H1 nh Ramsey reset test thuy t b n n k t lu p nh Ramsey reset test D a gi thuy t H0, ta s k t lu p nh N nh gi thuy t H0 gi thuy t H0 n N p nh n H0 t bi n B ng 5.9 Ki p estat ovtest Ramsey RESET test using powers of the fitted values of lnprice Ho: model has no omitted variables F(3, 24) = 2.23 Prob > F = 0.1107 T b ng 5.9 ta th y r lu n r Ngu n: Prob l gi t t ng h p qua Stata k t n 92 Thang Long University Library Qua ch K T LU N CH 5: N i dung k t qu u, ng quan v ho ph l ng s n xu t kinh doanh c tr ng ch ng ph n m m SPSS, Stata b n p c t c s d ng nh ki ng v c nh ng ic n t 2010 n 2014 a kinh t ng n, ki m i quy n i bi n ph thu c LNPrice, t th ng t phi u c m c 5% v i 83,2% s bi phi u 93 c m i i M i c a bi n K T LU TS KI N NGH 6.1 Trong ho phi ng kinh doanh c s gi ul nh ng Vi ul c a phi u phi u phi u m i ho c gi y t t kho n ng ch k t qu kinh doanh c ng t ng t i phi u c a m t quan tr od ng v v cung c p v n cho n n kinh t c bi ng v n r t l n ho nh phi i ng t h t tc n, hi i y ut s li u th c t thu th p t phi i gian ho ng t ng ch ut nh ng m nh m nh t t t m i quan h ng v n ch s h u, t u t th i gian ho g il ut c chi phi u c ng t c chi u a c phi ng c ng i c ph n c n, t c chi u t ng ng t ng ti n i phi 6.2 phi u c hus ng c a nhi u y u t n nh vi c gi n tr c c i thi phi ho ng c phi u ng c thuy ph c c phi u c Vi i c ph c m t s k t qu nh c ti n n n kinh t , v i c ph 2010 2014 v i s ng t i ng ch ng nh v m ng h n ch c c kh c ng ch ng m 94 Thang Long University Library d li c thu th p t gian ch phi u c t qu ch t i ng c u m r ng ph m vi th i, n u m r ng ph t qu uv ul t phi a (nhi i cs quan tr ng n phi u c th ng ch i NHNN M t s h n ch l yt a ghi s th ng c thu is i ng ng ng c a m t, c ban s d ng ngu n d li u th c p tc u ch t qu bi nc n ph c gi t s h n ch ph nh ng h n ch ng k t qu uc k t qu t c ph c nh ng h n ch n t i 6.3 ct nh c a h s quy ng t phi ng t Hi u qu v nc d nc ph V ho ch d ng, tu n th ut ng t phi u b i ng t i cung c u c phi ng ch ng u t th i gian ho ng c su t sinh l ng t ng v n ch s h u, t ng ti n g i ng tr c ti p t i quy nh c n ngh i thi phi u: u qu kinh doanh kinh doanh c ty ut V ho ng v n: Ho ng mb p v i kh ng ho ng v ng d ch v , n ph pv it h c bi n ng ti n g nd c ng v , gi m thi d ng c i ki n, gi v ng th ph iv n th p t c khai i ng ki t ch ch i n the nh c c 95 V ho i, gi m thi u r d c ym n ph t, ti n t ym ch v Vi c t ho nh mb M r N u thu nh p ho tr ng truy n th ng t nh kinh doanh kh quan Vi c m r , th c ngu n v n t s t o d c ni m nh tranh M t s bi n ph c Minh b ch v mc l chi tr c t T c ki c nh vi c c g n nh a t o thu n l m c a n n kinh t Vi c c ho th y s nh c nh u chi m th ph n t n d ng l i th th iv c s ng T phi u m r t tt nhi ti p c tr ng thu n v n m l c, kh ng l i c u ki n thu n l ho xu t m t s ki n ngh n th ng ch t Nam: ph t o u ng s n xu t kinh doanh Do th ng ch i n th ng ng n h n h n M t s ki n ngh ng l i v th c a th ng ch n kinh t a Vi t quy n th ng ti n t n ph ng c a quy n th t ng ch ng nh v ch t os h pd quy nh v gi giao d nhi n giao d ch, mua i gian T + C i thi n ch th u ki t, c ng c ch minh b t 96 Thang Long University Library PH L C Ph l c i c ph ng ch t Nam (2010 ch t 2014) t ACB NHTM c ph CTG NHTM c ph EIB NHTM c ph n Xu t Nh p Kh u Vi t Nam NVB NHTM c ph n Qu SHB NHTM c ph STB NHTM c ph VCB NHTM c ph n Ngo t Nam ng c i c ph Ph l c Th i gian ho Vi t Nam i ng ch t Nam (2010 ng 2014) Th i gian ho ng p ACB 21 CTG 1988 26 EIB 1989 25 NVB 1995 19 SHB 1993 21 STB 1991 23 VCB Ph l c 1993 1963 51 ng GDP, t l l t -2014 ng T l l m GDP (%) T ng) 2010 6,78 11,75 18.613 2011 5,89 18,58 20.510 2012 5,25 6,81 20.828 2013 5,42 6,04 20.933 2014 5,98 4,09 21.148 t Ph l c phi phi u c th PRICE CK P/E g m i c ph ng ch NPLs 2014 EPS CAR ROA ROE SIZE VCSH TTS TTG CTD 23,03 39,605 2010 22,17 21.740 0,88 3.280 1,73 36,02 281.019 5,1186 37,01 32,993 56,129 2012 21.560 32,372 2,46 666 13,50 1,5 8,5 176.308 16.150 18,606 3,10 868 14,70 0,6 8,2 166.599 -0,9525 15.750 15,426 2,17 1.021 14,10 0,7 9,8 179.610 -0,8549 2010 24.630 11,985 0,66 2.055 1,5 2011 25.170 8,894 0,75 2.830 10,57 2012 20.800 10,132 1,35 2.053 10,33 1,7 2013 18.900 12,566 0,82 1.504 13,17 2014 15.190 11,998 0,90 1.266 10,40 2010 19.100 11,144 1,42 1.714 17,79 1,85 13,51 131.111 1,1428 100,33 50,003 2011 14.800 6,0163 1,61 2.460 12,94 1,93 20,39 183.567 20,663 2012 16.660 9,6245 1,32 1.731 16,38 1,2 13,3 170.156 -3,0076 2013 14.510 27,223 1,98 533 14,47 0,4 4,3 169.835 -7,1583 2014 12.870 279,78 2,46 46 13,62 0,03 2010 NVB 12,571 2014 EIB 1,66 28,91 205.103 2013 CTG 0.34 2.861 10,40 2011 ACB 30.580 10,689 9.270 6,3104 2,24 1.469 19,47 2011 8.570 13,756 2,92 623 17,18 2012 7.690 1098,6 5,64 19,09 0,02 6,628 9,25 8,02 5,5636 -37,26 -11,94 -22,74 -5,51 10,283 2,54 7,81 11,949 10,105 22,1 367.731 44,53 50,84 38,783 42,513 2,03 26,74 460.420 56,539 25,26 24,873 26,014 19,9 503.530 18,019 9,32 12,433 10,529 1,4 13,7 576.368 60,819 14,47 26,078 12,146 1,2 10,5 661.132 1,7349 14,71 16,374 16,778 0,39 161.094 40,01 58,84 -7,73 19,847 -7,31 31,323 -1,164 -0,19 12,794 12,603 -4,169 -5,15 27,556 6,3775 20.016 73,413 7,1 11,329 7,7281 7,26 22.496 59,05 0,1 21.585 -0,995 1,27 18,99 12,39 38,252 -4,05 -17,2 Thang Long University Library 28,29 -5,721 PRICE CK P/E NPLs EPS CAR ROA ROE SIZE VCSH TTS TTG CTD 2013 62 16,03 0,06 0,75 29.074 0,6063 34,7 49,747 6,7675 6.780 251,11 2,52 27 10,83 0,02 0,3 36.837 0,2498 26,7 32,992 26,472 16.270 7,4702 1,40 2.178 13,81 1,9 22,6 51.033 73,686 85,78 74,707 83,276 2011 8.470 4,8539 2,23 1.745 13,37 1,75 22,5 70.990 39,374 39,11 35,708 25,801 2012 7.860 238,18 8,81 33 14,18 0,02 0,25 116.538 63,053 64,16 123,08 92,231 2013 6.870 7,1637 4,06 959 12,38 0,59 8,2 143.626 8,9312 23,24 16,962 36,354 2014 8.970 10,056 2,02 892 11,33 0,47 7,54 169.036 1,2071 17,69 35,772 39,082 2010 19.070 7,8737 0,52 2.422 1,5 15,04 141.799 32,922 36,32 29,45 13,256 2011 13.880 6,1937 0,56 2.241 11,66 1,44 14,6 140.137 3,7666 -0,23 -4,14 2012 21.280 23,566 2,05 0,66 7,32 152.119 -5,8917 7,53 43,10 20,854 2013 18.820 9,4955 1,44 1.982 10,22 1,39 14,32 160.170 24,566 6,09 22,51 12,998 2014 19.370 10,031 1,18 1.931 9,87 1,31 13,21 188.678 5,8606 17,61 23,86 15,136 2010 39.160 16,916 2,83 2.315 9,00 1,5 22,55 307.621 23,692 20,4 21,106 21,984 2011 VCB 6,07 2010 STB 110 2014 SHB 6.820 28.020 15,662 2,03 1.789 11,14 1,25 17,08 366.722 38,108 19,21 10,871 15,022 2012 26.980 14,133 2,40 1.909 14,63 1,13 12,61 414.488 45,071 13,03 25,284 9,9964 2013 29.000 15,442 2,73 1.878 13,13 0,99 10,33 468.994 2,0194 13,15 16,817 9,9163 2014 28.040 18,172 2,31 1.543 11,61 0,88 10,76 576.989 2,2767 23,03 27,076 16,676 903 9,97 9,53 -10,53 Ph l c phi t ng GDP, t l l c t Nam t Ngu Ph l c t t ng h p t phi t l ROA, t l ROE, t l n x u c t Nam t Thang Long University Library Ph l c phi y 2010 2014 2500 25000 2000 20000 1500 15000 1000 10000 500 5000 0 EPS Ngu t t ng h p t DANH M C Danh m B U THAM KH O u tham kh o b ng Ti ng Vi t c Hi ng ch i m Y n (2003), Th ng ch , N i , NXB Th i D tr ch v Vi Chi c t ng th n , ng v ng ch , i n v ch u khoa h o ch ng i ng, Chu Nguy n M ng Ng c (2008), v i SPSS (t p 1) , NXB H i M n (2011), N i Lu b sung Lu Nguy ch li u nt ng s ts ch n, Th ng s 11/2003/QH n & doanh nghi p , NXB Th ng i 10 Nguy n Quang Dong, Nguy n Th Minh (2012), i h c Kinh t Qu i 11 Nguy Ch , 12 Peter S Rose (1999), Qu n tr h c Kinh t Qu ng , ng i , xu t b n l n th 4, b n d ch c a Nguy PGS TS Nguy i 13 Ph m Th hi u qu ho i c Hi n, Ph m Long Lu ng c , Gi c Vi t Nam hi n , Hi i i Thang Long University Library 14 Ph nghi 15 Phan Th ng ch , NX i t & Ph ng c o (2013), kinh t n th i, S (18), pg 34-41 16 Qu c H ch 17 Qu c h cC , cC sung m t s 24/11/2010 ng ch i Ch t Nam (2010), Lu i i ch t Nam (2010), Lu t s u c a Lu t Ch 18 h p th Th Hu , u th c nghi i, b -French: M t s i v i TTCk Vi t Nam Danh m u tham kh o b ng Ti ng Anh 19 Adaramola, AnthonyOlubega (2011), , Developing Country Studies, Vol 1,(2) 20 Abu Hashish, K (2003) Predicting of Stock Prices, An applied Study on Listed Corporations on Amman Stock Exchange , issue 21 AL Khalaileh, M University, Amman, tween Accounting Performance , An applied Study on Listed Corporations on Amman Security Exchange 22 Amarjit et al (2010), Management And Profitability: Evidence From The United and Economics Journal, Vol 10 , Business 23 Athanasoglou P., Delis M and C Staikouras (2006), , Bank of Greece Working Paper 06/47 24 Factors Affecting Performance of Stock Market: Evidence from South Asian Countries Business and Social Sciences, Vol 2, No 9, pg 1-15 25 Boyd, J.H and D.E Runkle (1993) Testing the Predictions of Theory , Journal of Monetary Economics 31, 47-67 26 Chang, H.L., Chen, Y.S., Su, C.W., & Chang, Y.W (2008), , Economic Bulletin, 3(30), 1-12 27 David Begg, h NXB Th i 28 Dr Mohammad Abdelkarim Almumani (2014), Determinants of Equity Share Prices of the Listed Banks in Amman Stock Exchange: Quantitative Approach , International Journal of Business and Social Science Vol No 29 Eita, Joel Hinaunye (2012), The Journal of Applied Business Research, Vol 28 (5), pg 871-884 30 Falope OI, Ajilore OT (2009), profitability: evidence from panel data analysis of selected quoted companies Research Journal of Business Management, Vol 3, pp 73-84 31 Fama ( 1981), "Stock returns, Real Activity, Inflation and money", American Economic Review, 71(4): 545 565 32 Flamini et al (2009), Sub, IMF Working Paper 33 Gautam Goswami & Sung Chang Jung (1997), , Working paper, Graduate School of Business, Fordham University 34 Gjerdr, Oystein and Frode Saettem (1999), , Journal of international Financial markets, Institutions and Money, Vol.9, pg 61-74 35 Khan, K I., Aamir, M., Qayyum, A., Nasir, A., & Khan, M I (2011), Can Dividend Decisions Affect the Stock Prices: A Case of Dividend Paying Companies of KSE Journal of Finance and Economics, 76, 67-74 36 Khan, M., & Amanullah (2012), Determinants of Share Prices at Karachi Stock Exchange , International Journal of Business & Management Studies; Vol 4( 1): 1309-8047 37 Liargovas, P, & Skandalis, K (2008) Factor affecting firms financial performance The Case of Greece , University of Peloponnese Thang Long University Library 38 Liu, Ming-Hua & Keshab Shrestha (2008 ), -term relationship between macroeconomic variables and the Chinese stock market , Managerial Finance, 34, pg 744-755 39 40 Malhotra, N., & Tandon, K (2013), Determinants of Stock Prices: Empirical Evidence from NSE 100 Companies , IRACST- International Journal of Research in Management & Technology (IJRMT); Vol 3(3): 86-95 41 Mehr-un-Nisa & Mohammad Nishat (2012), determinants of stock prices , Asian Economic and Financial Review, Vol (4), pg 276-291 42 Mukharjee, T.K and Naka, A (1995), macroeconomic variables and the Japanese stock market: An application of vector error co , The Journal of Financaial Research Vol 2, pg 223 237 43 N Gregory Mankiw, "Principles of Economics", part 8, p 496 44 Papadogonas, T.A (2007), , Int J Financial Services Management, Vol 45 Somoye, R.O.C., Akintoye, I R., & Oseni, J.E (2009), , International Research Journal of Finance and Economics, 30, 177-189 46 Sorensen, B., & Stuart, E (2000) Age, Obsolescence, and Organizational Innovation Academy of Management Journal, 25, in (Liargovas and Skandalis , 2008, p6 47 Uddin, Reaz, Zahidur Rahman & Rajib Hossain (2013), stock prices in financial sector companies in Bangladesh: A study on Dhaka Interdiscipplinary Journal of Contemporary Research in Business, 5(3), p 471-480 48 Sbv,gov.vn