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Hnh vi gi chng khon v th trng hiu qu

U T TI CHNH

S hnh thnh ca th trng hiu qu Nhng ng ca cc dng TTHQ TTHQ v cc thnh qu ca cc nh qun l qu chuyn nghip ngha ca cc bt thng: v, Bong bng i vi TTHQ Tho lun

GVHD: Trn Th Hi L SVTH: Nguyn Th Ly Nguyn Phm M Hnh Trn Th M 7-1

7-2

I.S hnh thnh ca th trng hiu qu

Th trng hiu qu mt t chc hot ng

I.S hnh thnh ca th trng hiu qu

Are Financial markets Efficient? nh bi th trng T sut sinh li vt tri Cc iu kin v TTHQ c im ca TTHQ

Tuy nhin l

Th trng hiu qu mt thng tin thuyt th

Th trng hiu qu mt phn phi

trng hiu qu ngi ta gi nh l th trng chng khon c hiu qu v mt phn phi v hiu qu hot ng. V vy, chng ta ch xt th trng ny trong iu kin hiu qu v mt thng tin
7-3

Th trng hiu qu

Cc dng TTHQ TTHQ: L th trng trong gi c ca chng khon phn nh y , tc thi cc thng tin hin c trn th trng. TTHQ: L th trng m NT khng lun nh bi c th trng TSSL vt tri: l s chnh lch gia thu nhp t khon u t ny v thu nhp ca nhng khon u t khc cng mt mc ri ro nh bi th trng: lin tc kim c 1 khon TSSL vt tri Dng
7- 4

I.S hnh thnh ca th trng hiu qu

Efficient market

I.S hnh thnh ca th trng hiu qu

3 hnh thc ca th trng hiu qu
Th trng hiu qu dng yu
Gi c phn nh tt c cc thng tin trong gi qu kh

Cc iu kin
1. S hp l ca cc nh u t 2. S khng tng quan gia cc sai lch 3.Kinh doanh chnh lch gi
7- 5

Cc c im
- Mi thng tin u

Th trng hiu qu dng va

Gi c phn ng tt c cc thng tin cng b cng khai ra cng chng

nhanh v chnh xc v NT u thu thp ngay lp tc thng tin ny - Khng th suy lun hiu qu tng lai t hiu qu hot ng qu kh -

Th trng hiu qu dng mnh

Gi ca chng khon phn nh tt c nhng thng tin cn thit c lin quan n cng ty, thm ch c nhng thng tin ni gin
7- 6

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II. Nhng ng ca th trng hiu qu

II. Nhng ng ca th trng hiu qu

Ng 1: Vic tm kim TSSL d on t nhng thng tin trong qu kh khng c ngha quan trong v mt kinh t Ng 2: Gi chng khon thay i khng theo 1 hnh dng c th no theo thi gian v hnh vi gi chng khon l nhng bc ngu nhin Ng 3: trong iu kin th trng hiu qu dng va, Gi c chng khon ch thay i khi c nhng thng tin ngoi mong i

Cc ng ca TTHQ

Cch thc phn bit cc giao dch

7- 7

7- 8

II. Nhng ng ca th trng hiu qu

Ng 4: Bng PP
nghin cu s kin cc nh nghin cu chng minh rng TSSL hin ti ch ph thuc vo thng tin cng b ti ti im hin ti ch khng chu nh hng ca nhng thng tin cng b hoc cha cng b>>>ng

II. Nhng ng ca th trng hiu qu Ng 5: Nhng ng cho cc nh u t nu TTHQ

NT ch nn tp trung vo vn phn b ti sn v t quan tm n vic la chn chng khon Khi TTHQ vai tr ca cc nh qun l qu chuyn nghip v nhng nh mi gii lin quan cng gim st v NT nn xem xt cc CK c chi ph qun l thp Nu TTHQ NT khng nn nh thi im th trng

h cho gi thuyt 7- 9 TTHQ

Hnh: TSSL bt thng tch lu ca Advanced Medical Optics.30/03/2007

7-10

II. Nhng ng ca th trng hiu qu

Giao dch am hiu: mua hay bn mt chng khon da trn nhng thng tin cng cng c sn v s phn tch Giao dch ni b hp php:thc hin hon ho cc giao dch chng khon ca cng ty h mt cch hp php Giao dch ni b phi php : s dng nhng thng tin quan trng khng c cng b nhm mc ch kim li
7-11

III. TTHQ v thnh qu ca cc NQL qu chuyn nghip

4 l do kh kim nh s hiu qu ca th trng

Thnh qu ca cc nh qun l qu chuyn nghip

7-12

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III. TTHQ v thnh qu ca cc NQL qu chuyn nghip

III. TTHQ v thnh qu ca cc NQL qu chuyn nghip

4 l do kh kim nh s hiu qu ca th trng

L do 1 L do 2 L do 3 L do 4

Thnh qu ca cc nh qun l qu chuyn nghip

1 2

S iu chnh ri ro

Nhng thng tin lin quan

S may mn tnh c

Vic o bi d liu

Qu ch s Vanguard 500: l mt qu tng h chi ph thp, c thit k em li mt kt qu u t m n tng ng vi gi v li tc ca ch s S&P500

7-14

Qy tng h c phn chung (GEF) l mt s tin c u t vo c phiu m n c gim st bi mt nh qun l qu chuyn nghip.

7-13

III. TTHQ v thnh qu ca cc NQL qu chuyn nghip

III. TTHQ v thnh qu ca cc NQL qu chuyn nghip

Thnh qu ca cc nh qun l qu chuyn nghip

Nhn xt: T hnh ta c th thy nhng nh qun l qu chuyn nghip kh c th gi c qu ca mnh tn ti trong vng 10 nm.
7-15

Thnh qu ca cc nh qun l qu chuyn nghip

Nhn xt: Ch c 12 nm trong tng s 24 nm l hn mt na s nh qun l qu chuyn nghip c th nh bi qu ch s Vanguard 500.

Hnh :S gia tng ca cc qu c phn c qun l nng ng t 1986 2009

Hnh :Phn trm cc qu c qun l nh bi qu ch s Vanguard 500, t sut sinh li 1 nm.

III. TTHQ v thnh qu ca cc NQL qu chuyn nghip

III. TTHQ v thnh qu ca cc NQL qu chuyn nghip

Thnh qu ca cc nh qun l qu chuyn nghip
di ca Khong mi giai thi gian on u t S giai on u t S giai on T l u t m phn phn na cc trm qu nh bi qu ch s Vanguard 14 11 9 3 46.7 39.3 34.6 14.3 S giai on T phn u t m tram cc qu nh bi qu ch s Vanguard

Thnh qu ca cc nh qun l qu chuyn nghip

Nhn xt: Ch c 5 nm trong tng s 24 nm l hn mt na s nh qun l qu chuyn nghip c th nh bi qu ch s Vanguard 500.

1 3 5 10

1980-2009 1982-2009 1984-2009 1989-2009

30 28 26 21

2 0 0 1

6.7 0.0 0.0 4.8

Hnh : Phn trm cc qu c qun l nh bi qu ch s Vanguard 500, t sut sinh li 10 nm.

Nhn xt: thnh qu ca nh qun l qu chuyn nghip nhn chung km hn so vi qu ch s Vanguard 500, thnh qu cng gim i khi giai on u t di hn.

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III. TTHQ v thnh qu ca cc NQL qu chuyn nghip

IV. Nhng bt thng, bong bng v khng hong 4.1 Nhng bt thng theo lch

Nhn xt:
Cc nh qun l qu chuyn nghip dng

Hiu ng trong tun Hiu ng thng Ging Hiu ng nhng ngy chuyn nm Hiu ng nhng ngy chuyn thng

nh thiu kh nng lm tt hn ch s th trng ph hp vi nim l nhn chung th trng vn c phn l hiu qu

Nhng thng l tr vi thuyt trng qu

bt ny ngi gi th hiu

IV. Nhng bt thng, bong bng v khng hong Hiu ng trong tun
Khong thi gian 1950 2009 1950 1979 1980 2009 Th 2 - 0.068% - 0.137% 0.003% Th 3 0.040% 0.001% 0.080% Th 4 0.084% 0.094% 0.075% Th 5 0.041% 0.061% 0.022% Th 6 0.076% 0.115% 0.037%

IV. Nhng bt thng, bong bng v khng hong Hiu ng thng ging Nhn xt: Cc c phiu nh c TSSL trung bnh thng cao hn trong thng Ging Nguyn nhn: 1. p lc bn CK l vo cui nm c gim thu 2. C cu danh mc u t Note: Khng nht thit nm no cng xy ra hiu ng T1.

Bng: TSSL trung bnh hng ngy ca ch s S&P 500 qua cc ngy trong tun( bao gm c tc)

Nhn xt: TSSL trung bnh ca ngy th 2 c xu hng m

IV. Nhng bt thng, bong bng v khng hong Hiu ng nhng ngy chuyn nm
TSSL th trng Khong thi gian Turn of the Rest of the Chnh lch year days (%) days (%) (%) 1962-2009 0.128 0.034 0.094 1962-1985 1986-2009 0.167 0.089 0.029 0.039 0.138 0.050

IV. Nhng bt thng, bong bng v khng hong Hiu ng nhng ngy chuyn thng
TSSL th trng Khong thi gian 1962-2009 1962-1985 1986-2009 Turn of the Rest of the month days (%) days (%) 0.127 0.129 0.125 0.019 0.016 0.023 Chnh lch (%) 0.108 0.114 0.102

Nhn xt: TSSL nhng ngy chuyn nm cao hn TSSL nhng ngy cn li

Nhn xt: Kt qu nghin cu giai on t nm 19622009 cho thy, TSSL nhng ngy chuyn thng cao hn nhng ngy cn li

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IV. Nhng bt thng, bong bng v khng hong 4.2 Nhng bt thng khng theo lch 1/ Cng b thu nhp: Vic cng b thu nhp s dn ti vic iu chnh gi c phiu. Gi c phiu phn ng rt nhanh vi nhng tin tc bt ng, tuy nhin, theo cc nh nghin cu th cng s mt vi ngy (hoc lu hn) gi th trng iu chnh hon ton 2/ T s P/E:P/E l s phn nh mc lc quan cng nh k vng ca th trng v kh nng tng trng ca doanh nghip trong tng lai

IV. Nhng bt thng, bong bng v khng hong

Bong bng

S sp

Tnh trng gi c phiu tng cao hn gi tr ni ti v cc phn tch hp l

Tnh trng gi th trng gim mnh v t ngt

IV. Nhng bt thng, bong bng v khng hong 4.3 Hai v sp th trng chng khon ln nht lch s Hoa K Nm 1987: Ngy ti t trong Nm 1929: Ngy th ba en lch s ph Wall ti

IV. Nhng bt thng, bong bng v khng hong

4.4 Cuc khng hong chu

Cuc khng hong Chu bt u vi mt th trng tng gi mnh vo nhng nm 1980. Bong bng hnh thnh ti Nht t 1955 n 1989, khi m gi c BS tng ln 70 ln v gi c CK tng hn 100 ln.

IV. Nhng bt thng, bong bng v khng hong

IV. Nhng bt thng, bong bng v khng hong

4.4 Bong bng DOT-COM v cuc khng hong

Ngy Gi tr ch s Amex Internet Kim li n nh t 1/10/1998 (%) 500% - 91% L t Gi tr Kim li nh ch s n nh t n y S&P 500 1/10/1998 (%) (%) 986.39 1,293.72 776.76 31% - 40% L t nh n y (%)

4.5 Cuc khng hong thng 10-2008

Nm 2008 ch s th trng gim hn 40%.
Chnh sch tin t d di: Cc Ngn hng cp cc khon vay di chun cho nhng ngi i vay khng iu kin, vi mc li sut cc thp. Nu gi BS tng ln th nhng ngi s hu rt d c ti cp vn. Tuy nhin, khi gi BS bt u gim xung, s lng ph sn s tng ln ng k. S ph sn ny s lm tng tc ng gim xung theo hnh trn c ca CK lin quan ti BS.

01/10/1998 Sau thng 3/2000 (nh) Trc 10/2002 (y)

114.68 688.52 58.59

Cuc khng hong ny cp ti s tng trng chng mt ca cc website. Trc thi im cui 1999, c khong 9.5 triu website hot ng v ti trc 2009 c hn 200 triu website hot ng.

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IV. Nhng bt thng, bong bng v khng hong

V. Kt lun v tho lun

Kt lun: 1. Trn cc th trng ti chnh c t chc th nhn chung l th trng hiu qu. 2. C th c nhng bt thng, khng hong xy ra chng li TTHQ, nhng nhng vn ny thng khng ln v khng thng xuyn. V vy chng khng sc nh bi gi thuyt th trng hiu qu. 3. Vic xem xt th trng hiu qu nn xem xt tng giai on c th c nhng hnh vi gi chng khon khc nhau

4. 6 nguyn nhn ca cc khng hong - n by ti chnh - S khng tng thch gia n v ti sn - S khng chc chn v tm l by n - Tht bi trong vic iu tit - S la di - S ly lan

V. Kt lun v tho lun Tho lun:

Kim nh tnh hiu qu thng tin trn TTCK Vit Nam

V. Kt lun v tho lun Tho lun:

A.Kim nh thng k v tnh c lp ca t sut sinh li ROItj = 0 + irt-i + i
Trong : ROItj: T sut sinh li ca chng khon j ngy t rt-i: T sut sinh li chng khon j ngy t-i 0: H s t do (tung gc) i: H s m hnh i: Sai s ca hi quy (nhiu ngu nhin)

S lc v TTCK Vit Nam: TTCK Vit Nam cn kh non tr nn cn nhiu hn ch: cng ty nim yt cn t, s lng cc nh u t tham gia TT cng cha c nhiu, kin thc u t ca cc nh u t cng khng ng u, nhiu nh u t cn da vo cm tnh u t.

Kim nh th trng hiu qu:

C 3 phng thc kim nh TTHQ 1.Kim nh TSSL vt tri c lp vi thng tin c n nh ti thi im t hoc sm hn hay khng 2.Kim nh quy tc giao dch c th to ra li nhun bt thng hay khng? 3.Kim nh gi th trng c lun bng gi gc khng?

S dng M hnh hi quy bng Eview: Kt qu: ch s dng m hnh ny th khng kt lun c TTCK VN c thc s hiu qu hay khng?

V. Kt lun v tho lun Tho lun:

B. Kim nh quy tc giao dch Ta tin hnh chn mt nhm c phiu c c tnh tng gi mnh nht trong mt khong thi gian, xem xt liu cc c phiu ny trong khong thi gian ti c cn tip tc tng gi na khng, nu cc c phiu ny khng tip tc thng na th kt lun l th trng hiu qu. Tuy nhin ta phi tin hnh kim nh nhiu ln. Kt qu: TTCK VN dng yu

V. Kt lun v tho lun Tho lun:

D. Kt qu kim nh chung Bng 2 phng php kim nh trn, th ta thy TTCK VN l th trng hiu qu th yu. Nhng kim nh trn ch tin hnh kim nh 1 s CK cng cha phn nh ton b bn cht ca TTCK c. Nn chng ta vn phi quan tm xem TTCK Vit Nam thc s hiu qu hay cha?

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