MI QUAN H GIA KHI LNG C PHIU GIAO DCH CA NH U T

NC NGOI V CH S VN-INDEX
PGS. TS. Trng ng Lc
i hc Cn Th
Ni dung chnh ca bi vit ny l xc nh mi quan h gia khi lng c phiu giao dch
ca nh u t nc ngoi v ch s VN-Index. S liu s dng trong nghin cu ny bao
gm chui s liu theo thi gian vi tn sut ngy (daily series) ca ch s VN-Index v khi
lng giao dch rng ca nh u t nc ngoi trn S Giao dch Chng khon thnh ph
H Ch Minh (HOSE) c thu thp trong khong thi gian t ngy 04/03/2002 cho n ngy
31/12/2009. S dng kim nh Granger, kt qu nghin cu cho thy, s thay i ca ch s
VN-Index c nh hng n khi lng giao dch rng ca nh u t nc ngoi. Tuy
nhin, chiu ngc li khi lng giao dch rng ca nh u t nc ngoi khng c nh
hng n s thay i ca ch s VN-Index.
1. Gii thiu
Vi vai tr l mt knh huy ng vn, th trng chng khon Vit Nam c nhng ng
gp ng k cho s pht trin ca nn kinh t nc nh. Ngoi ra, th trng chng khon cn
to ra mt knh u t kh hp dn cho cc ch th trong nn kinh t. Cc nh u t trn th
trng chng khon Vit Nam c th chia thnh 2 nhm: u t ngn hn v u t di hn,
trong s lng nh u t ngn hn chim a s. Cc nh u t ngn hn ch yu l cc
nh u t nh l v y l nhm i tng m quyt nh u t b chi phi rt ln bi yu
t tm l. iu ny c nh hng rt ln n khi lng c phiu giao dch v ch s th
trng. Cc nh u t di hn ch yu l cc qu u t, trong cc qu u t nc ngoi
gi vai tr c bit quan trng trn th trng.
Trong thi gian qua xut hin nhiu nh gi mang tnh nhn nh v vai tr ca cc nh
u t nc ngoi trn th trng chng khon Vit Nam. Phn ln cc nhn nh u cho
rng khi lng mua bn ca cc nh u t nc ngoi c nhng nh hng nht nh n
ch s th trng. Thc t cho thy, khi lng giao dch ca cc nh u t nc ngoi
thng c xem nh l mt ch s tham kho ca nhiu nh u t c nhn. Bng chng l
khi lng giao dch ca cc nh u t nc ngoi c cng b trn hu ht cc bn tin ti
chnh ca cc phng tin thng tin i chng. Tuy nhin, cho n nay, theo nhn nh ca
nhiu chuyn gia, s chi phi v nhng tc ng c th ca nh u t nc ngoi i vi th
trng vn cn l mt n s. V vy, vic nghin cu mi quan h gia khi lng c phiu
giao dch ca nh u t nc ngoi v s bin ng ca ch s VN-Index l cn thit nhm
cung cp nhng bng chng khoa hc v vai tr ca cc nh u t nc ngoi trn th trng
chng khon Vit Nam. Phn cn li ca bi vit ny c cu trc nh sau: Mc 2 m t s
liu s dng v phng php nghin cu; Mc 3 tm tt cc kt qu nghin cu; v cui cng,
kt lun ca bi vit ny c trnh by Mc 4.
2. S liu s dng v phng php nghin cu

S liu s dng
S liu s dng trong nghin cu ny bao gm chui ch s VN-Index v khi lng giao
dch rng ca nh u t nc ngoi trn HOSE theo thi gian vi tn sut ngy (daily
series). Cc chui d liu ny c thu thp trong khong thi gian t ngy 4/3/2002 n

ngy 31/12/2009. Khi lng giao dch rng ca nh u t nc ngoi trn HOSE c thu
thp l tng khi lng giao dch mua tr tng khi lng giao dch bn tnh theo ngy. Ch
s VN-Index v khi lng giao dch rng ca nh u t nc ngoi c thu thp t
website ca S Giao dch Chng khon thnh ph H Ch Minh (www.hsx.vn) v Cng ty c
phn Chng khon FPT (www.fpts.com.vn).

Phng php nghin cu
nghin cu mi quan h qua li (causal relations) gia khi lng c phiu giao dch rng
ca nh u t nc ngoi v ch s VN-Index, kim nh Granger (Granger causality test)
c s dng trong nghin cu ny. Kim nh Granger yu cu cc chui s liu phi c tnh
dng (stationary). V vy, trc khi s dng kim nh Granger, kim nh nghim n v
(unit root test) c s dng kim tra tnh dng ca cc chui s liu ny.
Kim nh nghim n v
kim tra tnh dng ca cc chui s liu nghin cu, trong nghin cu ny chng ti s
dng kim nh ADF (Augmented Dickey Fuller). Phng trnh ca kim nh ADF c dng
nh sau:
k

yt = 0 + yt-1+

y
j

j =1

t j

+ t

(1)

yt = 0 +t + yt-1+

y
j

j =1

t j

+ t

(2)

M hnh (2) khc vi m hnh (1) l c thm bin xu hng v thi gian t. Cc k hiu trong
m hnh (1) v (2) c gii thch nh sau:

yt = yt - yt-1
yt: chui s liu theo thi gian ang xem xt
k: chiu di tr (lag time)
t: nhiu trng
V kt qu ca kim nh ADF rt nhy cm ti s la chn chiu di tr (k) nn tiu
chun thng tin c pht trin bi Akaike (Akaike Information Criterion- AIC) c s
dng la chn k ti u cho m hnh ADF (gi tr k c la chn sao cho AIC nh nht).
Gi thuyt H0 (Null Hypothesis) trong kim nh ADF l tn ti mt nghim n v (=0) v
n s b bc b nu gi tr kim nh ADF ln hn gi tr ti hn ca n. Trong kim nh
ADF, gi tr kim nh ADF khng theo phn phi chun, v vy gi tr ti hn c da trn
bng gi tr tnh sn ca Mackinnon (1991). So snh gi tr kim nh ADF vi gi tr ti hn
ca Mackinnon chng ta s c c kt lun v tnh dng cho cc chui quan st.
Kim nh Granger
Kim nh Granger c s dng trong nghin cu tr li cho cu hi n gin l c hay
khng s thay i ca X gy ra s thay i ca Y v ngc li. Phng trnh hi quy trong
kim nh Granger c dng:
k

Yt = 0 +

l t l

l =1
k

Xt = 1 +

X
l =1

X
l =1

t l

+ t

t l

+ lYt l + t
l =1

- Nu l khc khng v c ngha thng k, nhng l khng c ngha th chng ta kt lun

rng s bin ng ca X l nguyn nhn gy ra s bin ng ca Y (uni-directional causality).
- Nu l khng c ngha thng k, nhng l khc khng v c ngha thng k, th chng ta
kt lun rng X chu nh hng bi s thay i ca Y (uni-directional causality).
- Nu c l v l u khc khng v c ngha thng k th chng ta kt lun rng X v Y tc
ng qua li ln nhau (bi-directional causality).
- Nu c l v l u khng c ngha thng k th chng ta kt lun rng X v Y l c lp
vi nhau.
Trong nghin cu ny, X l khi lng giao dch rng ca nh u t nc ngoi trn HOSE
v Y l s thay i ca ch s VN-Index. Chiu di tr (k) trong kim nh Granger cng
c la chn da trn tiu chun AIC.
3. Kt qu nghin cu
Kt qu kim nh nghim n v
Nh trnh by trn, trc khi thc hin kim nh Granger, kim nh nghim n v
phi c thc hin nh l mt iu kin bt buc nhm kim tra tnh dng ca cc chui
s liu quan st. Trong trng hp chui s liu quan st khng c tnh dng, kim nh
nghim n v s tip tc c thc hin trn chui khc bit bc nht. Kt qu kim nh
nghim n v ADF c v khng c xu hng v thi gian cho cc chui s liu nghin cu
c trnh by Bng 1.
Kt qu kim nh ADF cho thy gi thuyt H0 v tnh khng dng (non-stationary) ca chui
ch s VN-Index khng th b bc b bi v gi tr kim nh ca n nh hn gi tr ti hn
tng ng (Mackinnons critical value). Tuy nhin, khi chui khc bit bc nht (s thay i
ca ch s gia 2 phin lin k) ca ch s VN-Index c kim nh th kt qu li cho thy
gi thuyt H0 v tnh khng dng b bc b mc ngha 1%. Ngoi ra, kt qu nghin cu
c trnh by Bng 1 cn ch ra rng gi thuyt H0 v tnh khng dng ca chui khi
lng giao dch rng ca nh u t nc ngoi cng b bc b mc ngha 1%. Kt qu
ny cho php chng ta kt lun rng chui khi lng giao dch rng ca nh u t nc
ngoi v chui khc bit bc nht ca ch s VN-Index l c tnh dng. iu ny c ngha l
hai chui s liu ny tho mn iu kin ca kim nh Granger.
Bng 1. Kt qu kim nh nghim n v ADF
Khng c xu hng
thi gian

Chui s liu
Ch s VN-Index (k=1)

C xu hng
thi gian

-0,50

-1,49

Khi lng giao dch rng ca nh u t (k=1)

-6,15a

- 6,59a

Thay i ca VN-Index (k=1)

-9,64a

-15,86a

: C ngha thng k mc 1%

thc hin kim nh Granger, bn cnh vic kim tra tnh dng ca chui nghin cu
chng ta cn phi xc nh c chiu di tr (k) thch hp cho cc bin s trong m hnh.
Trong nghin cu ny, chiu di tr (k) thch hp nht cho m hnh Granger c xc nh
theo tiu chun AIC vi 12 tr khc nhau (k=1 n k=12) v tr vi gi tr AIC nh
nht c tm thy trong tiu chun ny l khi k=9.

 Kt qu kim nh Granger
Trn c s kt qu kim nh nghim n v ADF v tiu chun AIC, kim nh Granger
c thc hin xc nh mi quan h qua li gia s thay i ca ch s VN-Index v khi
lng giao dch rng ca nh u t nc ngoi. Kt qu kim nh Granger c trnh by
Bng 2.
Bng 2. Kt qu kim nh Granger
Gi thuyt (H0)

Gi tr
thng k F

tr
(k)

Kt lun

1,55

Chp nhn gi thuyt H0

11,83a

Bc b gi thuyt H0

Khi lng giao dch rng ca nh u

t nc ngoi khng c nh hng n
s thay i ca ch s VN-Index
S thay i ca ch s VN-Index khng
c nh hng n khi lng giao dch
rng ca nh u t nc ngoi
a

: C ngha thng k mc 1%

Kt qu kim nh Granger c trnh by Bng 2 cho thy gi thuyt H0 cho rng khi
lng giao dch rng ca nh u t nc ngoi khng c nh hng n s thay i ca ch
s VN-Index khng th b bc b. S chp nhn gi thuyt H0 c ngha l khi lng giao
dch rng ca nh u t nc ngoi khng gy ra bt k nh hng g n s thay i ca
ch s VN-Index. Ngc li, vi gi thuyt H0 l s thay i ca ch s VN-Index khng c
nh hng n khi lng giao dch rng ca nh u t nc ngoi li b bc b mc
ngha thng k 1%. S bc b gi thuyt H0 cho php chng ta kt lun rng s thay i ca
ch s VN-Index c nh hng n khi lng giao dch rng ca cc nh u t nc ngoi
trn HOSE. Nh vy, mi quan h gia s thay i ca ch s VN-Index v khi lng giao
dch rng ca nh u t nc ngoi ch xy ra mt chiu (uni-directional causality).
nh hng ca s thay i ch s VN-Index n khi lng giao dch rng ca nh
u t nc ngoi: Kt qu phn tch hi quy
Kt qu kim nh Granger trn cho thy s thay i ca ch s VN-Index c nh hng
n khi lng giao dch rng ca nh u t nc ngoi. Trn c s kt lun ny, chng ti
thc hin mt bc tip theo l xc nh mc nh hng ca s thay i ch s VN-Index
n khi lng giao dch rng ca nh u t nc ngoi vi cc tr khc nhau (k=9) bng
phng php phn tch hi quy. Phng trnh hi quy c s dng trong phn ny c dng
nh sau:
4

Yt = 0 +

l Yt k +
k =1

k =1

X t k + t

Trong :
Yt: Khi lng giao dch rng ca nh u t nc ngoi phin th t
Xt: S thay i ca ch s VN-Index phin th t
k: Chiu di tr v thi gian (lag time)

Kt qu phn tch hi quy c trnh by Bng 3 cho thy khi lng giao dch rng ca
nh u t nc ngoi hin ti c tng quan t l thun vi khi lng giao dch rng ca
h 4 phin lin k trc . Ngha l, khi khi lng giao dch rng ca cc nh u t
nc ngoi tng hin ti th n s tip tc tng lin tc 4 phin sau v ngc li. C th
l, nu khi lng giao dch rng ca nh u t phin th t tng ln 100 c phiu th khi
lng giao dch rng ca h 4 phin lin k sau s tng thm ln lt l 38, 4, 13 v 6 c
phiu. Cc mi quan h ny c ngha thng k mc 1% v 10%.
Tng t, Bng 3 cn ch ra rng s thay i ca ch s VN-Index c tng quan t l thun
vi khi lng giao dch rng ca nh u t vi tr v thi gian ln lt l 1 v 2. iu
ny c ngha l khi ch s VN-Index tng phin th t th khi lng giao dch rng ca ca
nh u t nc ngoi 2 phin lin k s tng v ngc li. C th l, nu ch s VN-Index
tng 1% phin th t th khi lng giao dch rng ca cc nh u t nc ngoi 2 phin
lin k tng ln lt l 20.194.257 v 11.262.244 c phiu. Mi quan h t l thun ny c
ngha thng k mc 1%. Ngoi ra, kt qu phn tch hi quy cn cho thy s bin ng ca
ch s VN-Index c tng quan t l nghch vi khi lng giao dch rng ca nh u t vi
tr v thi gian l 6 v 9. Ni mt cch khc, nu ch s VN-Index hin ti tng th khi
lng giao dch ca nh u t nc ngoi s gim 6 v 9 phin sau . Kt qu nghin cu
ny l mt pht hin mi c tnh khoa hc cao v chin lc u t ca khi ngoi trn th
trng chng khon Vit Nam.
Bng 3. nh hng ca s thay i ch s VN-Index n khi lng giao dch ca nh
u t nc ngoi
H s c lng
65.848
(3,25)a
0,38
(16,80)a
0,04
(1,92)c
0,13
(5,57)a
0,06
(2,67)a
20.194.257
(6,79)a
11.262.244
(3,53)a
907.900
(0,28)
-4.038.129
(-1,26)
1.786.790
(0,56)
-5.792.831
(-1,85)
-4.658.154
(-1,49)
-1.425.391
(-0,46)
-9.761.043
(-3,31)a
1.953
0,28
60,71a

Bin s
Hng s (C)
Y(-1)
Y(-2)
Y(-3)
Y(-4)
X(-1)
X(-2)
X(-3)
X(-4)
X(-5)
X(-6)
X(-7)
X(-8)
X(-9)
S quan st
R2 iu chnh
Gi tr thng k F
a, b,c

: C ngha thng k tng ng mc 1%, 5% v 10%

Y(-1), Y(-2), Y(-3), Y(-4): Khi lng giao dch rng ca nh u nc ngoi ln lt cc
tr 1, 2, 3 v 4
X(-1), X(-2), X(-3), X(-4), X(-5), X(-6), X(-7), X(-8), X(-9): S thay i ca ch s VN-Index
ln lt cc tr 1, 2, 3, 4, 5, 6, 7, 8 v 9.
Gi tr thng k t c trnh by trong du ngoc n
4. Kt lun

Bi vit ny nghin cu mi quan h gia khi lng giao dch ca nh u t nc ngoi v

ch s Vn-Index. Kt qu kim nh Granger cho thy s thay i ca ch s VN-Index c nh
hng n khi lng giao dch rng ca nh u t nc ngoi. C th l, nu ch s VNIndex tng hin ti th khi lng giao dch rng ca nh u t nc ngoi trn HOSE s
tng 2 phin lin k v s gim phin th 6 v 9 sau . Tuy nhin, chiu ngc li khi
lng giao dch rng ca nh u t nc ngoi khng c nh hng n s thay i ca ch
s VN-Index. Kt qu nghin cu ny c v tri ngc vi nhn nh ca nhiu nh u t v
nhiu ngi cho rng khi lng giao dch ca nh u t nc ngoi c nh hng n tm
l ca cc nh u t nh l v v vy n s c nh hng nht nh n s thay i ca ch s
th trng. Trn c s kt qu nghin cu trn, chng ta c th kt lun rng mi quan h gia
khi lng giao dch ca nh u t nc ngoi v ch s VN-Index ch xy ra mt chiu
(uni-directional causality) l t ch s VN-Index n khi lng giao dch ca nh u t
nc ngoi.

Ti liu tham kho:

1.Brooks, Chris, 2002, Introductory Econometrics for Finance, Cambridge, New York:
Cambridge University Press.
2.Dickey, D.A. v Fuller, W.A., 1981. Likelihood Ratio Statistics for Autoregressive TimeSeries with a Unit Root. Econometrica 49, trang 1057-1072.
3.Granger, C.W.J., 1969. Investigating Causal Relations by Econometric Models and Crose
Spectral Methods, Econometrica, 37, trang 428-438.
4.MacKinnon, 1991. Critical Value for Cointegration tests trong R.F. Engle v C.W.J
Granger: Long- Run Economic Relationships: Readings in Cointegration, Oxford University
Press, trang 267-276.
5.Trng ng Lc, 2009, Mi quan h nhn qu gia gi c phiu v khi lng giao
dch, Tp ch Cng ngh Ngn hng, s 38, trang 32-37.
6.Trng ng Lc, V Th Hng oan, 2009, Mi quan h gia s thay i gi vng v
gi c phiu Vit Nam, Tp ch Nghin cu Kinh t, s 369.