Tp ch Khoa hc 2014, Quyn 3 (2), 70 - 78

Trng i hc An Giang

KIM NH CC NHN T V M TC NG N TH TRNG CHNG KHON

VIT NAM
Hunh Th Cm H1, L Th Lanh2, L Th Hng Minh3 v Hong Th Phng Anh4
1

ThS. Trng i hc Kinh t Thnh ph H Ch Minh

PGS. TS. Trng i hc Kinh t Thnh ph H Ch Minh
3
ThS. Trng i hc Kinh t Thnh ph H Ch Minh
4
ThS. Trng i hc Kinh t Thnh ph H Ch Minh
2

Thng tin chung:

Ngy nhn bi: 19/05/14
Ngy nhn kt qu bnh duyt:
08/06/14
Ngy chp nhn ng:
30/07/14
Title:
Testing the effects of
macroeconomic variables on
the Vietnamese stock market
T kha:
VNINDEX, bin s kinh t v
m, VECM, phn r phng
sai, IRF
Keywords:
VNINDEX, macroeconomic
variables, VECM, variance
decomposition, IRF

ABSTRACT
This paper analyzed the effect of macroeconomic variables including money
supply (MS), lending interest rates (ITR), consumer price index (CPI), exchange
rate (EXR) and industrial production (IP) on the Vietnamese stock market
(VNINDEX) in the period from 2001 to 2013. Due to a vector co-integration
between variables, we use ECM model to determine the relationship between the
variables in short-run and VECM model to examine the long-run equilibrium
relationship. In the long-run, MS and IP show negative and significant effect on
VNINDEX, while ITR and CPI have positive and significant effect on VNINDEX.
If macroeconomic shocks occur, VNINDEX will adjust to equilibrium position
quite slowly.

TM TT
Nghin cu ny phn tch tc ng ca cc bin s kinh t v m bao gm cung
tin (MS), li sut cho vay (ITR), ch s gi tiu dng (CPI), t gi hi oi
(EXR) v gi tr sn lng cng nghip (IP) n th trng chng khon Vit
Nam (VNINDEX) trong giai on 2001 n 2013. V gia cc bin c tn ti mt
vector ng lin kt nn nghin cu s dng m hnh ECM xc nh mi quan
h gia cc bin trong ngn hn v VECM nhm kim tra mi quan h cn bng
di hn. Kt qu cho thy trong di hn, MS v IP c mi quan h cng chiu vi
VNINDEX, ITR v CPI c mi quan h ngc chiu vi VNINDEX. Trng hp
khi xy ra c sc cc bin s v m th qu trnh VNINDEX iu chnh v mc
cn bng l kh chm.

chu tc ng bi s iu tit chnh sch chnh

ph, cc bin s kinh t v m ca nn kinh t.

1. GII THIU
TTCK (th trng chng khon) l mt trong
nhng knh o lng s pht trin kinh t ca
mt quc gia v c xem l hiu qu khi gi
chng khon (CK) c iu chnh nhanh chng
khi xut hin thng tin mi. Hiu qu ca TTCK
c xem l hiu qu v mt thng tin. TTCK
Vit Nam (VN) chnh thc i vo hot ng t
thng 7/2000, gn 14 nm cng tri qua bit bao
thng trm v TTCK bin ng khng nhng do
yu t tm l khi a ra quyt nh u t m cn

Mc tiu ca bi vit nhm nh gi tc ng ca

cc bin s kinh t v m ln TTCK VN v xem
liu cc bin s ny c th dng d bo bin
ng ca TTCK VN hay khng thng qua kim
nh ng lin kt trong m hnh, kim nh m
hnh hiu chnh sai s (VECM) v Granger
Causality. ng thi bi vit cng m rng thm
hng nghin cu mc nh hng ca cc c
sc bin v m ln TTCK VN bng phn tch phn
r phng sai v hm phn ng IRF. Cc cu hi

70

Tp ch Khoa hc 2014, Quyn 3 (2), 70 - 78

Trng i hc An Giang

nghin cu gm: (1) C tn ti mi quan h di

hn gia cc bin s v m v TTCK VN hay
khng? v (2) Phn ng ca TTCK VN trc cc
c sc ca cc bin s kinh t v m nh th no?
2. TNG QUAN
TRC Y

CC

NGHIN

gia, chnh lch gia li sut cc loi tri phiu v

li sut tri phiu chnh ph c cng k hn, t l
n cng trn GDP, cn cn ti khon vng lai, d
tr ngoi hi, mc tn nhim v lm pht mc
tiu, danh ting ca ngn hng trung ng, li
sut, t gi hi oi, tc tng trng kinh t,
ch s Dow Jones v S&P 500. Kt qu nhn nh
chnh sch tin t, vic qun l n cng v uy tn
quc gia c nh hng ng k n ri ro quc
gia v hiu qu hot ng ca TTCK Brazil. Cng
thi gian ny th Nader v Alraimony (2012) xem
xt tc ng ca bin cung tin, GDP, CPI, t gi
hi oi, li sut v bin gi bin ng chnh tr
th gii n TTCK Jordan t 01/1999 n
12/2010. Tc gi cho rng cung tin, CPI, t gi
hi oi, li sut v bin ng chnh tr c tng
quan ngc chiu i vi bin ng TTCK,
ngc li tc tng trng GDP c nh hng
tch cc n TSSL ca TTCK Jordan.

CU

Nhm tc gi Treynor (1961; 1962); Sharpe

(1964) v Lintner (1965) xy dng m hnh
nh gi ti sn vn (CAPM) d on t sut
sinh li (TSSL) k vng ca CK da trn ri ro h
thng vi thc o h s beta. Sau ny cc nghin
cu khc v thc t chng minh m hnh ny
c hn ch v TSSL CK chu tc ng ca nhiu
nhn t, trong c nghin cu ca Ross (1976)
xut m hnh kinh doanh chnh lch gi (APT)
khi a cc yu t a ri ro gii thch TSSL CK
nh: ch s tht nghip, tc tng trng cung
tin, lm pht, li sut, GDP hoc cng c th s
kin chnh tr, 16 nm sau, nghin cu ca
Fama v French (1992) dng m hnh APT vo
TTCK M (t 1963 n 1990) chng minh rng
TSSL CK cn nhy cm vi nhn t: t s gi tr
s sch trn gi tr th trng, n by ti chnh v
P/E. Khc vi Fama v French (1992), nghin cu
ca Flannery v Protopapadakis (2002) s dng
nhiu hn cc bin s kinh t v m (t 1980 n
1996) v su trong tm ch s c chn l cn
cn thng mi, s lng nh , ch s vic lm,
CPI, cung tin, ch s sn xut cng nghip c tc
ng n TSSL CK M, trong khi GNP thc v
gi tr sn lng cng nghip, l hai thc o ph
bin o lng mc hot ng ca nn kinh t
khng tc ng n TTCK M. TTCK Ghana,
nhm tc gi Issahaku, Ustarz v Domanban
(2013) s dng bin cung tin, t gi hi oi, li
sut tri phiu kho bc, CPI v u t trc tip
nc ngoi FDI (t 1995 n 2010). Kt qu cho
thy TSSL TTCK c mi quan h di hn vi
CPI, cung tin v FDI, ngoi ra khi c mt c sc
v m xut hin th TTCK Ghana mt gn 20
thng mi iu chnh v mc cn bng.

thc hin cho vic nghin cu mi quan h

gia cc bin kinh t v m nhm d bo TSSL
TTCK Nam Phi v nh hng khc vi cc
nghin cu trc, tc gi Gupta v Modise (2013)
chia hai giai on: trc khng hong ti chnh
1997 (1/1990 n 12/1996) v sau khng hong
(01/1997 n 6/2010) vi cc bin s: mc chnh
lch gia cc loi li sut, t l tng trng vic
lm, t gi hi oi thc c iu chnh, cung tin,
tc tng trng sn xut cng nghip, sn
lng du th gii v gi du th. Tc gi cho
rng trong ngn hn th trc khng hong: mc
chnh lch li sut, tc tng trng sn lng
du th gii v cung tin c nh hng n d
bo TTCK, tuy nhin sau khng hong, ch c li
sut v cung tin c nh hng n d bo TTCK.
3. PHNG PHP NGHIN CU
3.1 M t d liu
Bi vit dng VNINDEX lm ch s i din cho
TTCK VN. ng thi, nhm tc gi k tha cc
nghin cu l thuyt v thc nghim c
cp v ph hp vi d liu ti VN nn chn
5 bin kinh t v m sau xem xt tng quan
vi TTCK: Gi tr sn lng cng nghip, t gi
hi oi, ch s gi tiu dng, li sut v cung tin
theo thng t 2001 n 2013 (156 quan st).

Mt s tc gi khc ch ng dng yu t hi
nhp ti chnh th gii vo nghin cu, nh
Montes v Tiberto (2012) vi hai mc tiu: xem
xt mc nh hng ca cc bin kinh t v m
v cc chnh sch kinh t ln ri ro ca Brazil v
nh hng ca cc bin v m v ri ro quc gia
ln hiu qu hot ng ca TTCK (t 12/2001 n
9/2010). Tc gi dng ch s o lng ri ro quc

Trong :

71

Tp ch Khoa hc 2014, Quyn 3 (2), 70 - 78

Trng i hc An Giang

Bin nghin cu

K hiu

M t

K vng v du

Ch s gi TTCK

VNINDEX

Lm pht

CPI

Ch s gi chng khon ti sn HOSE vo cui mi

thng.
Ch s gi tiu dng di dng ch s.

Cung tin

MS

Cung tin M2

T gi hi oi

EXR

T gi song phng USD/VND trung bnh

+/-

Gi tr sn lng cng
nghip

IP

i din o lng mc hot ng kinh t VN.

Li sut

ITR

Li sut trung bnh cui k p dng cho khon vay

vn lu ng ngn hn (khng qu 12 thng) ca
Vietcombank, Agribank, Vietinbank & BIDV.

Ngun d liu c ly t c s I S ca u tin t quc t (IM ), tng cc thng k Vit Nam ( S ) v S DCK
TPHCM (H SE). Tuy nhin, gim bt bin bin ng nn nghin cu s chuyn cc bin di dng logarit.

3.2 Phng php nghin cu

Bi vit xy dng m hnh hi quy gia gi chng khon v cc bin s kinh t v m nh sau:

LVNINDEX t a11 a12 LVNINDEX t -1 a13 LCPI t -1 a14 LMS t -1 a15 LEXR t -1 a16 LITRt -1 a17 LIPt -1 1t
LCPI t a 21 a 22 LVNINDEX t -1 a 23 LCPI t -1 a 24 LMS t -1 a 25 LEXR t -1 a 26 LITRt -1 a 27 LIPt -1 2t
LMS t a 31 a 32 LVNINDEX t -1 a 33 LCPI t -1 a 34 LMS t -1 a 35 LEXR t -1 a 36 LITRt -1 a 37 LIPt -1 3t
LEXR t a 41 a 42 LVNINDEX t -1 a 43 LCPI t -1 a 44 LMS t -1 a 45 LEXR t -1 a 46 LITRt -1 a 47 LIPt -1 4t
LITRt a 51 a 52 LVNINDEX t -1 a 53 LCPI t -1 a 54 LMS t -1 a 55 LEXR t -1 a 56 LITRt -1 a 57 LIPt -1 5t
LIPt a 61 a 62 LVNINDEX t -1 a 63 LCPI t -1 a 64 LMS t -1 a 65 LEXR t -1 a 66 LITRt -1 a 67 LIPt -1 6t
Trong : LVNINDEX, LCPI, LMS, LEXR,
LITR v LIP: ln lt chui d liu c ly
logarit ca bin tng ng. aij l cc h s hi
quy trong h phng trnh v it l sai s ca m
hnh. Chng ti tp trung nghin cu phng
trnh u tin, khung phn tch ca bi vit bao
gm:

hnh Vector t hi quy (VAR-Vector Auto

Regression).
Kim tra mi quan h di hn (Cointegration test)
v m hnh vector hiu chnh sai s VECM
(Vector Error Correlation Model) bng cch xc
nh s tn ti vector ng lin kt ca Johansen
v s dng VECM xc nh phng trnh ng
lin kt gia cc bin v m vi VNINDEX, t
xc nh phng trnh hiu chnh sai s ECM
(Error Correction Model) xc nh lch
ngn hn t cn bng di hn.

Kim nh nghim n v - tnh dng ca chui

d liu l iu kin tin quyt khi a ra kt lun
c ngha trong phn tch i vi chui thi gian
v tng chnh xc v mc ng tin cy ca
m hnh. Nu chui d liu ca cc bin khng
dng, nghin cu tip tc dng xt mi quan
h di hn gia chng. Bi vit kim nh nghim
n v bng phng php AD (Augmented
Dickey-Fuller), Phillips Perron (PP test) v
kim nh tnh dng ca Kwiatkowski-PhillipsSchmidt-Shin (KPSS test).
La chn tr ti u, kim nh t tng quan
ca phn d v tnh n nh ca m hnh trong m

Phn r phng sai ( EDV) theo phng php

Cholesky nhm xem tc ng ca cc c sc v
m ln phng sai sai s d bo ca VNINDEX
v thng qua hm phn ng IRF nhm bit c
phn ng ca VNINDEX khi c c sc chnh n
v cc bin s v m.
Kim nh ranger Causality pht hin mi
quan h nhn qu gia bin Xt v Yt, cc bin Xt
c l nguyn nhn gy ra s bin ng ca Yt hay
72

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Trng i hc An Giang

ngc li. Kt qu ny nhm a ra kt lun v

vic s dng nhn t v m d on bin ng
ca TTCK hay khng v vic d on chiu

ngc li c mang li hiu qu tng t hay

khng. Kt qu chy trn phn mm Eview 6.0.

4. KT QU V THO LUN
4.1 Kim nh tnh dng
ng

im nh nh ng ca chui d liu

Variable

ADF Unit Root Test

First
Levels
Difference

PP Unit Root Test

LVNINDEX

-2.8802

-8.44963**

-1.72139

-8.169024**

0.68007

0.068964**

LCPI

0.83499

-6.642025**

0.972037

-6.702025**

1.49777

0.302065**

LEXR

0.18919

-13.99316**

0.204879

-14.03426**

1.3499

0.205761**

LIP

-1.67382

-14.9817**

-1.38607

-15.52955**

1.18562

0.090731**

LITR

-2.97494

-5.538531**

-2.31055

-8.984978**

0.77877

0.060688**

LMS

-1.27961

-11.24035**

-1.06877

-11.42879**

1.52116

0.299351**

Levels

KPSS

First Difference

First Difference

Levels

**: Mc ngha 5%

Cc chui d liu khng dng chui gc, nhng u dng sai phn bc mt (Bng 1), l iu kin
tip tc kim tra ng lin kt, xt mi quan h di hn gia cc bin trong m hnh.
4.2. Chn tr ph hp cho m hnh
Bng 2. tr ph hp cho m hnh
Lag
LogL
LR
2
2102.399
139.3074*
3
2127.933
44.64265
LR: kim nh Likelihood Ratio
FPE: Final Prediction Error
AIC: Akaike Information Criterion
HQ: Hannan-Quinn Information Criterion

FPE
9.15e-20*
1.06e-19

Da trn tiu ch LR, FPE, AIC, HQ ca kt qu

m hnh VAR, bi vit chn tr ph hp l 2
(Bng 2). ng thi, kt qu cho thy phn d
trong m hnh khng b t tng quan (Bng 3).
LM-Stat
40.52059
27.24497

SC
-25.25464
-24.39667

HQ
-26.18005*
-25.74920

Inverse Roots of AR Characteristic Polynomial

1.5

1.0

0.5

Bng 3. Kim nh t ng quan phn

Lags
1
2

AIC
-26.81323*
-26.67462

0.0

Prob
0.2776
0.8530

-0.5

-1.0

4.3 Kim tra mi quan h di hn cc bin

trong m hnh

-1.5
-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

Hnh 1. Tnh n nh ca m hnh vi tr l 2

Cc gi tr ring u nm trong vng trn n v,

nn m hnh c lng c s n nh cn thit
nhm m bo tin cy ca kt qu (Hnh 1).

Nghin cu s dng tr trong VAR kim

nh tn ti ng lin kt gia VNINDEX v cc
bin kinh t v m. Cn c vo gi tr Trace
statistic v gi tr ring ln nht ca ma trn (Max
Eigenvalue) u khng nh c t nht mt ng
lin kt gia cc bin trong m hnh v c tn ti

73

Tp ch Khoa hc 2014, Quyn 3 (2), 70 - 78

Trng i hc An Giang

mi quan h di hn ca cc bin v m vi

VNINDEX (Bng 4).

Bng 4: Kim nh ng lin kt

Hypothesized
No. of CE(s)
None *
At most 1
At most 2

Eigenvalue

Trace
Statistic

0.274745
0.191500
0.085623

114.0502
65.54419
33.44551

Trace
0.05
Critical
Value
95.75366
69.81889
47.85613

Prob.**
0.0015
0.1046
0.5323

Max-Eigen
0.05
Max-Eigen
Critical
Statistic
Value
48.50598
40.07757
32.09869
33.87687
13.51639
27.58434

Prob.**
0.0045
0.0803
0.8545

T kt qu Bng 4, bi vit s dng m hnh VECM xy dng phng trnh ng lin kt nh gi mc

tc ng ca cc bin s kinh t v m n TTCK nh sau:
LVNINDEXt =

-869.2881

+14.7057
LIPt
(6.6696)

+32.7133
LEXRt
(20.017)

[-2.2048]
[-1.6342]
Ch thch: s trong () v [] th hin lch chun v thng k t

-22.6197
LITRt
(4.5263)

+17.5179
LMSt
(4.3204)

-62.2901
LCPIt
(17.4389)

[4.9973]

[-4.0546]

[3.5719]

MS c nh hng cng chiu n TTCK (+),

chng ti cho rng chnh sch gia tng cung tin
ca chnh ph trong thi gian qua l kh hp l.
Vic gia tng cung tin ph hp s thc y tng
trng v dn vc dy nn kinh t suy thoi, lm
nhu cu tiu dng hng ha gia tng, TTCK cng
l mt trong cc knh c nh u t quan tm
nhiu hn. Trong khi , CPI nh hng ngc
chiu n TTCK, iu ny ph hp trong giai
on nghin cu, khi m lm pht tng cao v nh
u t i hi TSSL k vng TTCK tng cao so
vi lm pht nhng tc tng trng thc ca
nn kinh t gim xung do lm pht cao hn, iu
ny dn n gim gi ln trn TTCK (Hnh 2).

Kt qu cho cho thy:

Trong di hn cc bin kinh t v m c nh
hng n bin ng TTCK VN (ngoi tr EXR),
du ca cc h s c lng kh ph hp vi l
thuyt v gi thit nghin cu ban u. iu ny
c gii thch mt khi nn kinh t VN tng
trng s thc y gi tr sn lng cng nghip
gia tng. Khi , nh u t, DN lc quan nn
kinh t trong giai on ny, cng m rng ngun
vn u t v TTCK c xem l mt trong
cc knh c la chn. iu ny cho thy IP l
nhn t tch cc tc ng n tn hiu lc quan
trn TTCK.

Hnh 2. Tc ng rng GDP thc (t 2000 n 2012)

Ngun: d liu IMF

ITR c nh hng ngc chiu vi TTCK (-).

iu ny gii thch r nht trong giai on sau
2008 n giai on 2011, khi m chnh ph thc
hin cc bin php tht cht tn dng nhm hn
ch bong bng bt ng sn v kim sot lm
pht. Mt khi li sut cho vay tng lm cho DN
kh khn khi ra cc k hoch pht trin trong
tng lai v hn ch ngun vn ti tr, ng thi
lm tng gnh nng chi ph u vo DN lm cho

k vng gi CK li cng gim. kha cnh khc,

mt khi li sut u t trn th trng khc tt hn
trong khi TSSL TTCK li khng thay i s lm
cho nh u t ri b th trng u t vo lnh
vc khc m TSSL tt hn v ri ro t hn so vi
TTCK.
Trong khi , mi quan h cng chiu gia TTCK
v t gi hi oi ng nht vi kt qu nghin
cu ca Kuwornu (2012), Issahaku v cs. (2013),
74

Tp ch Khoa hc 2014, Quyn 3 (2), 70 - 78

Trng i hc An Giang

nhng khng c ngha thng k, iu ny c th

gii thch mt phn trong giai on nghin cu,
khi lng giao dch khi ngoi gim mnh c
bit trong giai on sau khng hong ti chnh
2008.

Ch thch: s trong () v [] l lch chun v thng k t

4.5 Phn r phng sai

VNINDEX chu nh hng rt ln t cc c sc
bin ng do chnh n to ra (Bng 6). Mc t
gii thch ca VNINDEX n k th 10 l 77,5%
c sc ca chnh n, CPI ng gp 10% c sc,
cung tin ng gp 9% c sc v theo thi gian
vai tr ca CPI v cung tin trong vic gii thch
bin ng ca VNINDEX tng dn nhng khng
nhiu, ring bin ng trong li sut v gi tr sn
lng cng nghip gy nh hng rt nh n
VNINDEX, ch khong 1,5% n 1,8%. Trong
khi , c sc t gi gn khng to ra bin ng
ca VNINDEX trong sut 10 k. Trong ngn hn,
nu so vi cc bin v m th CPI v cung tin
ng vai tr quan trng nht trong s bin ng
ca VNINDEX. Gii thch cho vic t gi gn
nh khng to ra c sc trong ngn hn i vi
VNINDEX c th l do chnh sch iu hnh t
gi ti VN c s can thip kh ln t NHNN v
giao dch trn TTCK VN cha hp dn nhiu cc
nh u t ngoi.

4.4 Phn tch h s hiu chnh sai s ca m

hnh ECM
Bi vit ch xt h s hiu chnh v cn bng di
hn ca phng trnh ECM i vi VNINDEX l
- 0.002944 < 0 (Bng 5), kh nh, ngha l tc
iu chnh thp hoc gn bng khng, iu ny
cho thy VNINDEX ang thp hn gi tr cn
bng. Khi c mt c sc xy ra lm VNINDEX
lch khi gi tr cn bng di hn th trong k tip
theo VNINDEX s iu chnh tng khong 0,03%
lch t mc cn bng.
Bng 5: H s cn bng di hn
Cointegrated
Variable
Equation
LVNINDEX (-1)
1

Adjustment
coefficient (ECT)
-0.002944
(0.00224)
[-1.31675]

Bng 6. Phn r phng sai ca LVNINDEX theo Cholesky

S.E.

LVNINDEX LMS

LITR

LIP

LEXR

LCPI

1
2
3
4
5
6
7
8
9
10

0.102140
0.170312
0.216400
0.245056
0.264048
0.279416
0.293599
0.307219
0.320269
0.332626

100.0000
98.07620
95.97196
93.48912
91.08631
88.72905
86.23495
83.49698
80.54599
77.51643

0.000000
0.007260
0.005882
0.018003
0.097982
0.278823
0.562132
0.899490
1.242266
1.549520

0.000000
0.025086
0.190591
0.234687
0.269581
0.352548
0.549708
0.871272
1.284988
1.764681

0.000000
0.013518
0.217686
0.304427
0.287606
0.262233
0.240017
0.223703
0.213332
0.208416

0.000000
1.082866
2.059409
3.368251
4.488213
5.487784
6.509815
7.627748
8.820407
10.01189

0.000000
0.795069
1.554474
2.585513
3.770307
4.889565
5.903377
6.880808
7.893014
8.949056

th 3 v ch t mc cn bng di hn t thng
th 24. C sc ca gi tr sn lng cng nghip
k t thng th 3, trong khi , c sc do CPI gy
ra lm VNINDEX phn ng tc th sau mt
thng, tuy nhin c sc trong t gi khng r rng
n VNINDEX. Kt qu cho thy VNINDEX c
xu hng phn ng gim khi xy ra c sc, ngoi
tr c sc ca cung tin.

4.6 Phn ng ca VNINDEX rc c sc cc

bin kinh t v m
VNINDEX phn ng nhanh trc c sc cung
tin t thng th 2 v ch t mc cn bng di
hn sau thng th 12 (Hnh 3). iu ny cho thy
chnh sch tng cung tin c tc ng ko di i
vi bin ng ca VNINDEX. Chnh sch m
rng cung tin ph hp thng qua cc gi gii
php nh m rng tn dng c th to iu kin
cho DN tip cn ngun vn m rng hot
ng, nh u t c c hi a dng ha cc lnh
vc u t, khi TTCK c c hi tng trng
cng vi cc lnh vc u t khc. C sc trong
li sut s dn n st gim VNINDEX sau thng

Kt qu phn r phng sai v hm phn ng IRF

cho thy TTCK Vit Nam vn cha lm tt vai tr
l phong v biu ca nn kinh t nh cc nc
khc, nh u t cha tht s tn dng tt cc
thng tin v m, nn phi thc s cn thn khi s

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Tp ch Khoa hc 2014, Quyn 3 (2), 70 - 78

Trng i hc An Giang

dng cc bin v m d on s thay i trong

gi chng khon.

Response to Cholesky One S.D. Innovations 2 S.E.

Response of LVNINDEX to LVNINDEX

Response of LVNINDEX to LMS

.2

.2

.1

.1

.0

.0

-.1

-.1

10 12 14 16 18 20 22 24

Response of LVNINDEX to LITR

.2

.1

.1

.0

.0

-.1

-.1

10 12 14 16 18 20 22 24

Response of LVNINDEX to LEXR

.2

.1

.1

.0

.0

-.1

-.1

10 12 14 16 18 20 22 24

10 12 14 16 18 20 22 24

Response of LVNINDEX to LCPI

.2

Response of LVNINDEX to LIP

.2

10 12 14 16 18 20 22 24

Hnh 3. Hm phn ng IRF

4.7 Kim nh Granger Causality

76

10 12 14 16 18 20 22 24

Tp ch Khoa hc 2014, Quyn 3 (2), 70 - 78

Trng i hc An Giang

t vo th trng ny, trong c c nhng dng

vn u t ngoi, chnh ph lc ny s thc hin
chnh sch ni lng tin t nhm thc hin chnh
sch kch cu to iu kin cho cc nh u t a
dng ha lnh vc v danh mc u t ca mnh.

Bng 7 cho thy cung tin c Granger Causality

n VNINDEX v ngc li VNINDEX c
ranger Causality n cung tin. Vic nghin cu
cc chnh sch m rng hoc thu hp cung tin c
th dng d on VNINDEX v ngc li khi
TTCK pht trin s kch thch cc dng vn u
Bng 7. Kim nh Granger Causality
Null Hypothesis:
LMS does not Granger Cause LVNINDEX
LVNINDEX does not Granger Cause LMS

Obs
154

F-Statistic
3.39367
2.86723

Prob.
0.0362**
0.0600*

**, *: vi mc ngha 5% v 10%

hot ng trn TTCK. Chng ti cho rng TTCK

VN hot ng kh tch bch so vi th trng ti
chnh, thng tin trn th trng l cha hiu qu,
vn cn tim n kh nhiu ri ro, TTCK chm
phn ng trc bin ng thng tin v m. Vic
kim sot thng tin cng b v m bo tnh minh
bch trong giao dch chng khon vn cn hn
ch. UBCKNN hin ch mi pht hin cc sai
phm v ch bo co, cng b thng tin ca
cng ty nim yt; vi phm v bo co giao dch c
phiu ca c ng ni b, c ng ln; hot ng
khng ng ni dung quy nh trong giy php...
Cn cc hnh vi nh thao tng gi c phiu hay
giao dch ni gin th cha c lm r nhiu.
Mt trong nhng nguyn nhn l thm quyn
ca UBCKNN trong cng tc thanh tra, gim st
hin nay cn hn ch. Khc vi UBCK cc nc,
UBCKNN VN khng c kh nng thu thp thng
tin v ti khon v giao dch ngn hng; khng c
quyn tip cn in thoi, th tn in t. Ngoi
ra, UBCKNN b hn ch v thm quyn cng nh
lc lng (cha c h thng ngnh dc ti cc
tnh, thnh ph) nn vic xc minh ti ch cc
thng tin lin quan n i tng vi phm cng
gp rt nhiu kh khn.

5. KT LUN
Mc ch ca nghin cu nhm kim tra s tn ti
mi quan h gia cc bin kinh t v m: cung
tin, li sut cho vay, ch s gi tiu dng, gi tr
sn lng cng nghip, t gi hi oi v ch s
VNINDEX VN t 2001 n 2013. Nghin cu
kim nh tnh dng ca cc bin s v thy rng
cc chui d liu u dng sai phn bc nht,
ng thi kt qu nghin cu cn cho thy:
Th nht, c tn ti mi quan h di hn gia cc
bin v m vi TTCK (ngoi tr t gi hi oi).
Bin cung tin v gi tr sn lng cng nghip c
nh hng cng chiu vi TTCK, li sut v ch
s gi tiu dng c mi quan h ngc chiu vi
TTCK. Kim nh nhn qu cho thy gia cung
tin v VNINDEX c ranger Causality. Do ,
cc chnh sch tht cht tn dng thng em li
tc ng tiu cc n TTCK. Thc t cho thy
giai on t 2006 n 3 thng u nm 2008, vi
chnh sch m rng tin t, cng vi gia nhp
WT kch thch dng vn u t chy vo
TTCK, thanh khon tng mnh trn th trng. T
2010 n 2012, chnh ph thc hin tht cht tn
dng, hn ch u t vo lnh vc TTCK v bt
ng sn lm dng vn u t o chiu ra
khi th trng, cc qu u t dch chuyn dng
vn sang cc knh u t khc, TTCK phn ng
kh tiu cc trong giai on ny. Kt qu ny cho
thy cc nh u t trn TTCK nn quan tm n
ng thi v chnh sch tin t ca chnh ph. V
gc qun l, chnh ph cng nn tham kho
n s bin ng, phn ng trn TTCK trc khi
iu chnh cc gi chnh sch cung cu tin t
trn th trng.

Th ba, t kt qu phn r phng sai v phn

tch IRF cho thy VNINDEX t nhy cm vi cc
c sc ca thng tin v m v c xu hng phn
ng gim khi xy ra c sc, ngoi tr c sc ca
cung tin. Nguyn nhn c th l do chnh ph
can thip hnh chnh kh nhiu vo th trng:
gii hn bin giao dch trn th trng, hn ch
bn khng lm cho cc bin v m t phn nh
thc cht hot ng ca nn kinh t.
TI LIU THAM KHO

Th hai, v gc d bo, t kt qu Granger

Causality ch ra ch c bin cung tin c kh nng
d bo bin ng TTCK, bn bin kinh t v m
cn li ng vai tr kh nh trong vic d bo

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Tp ch Khoa hc 2014, Quyn 3 (2), 70 - 78

Trng i hc An Giang

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