Bi 16:

Ti chnh hnh vi
v phn tch k thut
Phn tch Ti chnh
MPP8 Hc k Xun 2016

4/20/2016 1
Ti chnh hnh vi (Behavioral Finance)
L thuyt ti chnh thng thng mc nh nh u t l duy l.
Trn thc t, nh u t biu hin hnh vi phi l.
Ti chnh hnh vi nghin cu nhng m hnh th trng ti chnh, trong
tnh ti yu t tm l c nh hng n hnh vi ca nh u t.
Hai dng tng qut ca yu t tm l:
Cc nh u t khng phi lc no cng x l thng tin mt cch ng
n v do , h suy lun sai v phn phi xc sut ca sut sinh li
tng lai;
ng vi mt phn phi xc sut sinh li cho trc, h cng thng ra
nhng quyt nh khng nht qun hoc c tnh cht khng ti u mt
cch h thng.
S hin din ca nhng nh u t phi l t n khng lm cho th
trng ti chnh tr nn phi hiu qu.
X l thng tin
Thin lch sai s d bo (forecasting errors)
t nng tri nghim gn y so vi nim tin ban u khi lm d bo
(thin hng hi tng)
a ra nhng d bo qu cc oan ng vi tnh khng chc chn vn c
ca thng tin.
Hiu ng P/E
Thin lch do qu t tin (overconfidence)
Nh u t c thin hng c lng qu cao tnh chnh xc ca d bo
ca mnh.
Nh u t c thin hng c lng qu cao kh nng ca bn thn.
S thnh hnh chin lc qun l u t ch ng so vi th ng
Thin lch do bo th (conservatism)
Cc nh u t qu chm chp khi cp nht nim tin ca mnh trc
nhng bng chng mi.
Gi chng khon ch phn nh y thng tin mt cch t t.
Thin lch v tnh i din (representativeness)
Nh u t thng b qua quy m ca mu. H hnh ng nh th mt
mu nh l i din cho tng th chng khc g mu ln.
Gi chng khon phn ng thi qu v ri sau iu chnh.
Thin lch v hnh vi (Behavioral Biases)
Thin lch do cch t vn (framing)
Cc quyt nh chu nh hng bi cch thc ngi ta t vn v cc
phng n chn la
Ngi ta c th hnh ng theo chiu hng ght ri ro khi xt li ch
khng chc chn, nhng li thch ri ro khi xem xt thua l khng chc
chn.
Thin lch hch ton tinh thn (mental accounting)
Mt dng c th ca thin lch ph thuc vo cch t vn .
Nh u t tch ring nhng hot ng u t c th: tnh ton ri ro li
nhun khc nhau cho nhng hot ng u t khc nhau.
Nh u t c thin hng bn chng khon c li vn, v gi chng
khon b l vn.
Hiu ng tin nh ci (house money effect): mc chp nhn ri ro cao
hn khi va thng ln v coi khng phi tin ca mnh.
Thin lch trnh hi tic (regret avoidance)
Vi nhng quyt nh u t gy thua l, nh u t hi tic nhiu hn
i vi quyt nh khc vi l thng.
Hiu ng quy m (hiu ng doanh nghip nh)
Hiu ng B/P.
L thuyt trin vng (Prospect Theory)
L thuyt trin vng
L thuyt hnh vi cho rng tha dng ca nh u t ph thuc vo
gi tr li hay l so vi trng thi ban u ca nh u t, ch khng ph
thuc vo mc gi tr ca ci ca h.

Hm tha dng theo l thuyt c in Hm tha dng theo l thuyt trin vng

Ght ri ro
Ght ri ro

Thch ri ro

Ngun: BKM9, Chng 9.

Gii hn i vi kinh doanh hng chnh lch gi
Ri ro cn bn (fundamental risk)
John Maynard Keynes: Th trng c th phi l sut mt thi gian di
hn so vi thi gian bn c th duy tr kh nng chi tr.
Chi ph thc hin (implementation costs)
Chi ph giao dch
Gii hn bn khng
Ri ro m hnh (model risk)
S dng mt m hnh sai trong nh gi chng khon
Cc ph phn v trng phi hnh vi
Khng c mt khung l thuyt cht ch

Bng chng da vo nhng nghin cu tnh hung ri rc

Phn tch k thut (Technical Analysis)
Trong phn tch k thut, nh phn tch khai thc nhng kiu hnh lp li v c
th d on ca gi chng khon thit lp chin lc u t to li nhun
bt thng.

Cc nh k thut khng bc b gi tr ca thng tin c bn, nhng h tin rng

gi th trng ch tin st gi tr ni ti mt cch t t do yu t hnh vi ca
nhng ngi u t trn th trng chng khon.

Pht hin xu hng gi c phiu (momentum):

tng
gim
 v trung bnh dch chuyn
Cng c tm ra chiu hng c bn ca gi chng khon l trung bnh
dch chuyn (moving average)
Trung bnh dch chuyn ca gi chng khon l gi bnh qun trong mt
khong thi gian cho trc, trong , khong thi gian s c cp nht khi
thi gian tri qua.
Sau mt thi gian gi gim, trung bnh dch chuyn s vt ln trn gi hin
hnh. Khi gi ang tng, trung bnh dch chuyn s thp hn gi hin hnh.
Khi gi hin hnh xuyn qua trung bnh dch chuyn t di (im A), c
th bo hiu s thay i t xu hng gim sang xu hng tng gi.
Khi gi gim v xuyn qua trung bnh dch chuyn (im B), nh phn tch c
th kt lun rng xu hng gi l gim.

Ngun: BKM9, Chng 9.

Biu im (Point and Figure Chart)
Biu im theo di bin ng i ln v i xung ca gi chng khon v
khng c chiu thi gian.
X biu th gi tng; O biu th gi gim
Tn hiu bn/mua xut hin khi chng khon m thng mc thp/cao

Ngun: BKM9, Chng 9.

Biu k thut ca VN-Index
Cc ch s phn tch k thut
MA: Moving Average Trung bnh dch chuyn (Trung bnh trt)

MA20: Trung bnh dch chuyn 20 ngy

EMA: Exponential Moving Average Trung bnh dch chuyn ly tha

(trng s cao hn cho s liu gn hin ti hn)

MACD: Moving Average Convergence Divergence

MACD = EMA12 EMA26

Signal Line: EMA9

MACD Histogram: MACD Line Signal Line

Cc ch s phn tch k thut
Khi ng MACD i xung di ng Signal: tn hiu gim gi

Khi ng MACD i ln trn ng Signal: tn hiu tng gi

Divergence: vic gi chng khon i xa khi ng MACD l tn hiu kt thc

xu hng hin ti.

Tng t bin (dramatic rise): Khi MACD tng mnh (MA ngn hn tch bit
khi MA di hn), l tn hiu chng khon c mua qu nhiu, v s nhanh
chng quay tr v mc bnh thng.
Cc ch s phn tch k thut
RSI: Relative Strength Index

RSI = 100 - 100/(1 + RS)

vi RS = S ngy b/q tng gi/S ngy b/q gim gi

RSI nm trong khong 0-100.

Chng khon c coi l mua qu nhiu (sp b nh gi qu cao) khi RSI tin
gn 70.

Khi RSI xung gn 30, chng khon c coi l bn qu nhiu.

Cnh bo v phn tch k thut
Da vo cc c s d liu qu kh, nh phn tch lun c th o bi ra
cc kiu hnh gi chng khon.

Nh phn tch k thut c th tm thy nhng kiu hnh v xu hng bin

ng gi m tht ra khng tn ti.

Kim chng ht cc kiu hnh gi, c l th no cng c vi kiu hnh c tc

dng trong qu kh. Nhng chn ly mt kiu hnh c tc dng trong qu kh
th khng th m bo cho thnh cng trong tng lai.