ANH HNG CUA CAC YEU TO KINH TE V MO

EN CH SO GIA CHNG KHOAN VIET NAM

Ngay nhan:
03/9/2014
Ngay nhan lai:
14/4/2015
Ngay duyet ang: 10/5/2015
Ma so:
5-15-43

Nguyen Th Bao Tran (*)

Le Quang Minh (**)
Vo nh Vinh (***)

Tom tat: ng dung phng phap kiem nh ong lien ket (Johansen co-integration
test) va mo hnh hieu chnh sai so (Vector Error Correction Model - VECM), bai
viet nghien cu moi quan he a chieu gia th trng chng khoan (TTCK) Viet
Nam va cac yeu to kinh te v mo (lam phat, ty gia, san lng cong nghiep, cung
tien, lai suat ngan han va lai suat dai han). D lieu c thu thap trong giai
oan t thang 7/2006-02/2014. Nghien cu tm thay phng trnh can bang dai
han va he cac phng trnh can bang ngan han gia bien VN-Index va cac ch
so kinh te v mo, qua o ket luan rang ch so VN-Index bien ong cung chieu
vi ty gia, san lng cong nghiep, cung tien, lai suat dai han; bien ong ngc
chieu vi lam phat, lai suat ngan han. Ch so lai suat dai han co y ngha giai
thch s bien ong cua VN-Index ln nhat so vi cac ch so v mo xem xet. Ket
qua nghien cu cho biet toc o ieu chnh cua ch so chng khoan ve can bang
dai han khi co cu soc t cac bien v mo la rat cham, khoang 3,08%/thang.
T khoa: Th trng chng khoan, ch so kinh te v mo, kiem nh ong lien
ket, mo hnh hieu chnh sai so.

at van e
T tha n g 11/2012, th tr n g ch n g khoa n
Vie t Nam co nhie u trie n vo n g tch c c khi
VN-Index tnh e n tha n g 12/2013 ta n g e n
34,76% so v i tha n g 11/2012, ta n g the m
25,72% trong 8 tha n g a u na m 2014 (so v i
cuo i na m 2013). Theo Ba o ca o chie n l c
na m 2014 cu a Co n g ty Ch n g khoa n Ba n
Vie t , ly do c ba n c a ra la kinh te v
mo o n nh va thu nha p tre n co phie u d
kie n ta n g kha khie n TTCK Vie t Nam tr
ne n ha p da n o i v i nhie u nha a u t.
Tac ong cua cac yeu to kinh te v mo len TTCK
la mot chu e nghien cu kha pho bien va nhan
c nhieu s quan tam t cac nha kinh te, cac
nha nghien cu, cung nh cac nha hoach nh
chnh sach. ac biet t sau khi Johansen va
Juselius (1990) a ra phng phap kiem nh
ong lien ket e kiem tra moi quan he dai han

gia cac bien, phng phap nay a c ap

dung rong rai trong cac nghien cu ve chu e
nay. Mukherjee va Naka (1995) a tm thay
lien ket dai han gia TTCK Nhat vi nhom 6
bien v mo (lam phat, ty gia, san lng cong
nghiep, cung tien, lai suat lien ngan hang ngan
han va lai suat trai phieu chnh phu dai han),
cung nh cac phng trnh can bang ngan han
vi 7 bien tren giup d bao cac bien trong ngan
han. Kwon va Shin (1999) a tm thay rang
TTCK Han Quoc ong lien ket vi nhom cac
bien v mo la ty gia, san lng cong nghiep,
cung tien, can can thng mai. Nghien cu cua
Wongbangpo va Sharma (2002) tm thay moi
lien ket gia cac yeu to v mo (lam phat, ty
gia, GNP, cung tien, lai suat) va TTCK 5 nc
Indonesia, Malaysia, Philippines, Singapore va
Thai Lan. Maysami, Howe va Hamzah (2004)
nghien cu TTCK Singapore trong moi quan he
vi cac bien lam phat, ty gia, san lng cong
nghiep, cung tien, lai suat ngan han, lai suat

So 110 Thang 5/2015

43

dai han va cho ket qua tng t. Gan, Lee,

Yong va Zhang (2006) tm ra a nh h ng cua
lam phat, ty gia , GDP, cung tie n, lai suat
ngan han, lai sua t da i ha n va gia dau ban
le en TTCK New Zealand. Ratanapakorn va
Sharma (2007) cho thay TTCK My (ai dien la
ch so S&P 500) tng quan vi 6 bien v mo
(ch so S&P 500 nghch bien vi lam phat, ty
gia, san lng cong nghiep, cung tien, lai suat
ngan han va tng quan ong bien vi lai suat
dai han. Ratneswary va Rasiah (2010) cho thay
moi quan he dai han va ngan han gia TTCK
Malaysia vi cac bien v mo la lam phat, ty
gia, san lng cong nghiep, cung tien
Nghie n c u na y nha m xem xe t lie u ca c ke t
qua th c nghie m cu a nh n g nghie n c u tr c
a y tre n the gi i co phu h p v i TTCK Vie t
Nam hay kho n g. Ba n g phng pha p kie m
nh o n g lie n ke t , ba i vie t se tra l i hai
ca u ho i : (1) Ch so kinh te v mo na o co y
ngha trong mo hnh tng ta c v i ch so
VN-Index? va (2) M c o a n h h n g cu a ca c
ta c o n g na y ra sao?
Tong quan ca c nghie n c u th c nghiem
ve moi quan he gi a ca c bie n kinh te v
mo va th tr ng ch ng khoa n
Moi quan he gi a la m pha t va ch so
chng khoan
S dung kiem nh o ng lie n ke t va mo hnh
vec t hieu chnh sai so , nhie u nghien cu
tren the gii a ch ra mo i quan he ngc
chieu gia lam pha t va gia ch ng khoan nh
Boyd, Levine va Smith (2001), Fama (1981),
Fama va Schwert (1977), Gan va ctg (2006),
Geske va Roll (1983), Kim (2003), Mukherjee
va Naka (1995), Nelson (1976). Nguye n Minh
Kieu va Nguye n Va n ie p (2013) va Nguyen
Hu Tuan (2011) cu ng th c hie n nghien cu
tng t tai Vie t Nam, ke t qua nghien cu
cun g thong nha t v i ca c nghie n c u cac
quoc gia khac. Ca c ta c gia na y la p luan khi
lam phat gia ta ng, v i chi ph a u vao se
cao hn, doanh thu va l i nhua n co ng ty se

44

So 110 Thang 5/2015

b giam neu gia au ra tang vi toc o tha p

hn. Mat khac, chnh sach that chat tie n te
co the c ban hanh e kiem che lam pha t,
t o lai suat phi rui ro b tac ong tang le n,
keo theo hau qua la TTCK tr nen kem ha p
dan hn. Nhng lap luan tren la ly do da n
en gia thuyet ch so chng khoan bien o ng
ngc chieu vi lam phat.
Moi quan he gia ty gia va ch so
chng khoan
Moi quan he gia TTCK va ty gia c gia
thuyet la cung chieu v bien ong ty gia anh
hng en gia tr cong ty thong qua nhng
thay oi ve sc canh tranh cua doanh nghiep
tren th trng quoc te, cung nh gia tr tai
san va n phai tra cua doanh nghiep c tr
gia da tren ngoai te, t o anh hng en li
nhuan cuoi cung va gia tr von chu s hu cua
doanh nghiep (Madura, 2006). Mat khac, nhieu
nghien cu tren the gii a e xuat moi quan
he gia TTCK va nhng thay oi trong ty gia
hoi oai la moi quan he dng nh Maysami
va ctg (2004), Maysami va Koh (2000), Mukherjee
va Naka (1995), Ratanapakorn va Sharma
(2007), Ratneswary va Rasiah (2010).
Moi quan he gia san xuat cong nghie p
va ch so chng khoan
Sa n l n g co n g nghie p c s du n g nh
la mo t bie n thay the (proxy) cho ca c hoa t
o n g kinh te th c , b i tnh pha n a n h chu ky
kinh doanh. Sa n l n g co n g nghie p ta n g le n
trong th i ky kinh te pha t trie n va ng c
la i . S gia ta n g trong sa n xua t co n g nghie p
la mo t da u hie u cho tha y doanh so ba n ha n g
va l i nhua n cu a ca c co n g ty ta n g tr n g,
do o co phie u c ky vo n g se ta n g theo
tng n g. Nhie u nghie n c u tre n the gi i
cho tha y mo i quan he gi a sa n xua t co n g
nghie p va TTCK la dng nh Fama (1981),
Fama, French (1990), Gan va ctg (2006),
Geske va Roll (1983), Gjerde va Saettem
(1999), Kim (2003), Maysami va ctg (2004),
Nasseh va Strauss (2000), Quayes va Jamal (2008),

Ratanapakorn va Sharma (2007), Ratneswary

va Rasiah (2010). Do o, bai nghien cu e xuat
gia thuyet san lng cong nghiep co anh hng
tch cc en TTCK.
Moi quan he gi a cung tie n va ch so
chng khoan
Hieu ng anh hng cua nhng thay oi trong
cung tien en TTCK co the c giai thch
thong qua s tac ong thay oi trc tiep danh
muc au t va nhng bien oi gian tiep cua cac
hoat ong kinh te thc. ac biet, vi gia nh
ve tnh a thch thanh khoan cua nha au t,
mot chnh sach m rong cung tien se dan en
cac mc lai suat c ky vong giam i, t o
gia co phieu c ky vong tang len. Ngoai ra,
li nhuan cac doanh nghiep va nen kinh te
thng c kch thch phat trien bi chnh
sach tien te m rong tren. Theo cac ket qua
thc nghiem, cac lap luan nay c chng thc
bi Fama (1981), Kwon va Shin (1999), Maysami
va Koh (2000), Mukherjee va Naka (1995),
Ratneswary va Rasiah (2010). Ta i th trng
Viet Nam, nghie n c u cu a Nguye n Minh Kieu
va Nguyen Van ie p (2013) va Nguye n Hu
Tuan (2011) cu ng tm tha y ke t lua n tng t.
Do o, moi quan he gi a TTCK va cung tien
c gia nh la cu ng chie u.
Moi quan he gi a la i sua t va ch so
chng khoan
Ve ly thuyet, moi quan he gia gia co phieu
va lai suat c ieu chnh bi s thay oi
cua cac nha au t trong danh muc au t, bao
gom ty le phan bo au t vao cac trai phieu va
cac co phieu. Hau het cac nha au t se thch
au t vao trai phieu hn neu lai suat tang,
noi cach khac gia co phieu se giam. mc lai
suat thap, s tieu dung trong nen kinh te c
ky vong tang len. ieu nay se co tac ong tch
cc en doanh so va li nhuan d kien cua
cong ty trong tng lai. Mat khac, phan ln
cac cong ty tai tr tai san cua mnh bang tien
vay, v vay giam lai suat se giup giam chi ph
von cho cong ty. Noi cach khac, khi o viec

au t vao TTCK tr nen hap dan hn. V vay,

nhom tac gia a ra gia thuyet rang TTCK va
lai suat (bao gom lai suat dai han va ngan
han) bien ong ngc chieu vi nhau. Mot so
nghien cu co ket luan tng t nh Gjerde
va Saettem (1999), Kim (2003), Maysami va
ctg (2004), Maysami va Koh (2000), Mukherjee
va Naka (1995), Nasseh va Strauss (2000),
Ratanapakorn va Sharma (2007).
Phng phap nghien cu
D lieu nghien cu
Nham xay dng mot mo hnh tng ta c a
chieu bieu th moi quan he gia TTCK va ca c
ch so kinh te v mo c gia nh tre n,
bai viet nghien cu tren day so lieu t tha ng
7/2006-02/2014 (92 quan sat vi moi bie n),
bao gom cac bien sau:
- VNI: Ch so ong ca cac ngay cuoi tha ng
cua VN-Index (thang 7/2000 = 100), nguo n
Datastream Thomson Reuters.
- CPI: Ch so gia tieu dung cua thang (na m
goc 2009 = 100) sau khi hieu chnh ye u to
mua vu, nguon Datastream Thomson Reuters.
- E: Ty gia cac ngay cuoi thang (VND/USD),
nguon Datastream Thomson Reuters.
- IO: San lng cong nghiep theo thang (trieu
ong) sau khi hieu chnh yeu to mua vu (thay
the cho bien GDP tan suat thang khong co san
trong thong ke), nguon Tong cuc Thong ke.
- M2: Ty le tang trng cung tien m rong
(liquidity aggregates, %), nguon International
Monetary Fund.
- SIR: Lai suat lien ngan hang ky han 3 thang
(%, lay ngay cuoi thang), nguon Datastream
Thomson Reuters.
- LIR: Lai suat trai phieu ky han 1 nam (%,
lay ngay cuoi thang), nguon Bloomberg.

So 110 Thang 5/2015

45

Bien

VNI

Bang 1: Thong ke mo ta cac bien

CPI
E
IO
M2

SIR

LIR

Trung bnh

535,4600

113,3400 18733,6000

83135,7000

26,7200

9,9100

9,5300

Trung v

480,3700

108,1000 18962,5000

64815,3000

25,1000

8,6600

8,7800

1137,6900

157,4300 21170,0000

187540,2000

47,2000

19,4200

21,0000

245,7400

70,8800 15930,0000

43586,2000

9,8000

4,3500

5,8800

204,0800

27,6400

2039,5000

41300,8000

9,7800

3,3900

2,9200

o nghieng

1,5935

0,0473

-0,15370

1,2078

0,3320

0,7803

1,4532

o day

4,6230

1,6842

1,3665

3,1917

2,1458

3,1080

5,5872

He so
tng quan

1,0000

-0,5352

-0,5379

-0,2901

0,7121

-0,3137

-0,3975

Gia tr
ln nhat
Gia tr
nho nhat
o lech
chuan

Ba n g 1 cung ca p tho n g tin tho n g ke mo ta

ca c bie n c s du n g trong nghie n c u na y .
c l n g tho n g ke o nghie n g (Skewness)
tre n ca c da y so cho tha y pha n bo d lie u
cu a bie n ty gia le c h ve pha tra i , ca c bie n
co n la i le c h ve pha pha i . Be n ca n h o , c
l n g tho n g ke o da y (Kurtosis) the hie n
ra n g ca c da y so e u co pha n pho i v i uo i
da y hn pha n pho i chua n . Ngoa i ra, d a
tre n pha n tch s bo ve tnh tng quan gi a
VN-Index v i ca c ye u to v mo co n la i qua
he so tng quan (correlation) cu n g cho tha y
ra n g ca c ye u to kinh te v mo co ta c o n g
e n bie n o n g cu a ch so ch n g khoa n .
Phng phap nghie n c u
Chuoi thi gian (time series) co the c xem
la tao ra t mo t qua trnh nga u nhie n. Mot
tnh chat cua qua trnh nga u nhie n c cac
nha phan tch a c bie t quan ta m la tnh dng.
Cac mo hnh ho i quy co ie n theo phng
phap bnh phng be nha t (Ordinary Least
Square - OLS) c a p du ng cho ca c chuoi d
lieu co tnh d ng (stationary series), khi cac
bien trong mo hnh la kho ng d ng th cac
gia thuyet cua phng pha p OLS b vi pham,
cac kiem nh t, F ma t hie u l c, c lng
va d bao khong hie u qua . Ma t kha c, neu mo
hnh ton tai t nha t mo t bie n o c la p co cung
xu the vi bien phu thuo c, khi c lng mo
hnh ta co the thu c ca c he so co y ngha
2
thong ke va he so xa c nh R ra t cao, nhng

46

So 110 Thang 5/2015

nguyen nhan co the la do hai bien na y co

cung xu the ch khong phai do chung tng
quan chat che vi nhau, ay la hien t ng
hoi quy gia mao khi cac bien trong mo hnh
la khong dng. Do o, v cac bien s du ng
trong mo hnh la cac chuoi so lieu thi gian
nen nhom tac gia se kiem nh tnh d ng
cua tng bien s dung trong mo hnh. Ca c
chuoi so lieu a vao kiem tra la cac chuo i
d lieu tho ban au c thu thap, co n v
nh phan mo ta tren.
Phng phap c s dung e kiem nh tnh
dng la ADF (Augemented Dickey-Fuller test)
va PP (Phillips - Perron test). Vi chuoi d lieu
khong dng se c tien hanh lay sai phan,
sau d lan lay sai phan th chuoi o se dng.
Neu cac bien dng tai cac bac khac nhau,
bai nghien cu se dung mo hnh VAR (Vector
Auto Regression) e mo ta nhng bien o ng
cua cac bien trong moi lien he vi nhau. V i
Xt=(VNIt, CPI t, E t, IO t, M2 t, SIR t, LIR t) la
vec t (7 x 1), T la so quan sat th mo hnh
VAR co dang:
k

Xt = Dt + Aj Xt-i + ut

(t=1, ...T)

i=1

He cac mo hnh hieu chnh sai so (VECM) la

mot trng hp ac biet cua mo hnh VAR,
c s dung trong trng hp cac bien dng
tai cung mot bac va ton tai moi lien he ong
lien ket. Do vay, sau khi kiem tra tnh dng,

neu xay ra trng hp tat ca cac bien cung

dng mot bac th nhom tac gia se tien hanh
kiem nh ong lien ket Johansen (Johansen
cointegration test).

hnh hie u chnh sai so VECM co da n g chua n

ta c sau:

Engle va Granger (1987) a a ra khai niem ve

ong lien ket (cointegration) nh sau: Cac bien
xit (x1t, x2t, ..., xnt) c goi la ong lien ket neu:

Trong o: la ky hieu sai phan bac 1 cu a

cac bien (gia s cac bien xit cung dng bac 1),
la he so cua bien ieu chnh sai so ch toc
o ma cac ieu chnh ngan han tiep can e n
trang thai can bang dai han. Neu gia tr
tuyet oi cua cang ln th qua trnh ie u
chnh dien ra cang nhanh.

- Tat ca cac bie n x it e u d ng cu ng mot bac

d (vi d > 0).
- Ton tai vec t ( 1, 2, ..., n) sao cho e t = 1
x1t + 2 x2t + ... + n xnt = 0
Phan d et goi la sai so ca n ba ng (equilibrium
error), vi cac a c tnh cu a mo t chuo i dng.
Neu kiem nh cho ke t qua la gi a ca c bien
(VNI, CPI, E, IO, M2, SIR, LIR) to n tai mot
moi quan he da i ha n, t c trong da i han nen
kinh te se at tra ng tha i ca n ba ng sau:
et = VNI t + + 1CPIt + 2E t + 3IOt + 4M2t
+ 5SIRt + 6LIRt = 0 (1)
Khi o, nhom ta c gia se tm ca c mo i quan he
trong ngan han gi a ca c bie n tho ng qua he
cac mo hnh hie u chnh sai so (VECM):
Pha n d e t co xu h n g tie n ve 0 trong da i
ha n , nhng trong nga n ha n e t 0, lu c na y
e t o n g vai tro la bie n ie u chnh sai so
(error correction term) trong t n g phng
trnh ca n ba n g nga n ha n trong he ca c mo

k-1

Xt = i Xt-i + et-1 + ut
i=1

Cuoi cung, cac ket qua nh lng nghie n

cu tm thay se c cung co lai bang pha n
tch ham phan ng ay (Impulse Response
Function) va phng phap phan ra phng
sai (Variance Decomposition).
Ket qua nghien cu va thao luan
Ket qua nghien cu
Bang cac phng phap kiem tra tnh d ng
cua chuoi d lieu la ADF va PP, ket qua
Bang 2 cho thay tat ca cac bien c xem
xet a vao mo hnh ( mc level) eu kho ng
dng, nhng sau khi lay sai phan th cac bie n
eu cung dng tai sai phan bac 1. Do vay, ba i
nghien cu se tiep tuc thc hien kiem nh
ong lien ket e tm moi quan he dai ha n
gia cac bien.
Viec la chon o tre toi u cho mo hnh la
mot trong cac ieu kien can c thc hien

Bang 2: Kiem tra tnh dng cua bien

ADF (gia tr thong ke t)
PP (gia tr thong ke t)

Bien

Level

Sai phan bac 1

Level

Sai phan bac 1

VNI

-1,9320

-7,1610*

-2,2930

-7,0870*

CPI

-2,9250

-3,3670*

-2,2940

-3,4540*

-1,4760

-9,5530*

-1,3760

-9,6570*

IO

1,1980

-10,1660*

0,5120

-18,7440*

M2

-3,3110

-7,1710*

-2,6850

-7,5090*

SIR

-2,6390

-5,3160*

-2,1280

-5,3120*

LIR

-2,0390

-6,1990*

-2,4880

-5,9230*

Ghi chu: * co y ngha mc 5%

So 110 Thang 5/2015

47

trc khi thc hien kiem nh ong lien ket,

bang cach ng dung mo hnh VAR cho cac bien
vi o tre toi a la 8. Da tren cac tieu chuan
thong tin la AIC (Akaike Information Criterion) va SC (Schwarz Information Criterion), gia
tr thap nhat cua tieu chuan thong tin cho biet
o tre toi u cua mo hnh. Tieu chuan AIC va
SC e xuat hai o tre toi u khac nhau (Bang
3), tuy nhien tieu chuan SC se c u tien la
chon trong bai nghien cu nay bi tieu chuan
SC thng chon mo hnh phu hp vi mot o
tre toi u thap hn. Ly do la neu la chon o
tre qua dai se lam mat cac bac t do trong mo
hnh va gay ra van e a cong tuyen. Do vay,
o tre toi u cua mo hnh la 1, tc la gia tr
cua cac bien hien tai se chu tac ong cua gia
tr cua cac bien mot thang trc o.

Trong ket qua kiem nh ong lien ket Johansen,

bao gom ket qua kiem nh vet ma tran (trace
test) va kiem nh gia tr rieng cc ai cua
ma tran (maximal Eigenvalue test) cho biet so
vec t ong lien ket; ong thi cho biet gia tr
cua cac he so trong vec t ong lien ket. Ket
qua kiem nh Johansen c nhom tac gia
tach ra trnh bay trong Bang 4 va 5. Bang 4
cho thay, ca hai kiem nh eu chap nhan gia
thuyet ton tai 1 vec t ong lien ket. Gia tr
cac he so trong vec t ong lien ket (co dang
phng trnh (1)) c trnh bay trong Bang 5.
Nham muc ch nhan xet dau tng quan cu a
bien VN-Index vi tng bien con lai trong
mo hnh, ket qua Bang 5 co the c die n
giai thanh phng trnh can bang dai ha n
(2) sau (bang cach gi bien VNI nguyen ve
trai va chuyen phan con lai sang ve pha i cu a
phng trnh):

Can c vao o tre c la chon, bai nghien cu

thc hien kiem nh ong lien ket Johansen.

Bang 3: La chon o tre toi u

o tre

AIC

54,6080*

54,9250

55,3970

55,7260

55,5990

55,3870

55,0570

55,9020

SC

66,1540

65,0530

64,1080

63,0180

61,4730

59,8430

58,0960

57,5220*

Ghi chu: * o tre c la chon theo tieu chuan

Bang 4: Kiem nh ong lien ket

Gia thiet H0 Gia thiet H1

tracetests

Gia tr ti han

= 5%

Ket luan

tracevalue

r=0

r>0

177,2520*

150,5590

Bac bo H0

r1

r>1

122,0990*

117,7080

Bac bo H0

r2

r>2

86,9490

88,8040

Chap nhan H0

Bac bo H0
Chap nhan H0

maxtests

maxvalue

r=0

r=1

55,1530*

50,6000

r=1

r=2

35,1500

44,4970

Ghi chu: * bac bo gia thuyet H0 mc y ngha 5%

Bang 5: Vec t ong lien ket t kiem nh Johansen

VNI

CPI

IO

M2

SIR

LIR

Trend

87,9990

-1,4430

-0,0460

-66,6240

492,5030

-838,8380

74,8340

21796,2600

(39,5100)

(0,2600)

(0,0100)

(20,6000) (97,2900) (110,7100) (34,0200)

[2,2300]* [-5,6600]* [-4,4300]* [-3,2300]* [5,0600]*

[-7,5800]*

[2,2000]*

Ghi chu: Gia tr thong ke t the hien trong [] va * bieu th mc y ngha 5%. Bien Trend the hien trong mo hnh ai dien
cho tnh xu hng cua chuoi d lieu.

48

So 110 Thang 5/2015

VNIt = -87,999CPIt + 1,443Et + 0,046IOt

+ 66,624M2t - 492,503SIRt + 838,838LIRt 74,834TREND - 21796,26 (2)

et = VNIt + 87,999CPIt - 1,443Et - 0,046IOt

- 66,624M2t + 492,503SIRt - 838,838LIRt +
74,834TREND + 21796,26 (3)

Trong phng trnh ca n ba ng tre n, bien CPI

y ngha mc 5%, ca c bie n co n la i (ty gia,
san ln g cong nghie p, cung tie n, la i suat
ngan han va da i ha n) co y ngha mc 1%.
Moi mot s ie u chnh trong nga n ha n c
e xuat bi he ca c mo hnh hie u chnh sai
so (VECM). Bie n ie u chnh sai so e t c
trnh bay:

T bie n e t c xa c nh nh phng trnh

(3) tre n , he ca c phng trnh hie u chnh
sai so (VECM) c ghi nha n trong Ba n g 6.
Trong tng phng trnh can bang ngan ha n,
ngoai tr bien hieu chnh sai so, cac bien co n
lai c hieu chnh ve dang sai phan ba c 1,
ky hieu (v cac bien xem xet eu dn g

Bang 6: Cac phng trnh can bang trong ngan han

ECM
et-1

VNIt-1

CPIt-1

Et-1

IOt-1

M2t-1

SIRt-1

LIRt

VNIt

CPIt

Et

IOt

M2t

SIRt

LIRt

-0,0308

0,0001

0,0938

-0,1088

0,0002

-0,000001

0,0008

(0,0090)

(0,0001)

(0,0300)

(0,6860)

(0,0004)

(0,0001)

(0,0002)

[-3,2800]*

[ 1,0500]

[ 3,0700]*

[-0,1600]

[ 0,6300]

[-0,0100]

[ 5,0200]*

0,1782

-0,0001

-0,0680

1,9709

0,0113

0,0005

0,0035

(0,1110)

(0,0010)

(0,3620)

(8,1350)

(0,0040)

(0,0010)

(0,0020)

[ 1,6000]

[-0,0700]

[-0,1900]

[-0,2400]

[ 2,7200]*

[ 0,3600]

[ 1,9100]

-14,1449

0,7059

-16,9655

632,4813

-0,5015

0,1263

0,2207

(9,4630)

(0,0930)

(30,7660)

(692,1020)

(0,3350)

(0,1250)

(0,1550)

[-1,4900]

[7,6100]*

[-0,5500]

[ 0,9100]

[-1,4100]

[ 1,0100]

[ 1,4200]

0,0085

0,0007

0,0049

-2,5182

-0,0016

-0,0006

0,0004

(0,0380)

(0,0004)

(0,1220)

(2,7450)

(0,0010)

(0,0005)

(0,0006)

[0,2300]

[1,9400]

[-0,0400]

[ -0,9200]

[-1,1400]

[-1,1300]

[0,5800]

0,0003

-0,0000005

0,0012

-0,4395

0,00001

0,000004

0,00003

(0,0010)

(0,00001)

(0,005)

(0,106)

(0,00005)

(0,00002)

(0,00002)

[0,2200]

[-0,0300]

[0,2400]

[-4,1500]*

[0,1800]

[0,2200]

[ 1,3200]

1,8196

-0,0498

0,2831

-106,1740

0,1574

-0,0680

-0,0565

(2,6750)

(0,0260)

(8,6960)

(195,6270)

(0,1000)

(0,0350)

(0,0440)

[ 0,6800]

[-1,9000]

[0,0300]

[-0,5400]

[ 1,5700]

[-1,9300]

[-1,2900]

6,0285

0,0551

-4,3449

-1430,0600

-0,4019

0,1015

-0,0856

(9,2230)

(0,0900)

(29,9840)

(674,5060)

(0,3460)

(0,1210)

(0,1510)

[ 0,6500]

[0,6100]

[-0,1400]

[-2,1200]*

[-1,1600]

[ 0,8400]

[-0,5700]

-9,4653

0,02140

63,8270

394,7050

0,2576

0,4400

0,7594

(8,4690)

(0,0830)

(27,5340)

(619,3920)

(0,3180)

(0,1120)

(0,1390)

[-1,1200]

[0,2600]

[ 2,3200]*

[0,6400]

[ 0,8100]

[ 3,950]*

[ 5,4700]*

14,0061

0,2232

70,5360

1766,3190

0,3679

-0,1342

-0,3009

(12,0650)

(0,1180)

(36,2220)

(882,3440)

(0,4520)

(0,1590)

(0,1980)

[ 1,1600]

[ 1,8900]

[ 1,8000]

[ 2,0000]*

[0,8100]

[-0,8400]

[-1,5200]

Ghi chu: Gia tr thong ke t the hien trong [] va * bieu th mc y ngha 5%.
thc xac nh bi Yt = Yt - Yt-1

the hien sai phan bac 1 cua bien, vi cong

So 110 Thang 5/2015

49

bac 1, nen bien a vao mo hnh VECM phai

c a ve dang sau khi a lay sai phan bac 1).
Bi v ton ta i nh ng kho kha n nhat nh
trong viec dien gia i ke t qua cu a he mo hnh
VECM, nen ba i nghie n c u se pha n tch ham
phan n g ay va pha n ra phng sai e minh
hoa ro hn s bie n o ng cu a VN-Index t
nhn g thay o i cu a ca c ta c nha n v mo trong
giai oan quan sa t 10 tha ng.
Ha m pha n ng ay (Impulse Response
Function): Hnh 1 ve ra ng bie n ong cua
VN-Index tr c t ng ta c nha n a nh hng:
vi gia nh khi 1 bie n v mo ba t ky thay oi
1 S.D (o lech chua n, standard deviation),
cac bien con la i kho ng o i th bie n VN-Index
se phan ng la i nh the na o va trong bao lau
th VN-Index o n nh tr la i. Ke t qua phan
tch cho thay khi VN-Index c thay oi 1
S.D se co tac ong ay chnh no tang len, tac

ong nay se giam dan theo thi gian, sau hn 5

thang th bien VN-Index se khong con chu anh
hng t cu soc thay oi 1 S.D trc o na (va
tng t cho cac bien con lai). Tom lai, t Hnh
1 ta co the thay bien CPI va lai suat ngan han
co tac ong am en s bien ong VN-Index, cac
bien con lai co tac ong dng en VN-Index.
Phan ra phng sai (Variance Decomposition)
c ap dung nham tra li cau hoi trong mot
s thay oi cua VN-Index c giai thch bi
bao nhieu % cua tng bien v mo con lai. Ket
qua Bang 7 cho thay, s thay oi cua VN-Index
c giai thch chu yeu bi cu soc cua chnh no.
Bien lai suat dai han co tac ong en thay oi
VN-Index nhieu hn so vi cac bien v mo khac.
Thao luan
T ket qua mo hnh phng trnh (2), ta
co the a ra cac ket luan ve cac moi tng

Hnh 1: Phan tch ham phan ng ay

Thay i ca VNI khi tng 1 S.D ca VNI

Thay i ca VNI khi tng 1 S.D ca CPI

Thay i ca VNI khi tng 1 S.D ca E

Thay i ca VNI khi tng 1 S.D ca IO

Thay i ca VNI khi tng 1 S.D ca M2

Thay i ca VNI khi tng 1 S.D ca SIR

Thay i ca VNI khi tng 1 S.D ca LIR

50

So 110 Thang 5/2015

Bang 7: Phan ra phng sai (%)

Thang

S.E.

VNI

CPI

IO

M2

SIR

LIR

61,5900

100,0000

0,0000

0,0000

0,0000

0,0000

0,0000

0,0000

95,3800

96,3300

0,6400

0,8300

0,2300

0,3700

0,0600

1,5500

127,9400

89,4100

1,1900

1,4400

0,2000

0,4600

0,2500

7,0400

160,9300

84,3800

1,4900

1,6200

0,1900

0,4200

0,5000

11,4100

191,4500

82,1700

1,7400

1,5500

0,1600

0,3700

0,6800

13,3300

218,3800

81,3800

2,0500

1,4200

0,1500

0,3500

0,7600

13,8800

242,3200

80,9500

2,4100

1,3200

0,1400

0,3700

0,7900

14,0200

264,2800

80,5200

2,7800

1,2400

0,1400

0,4000

0,7900

14,1500

284,9700

80,0400

3,1200

1,1800

0,1400

0,4300

0,7800

14,3200

10

304,7100

79,5900

3,4200

1,1300

0,1400

0,4600

0,7700

14,5000

quan dai han gi a VN-Index va ca c bien v

mo nh sau:
- Trong trng hp cac bien con lai trong
phng trnh khong thay oi, moi quan he
gia VN-Index va lam phat, gia VN-Index va
lai suat ngan han la tng quan am; moi quan
he gia VN-Index va ty gia, VN-Index va san
lng cong nghiep, VN-Index va cung tien,
VN-Index va lai suat dai han la tng quan
dng. Nh vay, ngoai tr moi quan he gia
VN-Index vi lai suat dai han, cac gia thuyet
ban au ve moi tng quan gia VN-Index vi
cac bien v mo c chng minh la phu hp.
Moi tng quan dng gia VN-Index va lai
suat dai han co the c giai thch bi tac
ong bu tr gia s tang trng dong tien
t co phieu vi s thay oi lai suat dai han.
mot so nghien cu tren the gii, ket qua
tng t cung c tm thay, nh Apergis va
Eleftheriou (2002) th trng Athens; Erdem,
Arslan va Erdem (2005) th trng Istanbul.
Moi quan he dng gia TTCK va lai suat dai
han c tm thay bi Bohl, Siklos va Werner
(2007) c ca c ta c gia gia i thch do hien
tng phng sai thay oi (heteroskedasticity).
Nghien cu cu a Wongbangpo va Sharma
(2002) tm tha y mo i tng quan dng gia
TTCK Malaysia, Indonesia vi lai suat dai
han, trong khi tai TTCK Philippines, Singapore
va Thai Lan la tng quan a m. Nguye n nhan
chnh dan en s kha c nhau tre n la do s
khac biet ve ty le la m pha t va cung tien

moi nc. V vay, mac du nhieu lap luan e

xuat rang lai suat co tac ong am en TTCK,
nhng ket qua nghien cu nh lng va n
a ra cac ket luan khac nhau.
- So sanh vi cac nghien cu thc nghie m
tng t tai TTCK Viet Nam la Nguyen Minh
Kieu va Nguyen Van iep (2013), Nguye n
Hu Tuan (2011), cac nghien cu nay cu ng
ch ra rang cung tien co moi quan he cu ng
chieu vi VN-Index, lam phat co moi quan he
ngc chieu vi VN-Index; vi cac moi quan
he khac ma cac nghien cu a ket lua n la
khong co y ngha/khong xem xet, bai nghie n
cu nay a e xuat: VN-Index tng quan a m
vi lai suat ngan han va tng quan dng
vi cac bien ty gia, san lng cong nghie p ,
lai suat dai han.
- Tren thc te, vi s thay oi phc tap cua
cac bien v mo (co the la cung luc), mo hnh
can bang dai han e xuat rang: Trong dai
han, s thay oi cua cac ch so v mo se at
c s can bang nh phng trnh (2) thong
qua nhng s ieu chnh trong ngan han.
Ket luan ve cac can bang trong ngan han
c rut ra t he cac phng trnh can bang
VECM trong Bang 6:
- Trong phng trnh can bang ngan han cua
VN-Index, ty le hieu chnh sai so gop phan at
c can bang dai han la khoang 3,08 %/thang,

So 110 Thang 5/2015

51

 mc y ngha thong ke 5%. He so nay trong

nghien cu cua Nguyen Minh Kieu va Nguyen
Van iep (2013) la 13.04%/thang, trong nghien
cu cua Nguyen Hu Tuan (2011) la 18.2%/thang.
Y ngha la toc o loai bo nhng bien ong trong
ngan han e at c trang thai nh phng
trnh can bang dai han trnh bay tren la rat
cham (khoang hn 32 thang), so vi e xuat cua
2 nghien cu trc th toc o nay cham hn 4
lan cua Nguyen Minh Kieu va Nguyen Van iep
(2013) va 6 lan cua Nguyen Hu Tuan (2011).
Ngoai ra, phng trnh can bang ngan han
cua VN-Index con e xuat, trong ngan han
VN-Index se chu s tac ong ngc chieu bi
chnh no trong thang trc o va vi cac bien
v mo CPI, lai suat ngan han, cung nh chu
tac ong cung chieu bi bien ty gia, san lng
cong nghiep, cung tien, lai suat dai han (cung
dau vi cac moi quan he trong dai han).
- phng trnh can bang ngan han cua
bien CPI, s bien ong cua chnh no trong
thang trc co y ngha giai thch s bien ong
trong thang nay (moi tng quan dng, mc
y ngha 5%). Trong phng trnh can bang
ngan han cua bien ty gia va bien lai suat dai
han, ty le hieu chnh sai so ve can bang dai
han tng ng la 9,38%/thang va 0,08%/thang
(mc y ngha 5%). Vi phng trnh can bang
ngan han cua bien san lng cong nghiep,
san lng cong nghiep trong thang nay se
chu tac ong am t gia tr cua chnh no trong
thang trc va bien lai suat ngan han trong
thang trc (mc y ngha 5%). mc y ngha
thong ke 5%, s thay oi cua lai suat dai han
trong thang trc se co tac ong dng lam
thay oi bien ty gia, lai suat ngan han va
chnh no (lai suat dai han). Phng trnh can
bang ngan han cua cung tien cho thay no chu
s tac ong dng co y ngha 5% t s thay
oi cua VN-Index trong thang trc.
Ket luan
Bai viet s du ng phng pha p kie m nh
on g lien ket va mo hnh hie u chnh sai so

52

So 110 Thang 5/2015

e nghien cu moi quan he gia VN-Index va

cac bien v mo: lam phat, ty gia, san lng
cong nghiep, cung tien, lai suat ngan han, lai
suat dai han. Muc tieu nghien cu at c
thong qua viec phan tch phng trnh ong
lien ket cua cac bien (the hien s can bang
at c trong dai han) va cac mo hnh hieu
chnh sai so cua tng bien (the hien s can
bang ngan han va s ieu chnh e at c
can bang dai han). Ket luan quan trong c
rut ra o la gia cac bien ton tai cac moi
tng tac a chieu va trong dai han nen kinh
te se at c trang thai can bang.
Khi tach tac ong cua tng bien v mo le n
VN-Index (gia nh cac bien v mo con la i
khong oi), nghien cu cho thay moi tng
quan gia lam phat va VN-Index, lai sua t
ngan han va VN-Index la tng quan a m;
trong khi o moi tng quan gia ty gia va
VN-Index, gia san lng cong nghie p va
VN-Index, gia cung tien va VN-Index, la i
suat dai han va VN-Index la tng quan
dng (ke ca trong ngan han va dai han, m c
y ngha thong ke 5%). Hn na, trong ca c
bien v mo xem xet, bien lai suat dai ha n co
tac ong giai thch ln nhat ve s bien o ng
cua VN-Index. e at c trang thai ca n
bang trong dai han, ket qua nghien cu cho
biet moi thang co 3,08% mc chenh lech gi a
bien thien ngan han va dai han c loai tr,
ay c nhan xet la mot toc o rat cham.
Tom lai, ket qua nghien cu cung cap cho cac
nha hoach nh chnh sach mot cai nhn tong
quan mang tnh chat nh lng ve cac moi
quan he tac ong truyen dan t cac yeu to v
mo en ch so chng khoan va ngc lai.
Nghien cu tren c thc hien vi s gi i
han ve so quan sat, cu the la bien san l ng
cong nghiep va lai suat trai phieu 1 nam giai
oan trc thang 7/2006, cung nh bien cung
tien M2 t sau thang 02/2014. Ben canh vie c
tang so quan sat (neu co the), hng nghie n
cu tiep theo c e xuat la bo sung va o
phng trnh cac bien gia vang, gia da u e

kiem tra gia thuye t lie u gia va ng va gia dau

co y ngha trong phng trnh gia i thch moi
tng quan gi a ch so ch ng khoa n vi cac
yeu to v mo. Ngoa i ra, v i s pha t trien con
ha n che cua TTCK Vie t Nam so v i cac th
trng phat trie n, nho m ta c gia e xuat bo

sung them cac bien ch so chng khoan the

gii nh S&P 500, DowJones, Nikkei 225
e kiem tra s nhay cam cua th trng Vie t
Nam trc cac bien ong cua yeu to v mo
toan cau, cung nh cua nhng oi tac tro ng
yeu cua Viet Nam

Tai lieu tham khao

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Journal of Policy Modeling, 24(3), pp. 231-236.
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Boyd, J., Levine, R. and Smith, B. D. (2001). The impact of inflation on financial sector performance. Journal of Monetary
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Maysami, R. C. and Koh, T. S. (2000). A vecto error correction model of the Singapore stock market. International Review of
Economics & Finance, 9 (1), pp. 79-96.
Mukherjee, T. K. and Naka, A. (1995). Dynamic relations between macroeconomic variables and the Japanese stock market:
An application of a vec t error correction model. Journal of Financial Research, 18 (2), pp. 223-237.
Nasseh, A. and Strauss, J. (2000). Stock Prices and Domestic and International Macroeconomic Activity: A Cointegration
Approach. Quarterly Review of Economics and Finance, 40 (2), pp. 229-245.
Nelson, C. (1976). Inflation and Rates of Return on Common Stocks. Journal of Finance, 31 (2), pp. 471-483.
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chng nghien cu t th trng Viet Nam. Science & Technology development, 16, pp. 86 - 100.
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So 110 Thang 5/2015

53

Ratanapakorn, O. and Sharma, S.C. (2007). Dynamic analysis between the US stock returns and the macroeconomic variables. Applied Financial Economics, 17, pp. 369-377.
Ratneswary, R. and Rasiah, V. (2010). Macroeconomic activity and the Malaysian Stock Market: Empirical evidence of dynamic relations. International Journal of Business and Finance Research, 4(2), pp. 59-69.
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countries. Journal of Asian Economics, 13, pp. 27-51.

Thong tin tac gia:

(*) Nguyen Th Bao Tran hien cong tac tai Vien Nghien cu Phat trien TP.HCM.
Lnh vc nghien cu chnh: Quan tr rui ro (Risk Management), Quan tr tai chnh (Financial Management).
Email: ntbtran.hids@tphcm.gov.vn
(**) ThS. Le Quang Minh hien ang cong tac tai Khoa Tai chnh Ngan hang, Trng ai hoc Kinh te - Luat, ai hoc
Quoc gia TP.HCM.
Lnh vc nghien cu chnh: Hieu qua ky thuat ngan hang, Chat lng thu nhap (Earnings Quality), D bao chu ky kinh te.
Cac nghien cu c cong bo tren cac tap ch: Tap ch Cong nghe Ngan hang, Journal of Emerging Issues in Economics,
Finance and Banking (JEIEFB).
Email: minhlq@uel.edu.vn
(***) ThS. Vo nh Vinh hien ang cong tac tai Khoa Tai chnh Ngan hang, Trng ai hoc Kinh te - Luat, ai hoc Quoc
gia TP.HCM.
Lnh vc nghien cu chnh: nh gia tai san (Asset Pricing), D lieu tan suat cao (High frequency data), Quan tr rui ro (Risk
Management), Hieu ng lan truyen cua khung hoang (Financial contagion).
Cac nghien cu c cong bo tren cac tap ch: Tap ch Phat trien Kinh te, Journal of Applied Finance and Banking.
Email: vinhvd@uel.edu.vn

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So 110 Thang 5/2015