Kim nh hiu qu th trng chng khon Vit NamVic kim nh hiu qu th trng chng khon Vit Nam c mt s tc gi trong nc nghin cu v a ra nhng kt lun v th trng. Trong ti nghin cu khoa hc cp B nm 2009 Hon thin c ch v ch tiu gim st giao dch chng khon trn TTCK Vit Nam, TS. L Trung Thnh thc hin mt s phng php kim nh tham s v phi tham s. Chui s liu c s dng l chui VN-Index trong giai on t nm 2000 n nm 2008. Kt qu kim nh a ra: th trng khng t hiu qu dng yu. Bn cnh , nm 2010, NCS ng Anh Tun cng thc hin vic kim nh th trng trong ti lun n Pht trin th trng vn Vit Nam. Lun n s dng phng php nghin cu s kin vi mu nghin cu l 25 cng ty c mc vn ha ln nht th trng v s liu VNINdex t 18/08/2008 n 21/12/2009. Kt lun ca phng php c a ra: th trng vn i vi cc c phiu trong mu nghin cu t mc hiu qu trung bnh. Nh vy, kt lun v hiu qu th trng ca hai ti c s khc bit nhau, trn c s b s liu khc nhau. V mt nguyn tc, th trng khng t hiu qu dng yu th khng th t mc hiu qu trung bnh hoc cao hn. Trong ni dung tip theo ca lun vn, tc gi kim nh hiu qu Th trng chng khon Vit Nam da trn nguyn tc loi tr trn: nu th trng khng t mc hiu qu yu, th trng chc chc khng t mc hiu qu trung bnh v hiu qu mnh. Bn cnh , b s liu s dng kim nh cng c m rng hn cho ph hp vi mc tiu nghin cu. Do , trc ht, cc phng php kim nh th trng hiu qu dng yu c a ra phn tch. Chui s liu c s dng kim nh kim nh hiu qu th trng chng khon Vit Nam, tc gi s dng d liu i din ca S giao dch chng khon thnh ph H Ch Minh t khi bc vo hot ng (nm 2000) n nay (2010). S ra i ca S giao dch chng khon TP. HCM l im mc quan trng nh du s hin din ca th trng giao dch chng khon tp

trung u tin Vit Nam. Li tc ca th trng c tnh ton da trn chui d liu VN-Index ca S giao dch chng khon Thnh ph H Ch Minh. Bin quan st c xc nh nh sau: PI t RVNINDEX = ln PI t 1

Trong : RVNINDEX = li tc th trng trong giai on quan st PIt = ch s gi ti thi im t PIt-1 = ch s gi ti thi im t-1 Ln = log t nhin Kt qu kim nh s ng tin cy hn khi cc d liu c phn tch su. Do , cn c vo qu trnh pht trin ca S giao dch chng khon TP. HCM, chui s liu c chia thnh giai on trc v sau khi Trung tm giao dch chng khon H Ni chnh thc khai trng sn giao dch c phiu nim yt thng 07/2005. Nh vy, cc chui s liu c a ra kim nh bao gm: Chui VN Index t ngy 28/7/2000 n ngy 31/12/2010. Chui VN Index 1 t ngy 28/7/2000 n ngy 13/7/2005. Chui VN Index 2 t ngy 14/7/2005 n 31/12/2010. Thng k m t v chui d liu Trc khi tin hnh phn tch cc kt qu kim nh, bng thng k s a ra nhng nhn nh tng quan v 3 chui li tc, da trn cc ch tiu nh: trung bnh (Mean); trung v (Median); h s nhn (Kurtosis) v h s bt i xng (Skewness).

Bng 2.3. Thng k m t chui d liu

RVNINDEX1 Trung bnh Trung v Mode lch chun H s bt i xng H s nhn Tng thng k SPSS .0008 .0000 .00 .01605 -.529 6.667 .92

RVNINDEX2 .0005 .0004 .00 .01940 .076 .708 .66

RVNINDEX .0007 .0000 .00 .01799 -.119 2.492 1.58

Ngun: Tc gi tnh ton da trn d liu www.vndirect.com.vn v phn mm

Nhn vo bng thng k m t chui d liu c th nhn thy, chui d liu khng tun theo quy lut phn phi chun. Thng thng, h s bt i xng (Skewness) bng 0 v h s nhn (Kurtosis) bng 3 s phn nh mc phn phi ca cc quan st l phn phi chun. bt i xng l i lng dng lm thc o mc thiu cn i ca phn b thc nghim, phn nh s phn b khng ng u ca cc thnh phn trong chui xung quanh tm phn phi - gi tr trung bnh s hc. Nu h s bt i xng (S) >0 th mt phn b c dng ui lch phi, c trng cho s tn mn ca cc thnh phn c tr s ln hn trung bnh s hc; nu (S) = Test Value Total Cases Number of Runs Z Asymp. Sig. (2-tailed) a. Median Runs Test 2 RVNINDEX1 RVNINDEX2 RVNINDEX Test Valuea Cases < Test Value Cases >= Test Value Total Cases Number of Runs Z Asymp. Sig. (2-tailed) a. Mean .0008 603 476 1079 333 -12.356 .000 .0005 681 667 1348 540 -7.353 .000 .0007 1274 1153 2427 877 -13.616 .000 .00 525 554 1079 365 -10.674 .000 RVNINDEX2 .00 671 677 1348 538 -7.465 .000 RVNINDEX .00 1169 1258 2427 901 -12.681 .000

Runs Test 3 RVNINDEX1 Test Valuea Cases < Test Value Cases >= Test Value Total Cases Number of Runs Z Asymp. Sig. (2-tailed) a. Mode Ngun: Tc gi tnh ton da trn d liu www.vndirect.com.vn v phn mm thng k SPSS .00 525 554 1079 365 -10.674 .000 RVNINDEX2 .00 644 704 1348 536 -7.517 .000 RVNINDEX .00 1169 1258 2427 901 -12.681 .000

Kt lun: Trong c 3 trng hp c a ra kim nh, gi tr tuyt i ca Z u ln hn 1.96 ti mc ngha 5%. Do , c 3 chui u khng phi l chui ngu nhin. iu c ngha l th trng khng t mc hiu qu dng yu.(3) Kim nh nghim n v (Unit root test)

Kim nh nghim n v c p dng i vi 3 chui li tc. Kt qu kim nh theo phng php Augmented Dick Fuller (ADF) c a ra ti bng di y.

Bng 2.6. Kt qu kim nh nghim n v ca chui VNINDEX 1% Critical Value* -3.4361 5% Critical Value -2.8632 10% Critical Value -2.5677 *MacKinnon critical values for rejection of hypothesis of a unit root. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RVNINDEX) Method: Least Squares Date: 05/17/11 Time: 21:19 Sample(adjusted): 6 2427 Included observations: 2422 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. RVNINDEX(-1) -0.584399 0.033531 -17.42844 0.0000 D(RVNINDEX(-1)) -0.081295 0.031998 -2.540602 0.0111 D(RVNINDEX(-2)) -0.142891 0.028158 -5.074663 0.0000 D(RVNINDEX(-3)) -0.168329 0.024149 -6.970480 0.0000 D(RVNINDEX(-4)) -0.061053 0.020300 -3.007495 0.0027 C 0.000357 0.000343 1.041997 0.2975 R-squared 0.355772 Mean dependent var -3.73E-06 Adjusted R-squared 0.354439 S.D. dependent var 0.020959 S.E. of regression 0.016840 Akaike info criterion -5.327669 Sum squared resid 0.685127 Schwarz criterion -5.313319 Log likelihood 6457.807 F-statistic 266.8450 Durbin-Watson stat 2.006370 Prob(F-statistic) 0.000000 Ngun: Tc gi tnh ton da trn d liu www.vndirect.com.vn v phn mm thng k Eviews Ta c: = 17 .42844> 1% = 3.4361

ADF Test Statistic

-17.42844

Kt lun: Chui li tc VN Index l chui dng Bng 2.7. Kt qu kim nh nghim n v ca chui VNINDEX1 ADF Test Statistic 1% Critical Value* -3.4392 5% Critical Value -2.8647 10% Critical Value -2.5684 *MacKinnon critical values for rejection of hypothesis of a unit root. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RVNINDEX1) Method: Least Squares Date: 05/17/11 Time: 21:27 -10.90525

Sample(adjusted): 6 1079 Included observations: 1074 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. RVNINDEX1(-1) -0.487657 0.044718 -10.90525 0.0000 D(RVNINDEX1(-1)) -0.039743 0.043783 -0.907732 0.3642 D(RVNINDEX1(-2)) -0.152039 0.038863 -3.912178 0.0001 D(RVNINDEX1(-3)) -0.175681 0.033948 -5.174993 0.0000 D(RVNINDEX1(-4)) -0.107338 0.030389 -3.532166 0.0004 C 0.000365 0.000435 0.840240 0.4010 R-squared 0.312717 Mean dependent var -1.36E-05 Adjusted R-squared 0.309499 S.D. dependent var 0.017087 S.E. of regression 0.014199 Akaike info criterion -5.665747 Sum squared resid 0.215315 Schwarz criterion -5.637931 Log likelihood 3048.506 F-statistic 97.18894 Durbin-Watson stat 2.028015 Prob(F-statistic) 0.000000 Ngun: Tc gi tnh ton da trn d liu www.vndirect.com.vn v phn mm thng k Eviews Ta c: = 10 .90525 > 1% = 3.4392

Kt lun: Chui li tc VN Index l chui dng. Bng 2.8. Kt qu kim nh nghim n v ca chui VNINDEX2 ADF Test Statistic 1% Critical Value* -3.4381 5% Critical Value -2.8641 10% Critical Value -2.5682 *MacKinnon critical values for rejection of hypothesis of a unit root. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RVNINDEX2) Method: Least Squares Date: 05/17/11 Time: 21:28 Sample(adjusted): 6 1348 Included observations: 1343 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. RVNINDEX2(-1) -0.637655 0.047877 -13.31855 0.0000 D(RVNINDEX2(-1)) -0.094706 0.045219 -2.094401 0.0364 D(RVNINDEX2(-2)) -0.144492 0.039623 -3.646684 0.0003 D(RVNINDEX2(-3)) -0.164415 0.033585 -4.895475 0.0000 D(RVNINDEX2(-4)) -0.042012 0.027331 -1.537170 0.1245 C 0.000322 0.000508 0.634933 0.5256 R-squared 0.384216 Mean dependent var 5.93E-06 -13.31855

Adjusted R-squared 0.381913 S.D. dependent var 0.023643 S.E. of regression 0.018587 Akaike info criterion -5.128207 Sum squared resid 0.461922 Schwarz criterion -5.104964 Log likelihood 3449.591 F-statistic 166.8430 Durbin-Watson stat 2.000326 Prob(F-statistic) 0.000000 Ngun: Tc gi tnh ton da trn d liu www.vndirect.com.vn v phn mm thng k Eviews Ta c: = 13 .31855> 1% = 3.4381

Kt lun: Chui li tc VN Index l chui dng Kt lun chung: Kt qu kim nh cho thy: c ba chui li tc u l chui dng, do khng tun theo bc i ngu nhin, tc l khng t mc hiu qu dng yu.(4) Kim nh tnh dng da trn lc t tng quan

Da vo phn mm thng k Eviews cho kt qu v t tng quan ca ba chui d liu nh sau: (tr c tnh n l 36) Bng 2.9. Lc t tng quan ca chui VNINDEX Date: 08/23/11 Sample: 1 2427 Included observations: 2427

Ngun: Tc gi tnh ton da trn d liu www.vndirect.com.vn v phn mm thng k Eviews

Bng 2.10. Lc t tng quan ca chui VNINDEX1 Date: 08/23/11 Sample: 1 2427 Included observations: 1079

Ngun: Tc gi tnh ton da trn d liu www.vndirect.com.vn v phn mm thng k Eviews Bng 2.11. Lc t tng quan ca chui VNINDEX2 Date: 08/23/11 Sample: 1 2427 Included observations: 1348

Ngun: Tc gi tnh ton da trn d liu www.vndirect.com.vn v phn mm thng k Eviews

Kt lun: Nhn vo kt qu ca lc t tng quan c th thy h s t tng quan u khc 0. Nh vy, gi trong qu kh c nh hng n gi hin ti. Ni cch khc, gia cc bin c tng quan, do t sut sinh li bin ng theo cc qui lut trong qu kh. Th trng khng hiu qu. nh gi chung

Qua vic kim nh cc chui VN Index ca ba giai on cho thy, th trng chng khon Vit Nam khng t mc hiu qu dng yu. Nh vy, theo L thuyt th trng hiu qu, mt th trng khng t hiu qu dng yu th chc chn n cng khng th t hiu qu dng trung bnh hay dng mnh. iu ny phn nh cc iu kin tc ng n hiu qu th trng chng khon cn hn ch. Th trng gp nhng vn v thng tin, nh u t, cng nh vai tr qun l gim st ca cc ch th c lin quan. lm r vn ny, vic nh gi hiu qu ca th trng chng khon Vit Nam s a ra nhng nhn nh tng quan nht, trn c s phn tch nhng hn ch trong vic nng cao hiu qu th trng.