Đo lường hành vi bầy đàn trên thị trường chứng khoán Việt Nam

8/2/2019 o lng hnh vi by n trn th trng chng khon Vit Nam

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MC LC

DANH MC BNG BIU, TH S DNG TRONG TI ........................... iiPHN M U ........................................................................................................ 1CHNG 1: TM L BY N NGUYN NHN CA TM L BY N

................................................................................................................................... 31.1. Tm l by n ............................................................................................... 3

Tm l by n theo thng tin .................................................................... 5

Tm l by n theo danh ting .................................................................. 5

Tm l by n theo th lao ....................................................................... 5

1.2. Nguyn nhn to ra tm l by n ............................................................... 71.2.1. Cc nhn t hnh vi L thuyt ti chnh hnh vi................................. 8

1.2.1.1. Hnh vi bt hp l ............................................................................. 9Ph thuc vo kinh nghim hay thut ton (Heuristics) ..................................... 9

T tin thi qu (Overconfidence) ...................................................................... 9

Tnh ton bt hp l (Mental Accounting) ...................................................... 10

Theo khun mu (Framing) ............................................................................ 10

Lch lc do tnh hung in hnh (Representativeness) ................................... 11

Bo th (Conservatism) .................................................................................. 12

1.2.1.2. Hnh vi khng hp l mang tnh h thng ..................................... 12

1.2.1.3. Gii hn v kh nng kinh doanh chnh lch gi........................... 13

Gii hn duy l .................................................................................................. 13

1.2.2. Bt cn xng thng tin ........................................................................... 14

1.2.2.1. Nguyn nhn ca tnh trng bt cn xng thng tin ..................... 15

1.2.2.2. Tc ng ca bt cn xng thng tin n nh u t trn thtrng chng khon. ...........................................................................................

16

CHNG 2: HNH VI BY N ....................................................................... 182.1. Gii thiu TTCK Vit Nam .......................................................................... 182.2. Mt s biu hin hnh vi by n trn th trng ...................................... 182.3. C s to ra hnh vi by n trn TTCK Vit Nam ................................... 20

Mi trng php lut cha hon chnh, thiu hiu lc .......................................... 20

Quy m th trng nh, to iu kin ca hnh vi thao tng th trng................. 22


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Nng lc nh u t cn hn ch.......................................................................... 22

Bin giao dch, chnh sch cm bn khng....................................................... 23

2.4. M hnh o lng mc hnh vi by n trn TTCK VN ...................... 232.4.1. La chn m hnh .................................................................................. 23

2.4.1.1. Cc m hnh o lng hnh vi by n trn th gii ..................... 23

2.4.1.2. M hnh Hwang v Salmon (2004) .................................................. 25

i. Phng php o lng hnh vi by n .................................................... 25

ii. M hnh o lng hnh vi by n ........................................................... 27

2.4.2. D liu..................................................................................................... 30

2.4.2.1. Mu d liu ...................................................................................... 30

2.4.2.2. Phng php x l s liu ............................................................... 30

2.4.3. Kt qu t m hnh ................................................................................ 31CHNG 3: GII PHP HN CH TM L BY N ............................. 39KT LUN .............................................................................................................. 44PH LC ................................................................................................................. 45TI LIU THAM KHO ........................................................................................ 69


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DANH MC BNG BIU, TH S DNG TRONG TI

Bng biu:

Bng 1: Thng k c bn th trng chng khon (HOSE)

Bng 2: Thng k c bn beta cho theo tng thng

Bng 3: Log ( lch chun ca beta cho)

Bng 4: Kt qu c lng t cc m hnh

Bng 5: Gi tr c lng ca hmt da vo m hnh (10)&(8)

th

th 1: VN-Index

th 2: Khi lng giao dch HOSE

th 3: Hnh vi by n trn th trng theo th trng

th 4: Hnh vi by n v bin ng th trng


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PHN M U

1. L DO NGHIN CUTm l (hnh vi) by n1 l mt hin tng ph bin trong th trng ti chnh

ni chung th trng chng khon ni ring, bt k th trng pht trin hayang pht trin. Hnh vi by n ni chung gp phn lm gim tnh hiu qu

ca th trng, v trong nhiu trng hp dn n nhng phn ng qu mc,

lm mt s n nh ca th trng. Chnh hnh vi by n l mt nguyn nhn

quan trng v tc nhn khuch i nh nh hng ca cuc khng hong ti

chnh ton cu 2008.2

c nhiu nghin cu v vn hnh vi by n trn cc th trng chng

khon trn th gii. Trong khi , trong phm vi hiu bit ca ti, hin cha c

nghin cu no v nguyn nhn cng nh o lng mc hnh vi by n

trn th trng chng khon Vit Nam xut gii php gia tng tnh hiu

qu ca th trng. iu thi thc ti thc hin nghin cu ti o

lng hnh vi by n trn th trng chng khon Vit Nam.

2. XC NH VN NGHIN CU ti nghin cu ny tp trung nghin cu nhng nguyn nhn gy ra hnh vi

by n trn th trng chng khon Vit Nam, chng minh s tn ti v o

lng mc ca hnh vi by n trn th trng thng qua m hnh nh

lng. Cng vi , tc gi xut mt s gii php nhm hn ch hnh vi by

n trn th trng, nhm ci thin tnh hiu qu ca th trng.

3. CU HI V MC CH NGHIN CU Tm l by n l g? Nhng nguyn nhn no gy ra tm l by n?

Nhng nguyn nhn no gy ra tm l by n trn TTCK Vit Nam?

Trn th gii c nhng m hnh o lng hnh vi by n no? La chn

m hnh no cho TTCK Vit Nam?

1 Cc khi nim tm l by n hay hnh vi by n c s dng trong ti vi cng mt ngha, nnc th s dng thay th nhau. Chnh xc hn l hnh vi by n l biu hin ca tm l by n.

2 Xem thm ph lc 1


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Nhng gii php no cn tin hnh hn ch hnh vi by n trn th

trng?

gii p cho nhng cu hi trn, ti ny nhm vo cc i tng nghin

cu c th sau y:

Tm hiu cc nghin cu v hnh vi by n trn th gii, v cc mt

nguyn nhn v m hnh o lng

Xc nh nhng nguyn nhn gy ra hnh vi by n trn TTCK Vit Nam

X l v phn tch d liu v TTCK Vit Nam, s dng m hnh ca

Hwang & Salmon (2004) chng minh s tn ti v o lng mc

hnh vi by n trn TTCK Vit Nam

xut nhng gii php gp phn hn ch hnh vi by n trn th trng

4. PHNG PHP NGHIN CU ti nghin cu s dng kt hp phng php nghin cu nh tnh, nh

lng, thng k nhm lm r cc vn cn nghin cu. i vi phng php

nh lng, ti s dng phng php lc Kalman gii quyt m hnh

khng gian trng thi (State-space model) theo xut t Hwang & Salmon

(2004), t c lng cc tham s ca nhn t hnh vi by n.

5. NI DUNG NGHIN CUChng 1: Tm hiu v tm l by n v nhng nguyn nhn gy ra tm l

by n trn th trng.

Chng 2: Phn tch nhng nguyn nhn gy ra tm l by n trn TTCK

Vit Nam. p dng m hnh ca Hwang & Salmon (2004) (vit tc l m hnh

HS) c lng nhn t by n trn TTCK Vit Nam.

Chng 3: xut cc gii php nhm hn ch tm l by n trn th trng

6. NGHA CA TI ti nghin cu ny gp phn phn tch cc nguyn nhn gy ra tm l by

n trn TTCK Vit Nam, ng thi cung cp mt c lng c th v s tn

ti v mc ca hnh vi by n trn th trng. T , ti a ra nhng

khuyn ngh, gii php nhm gia tng k lut th trng, hn ch hnh vi by

n, gia tng tnh hiu qu ca th trng.


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Hnh vi by n mi ngi hnh ng theo nhng g m nhng ngi khc

ang lm, thm ch ngay c khi thng tin ring ca h cho thy nn hnh ng

mt cch khc i. (Banerjee (1992))

Tm l by n th hin c nh u t nh l v c cc nh u t t chc.

i vi nh u t nh l, v nhng gii hn trong vic s hu thng tin cng

nh nhng trng hp xem xt nh c cp trn, nhng ngi ny d

dng b cun vo cc tr chi to ra xu th hay ni mt cch n gin l cc

tr lm gi ca cc t chc. ng thi, nhng tin n, cc thng tin ngoi

lung vi cht lng thp i khi cng c cc nh u t nh l tn dng

mt cch trit v kt cc l to ra mt m ng hnh ng ging nhau

theo mt cch bt hp l. Cn i vi cc nh u t t chc, tm l by n

c to ra t nhng ngi qun l, ban iu hnh cc t chc ny. Nhng

ngi qun l cc t chc, cc nh ch tham gia th trng khng phi vi

mc tiu a th trng v trng thi hp l, hiu qu thng qua kinh doanh

chnh lch gi. M nhng ngi ny tham gia th trng cng ch v mc ch

kim tin v bo v cho s an ton trong ngh nghip ca chnh h. V thnh

qu hot ng ca h b nh gi (Sharfstein v Stein, 1990) trn c s so snh

vi thnh qu hot ng ca nhng ngi c v tr tng t v v trnh cng

nh uy tn ngh nghip ca h l khng ng u, cho nn khng kh thyrng nhng nh qun l vi trnh /uy tn km hn c xu hng bt chc

nhng hnh ng ca nhng ngi c trnh /uy tn cao hn, v iu ny s

ci thin hnh nh ngh nghip ca h (Scharfstein v Stein, 1990; Trueman,

1994). Tuy nhin, n lt nhng chuyn gia c cho l c trnh / uy tn

cao cng c th s chn cch hnh ng theo m ng, mc d h bit rng

khng phi l hnh ng, quyt nh ti u, nu nh h nhn thy rng ri ro

t s tht bi tim tng l ln hn so vi nhng ch li c th t c nu thchin hnh ng ring l (Graham, 1999).

V phn loi tm l by n, c nhiu dng tm l by n khc nhau. Nh

phn loi trong nghin cu ca Bikhchandani & Sharma (2000) th tm l by

n chia lm 3 loi: tm l by n da theo thng tin (information-based


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herding), tm l by n da theo danh ting (reputation-based) v tm l by

n da theo th lao (compensation-based).

Tm l by n theo thng tin

Nh u t c th theo di hnh ng ca nh u t khc nhng khng thbit rng h c nm gi thng tin b mt g khng. Ngay c khi nhng c nhn

c trao i vi nhau th vn c nhng hoi nghi, v h gim st hnh ng thay

v ch bng li ni. Bng cch gim st, h s suy tnh v a ra quyt nh

ring ca mnh. Tht ra by n theo thng tin v ngi ta tin rng c th mt

ngi no bit c nhng thng tin m mnh khng bit, v h ngh thng

tin ny c th l ng, c th l nhng thng tin mt b tit l, v th m h

hnh ng theo.

Nu gi c phiu trn th trng c phiu phn nh mi thng tin sn c hay

ni cch khc th trng hiu qu v thng tin th hnh vi by n theo thng

tin s khng xy ra.

Tm l by n theo danh ting

Mt gi thuyt khc l hnh vi by n theo danh ting ca nhng nh qun l

qu v nhn vin phn tch ti chnh. H c thu mn a ra nhng bo

co, nhn nh, d on th trng, hay gi c. Nu d on ca h khc xa vi

nhng d bo khc t nhng nh phn tch hay qun l qu m d bo ca h

li khng chnh xc th danh ting ca h s tn hi. H s khng c thng

tin hay thm ch b sa thi. Do vy, nhng nh qun l qu hay cc nh phn

tch (c bit l nhng ngi t kinh nghim) s bt chc theo nhng d on

ca nhng ngi khc. V nh th, tm l by n theo danh ting.

Tm l by n theo th lao

Nu mc th lao ca mt qun l u t ph thuc vo t sut li nhun ca

danh mc u t so vi benchmark. Benchmark c th l mt ch s hoc t

sut li nhun ca nhng qun l khc. Khi nh qun l c xu hng la

chn nhng khon u t khng hiu qu v nh qun l c th s quan st

nhng ngi khc hay benchmark bt chc cho theo kp, v iu ny cng


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c th dn ti hnh vi by n. Nu th lao ca nh u t gim khi t sut li

nhun nh hn benchmark th cng c ng lc nh qun l bt chc theo.

Nhn chung, vic phn loi cc dng tm l by n nh trn ch mang tnh

tham kho, ch cha c mt chun mc c chp nhn chung no v vn

ny. Tuy nhin, c mt im cn c bit ch l cn nhn thc r rng tm l

by n thng c cp trong cc nghin cu, phn tch l tm l by n

c ch (intentional herding), khc vi tm l by n gi (spurious herding) 3

to ra khi cc nhm nh u t a ra cc quyt nh tng t nhau da trn

cc phn tch c lp t cc tp hp thng tin tng t nhau.

Tm l by n d nhin khng phi l c sn ca ring th trng chng

khon Vit Nam. Th trng nhiu nc khc, ngay c nhng nc pht trin,

cng c nhng giai on tng t. Vn l dng nh tm l by n hin

vn chi phi qu nhiu n hnh vi ca a s cc nh u t c nhn. Tm l

by n xut hin hu ht cc th trng mi ni thm ch ngay c cc th

trng pht trin th vn c nhng giai on tn ti tm l ny. Kt qu ca cc

cuc iu tra v tm l u t trn th trng chng khon M v Nht c

Robert J. Shiller- i hc Yale, Fumiko Kon-Ya - Vin nghin cu chng

khon Nht bn, Yoshiro Tsutsui - i hc Osaka tin hnh mi 6 thng 1 ln

trong 10 nm, bt u t nm 1989 cng cho thy s nh hng ca tm l

m ng n quyt nh u t. Theo kt qu iu tra t nm 1995 n nm

1997, ch s DowJones tng gp i t 4069 ln 7917, gp 3 - 4 ln mc tng

trung bnh, thi im c 5 ngi M th c t nht 2 ngi chi c phiu.

iu tra su thng u nm 1996, c n 32,5% (t l cao nht k t nm 1989)

nh u t cho bit d h bit trong tng lai s rt gi nhng h vn tip tc

mua c phiu cng nhiu cng tt. V h tin rng gi cao vn c th duy tr

c mt thi gian na. Thng 10 nm 1997, ch s Dow rt 554 im Vtrong rt nhiu nguyn nhn c cp n trong cuc khng hong ti chnh

ton cu va qua, th tm l by n cng l mt nguyn nhn ng k. V

3 Bikhchandani S., and S. Sharma, "Herd Behavior in Financial Markets", IMF Staff Papers, 47, 3(2001)


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trong nhng phn tip theo, ti s tip tc lm r hn v vn ny thng qua

cuc khng hong ti chnh ton cu 2008 va qua, c bit l trn th trng

chng khon Vit Nam.

1.2.Nguyn nhn to ra tm l by nNgun gc ca hnh vi by n c th do cc nhn t tm l v cng c th

l hnh vi by n da trn s suy tnh hp l, khn ngoan.

gc tm l, hnh vi by n c cho l pht sinh t chnh bn cht con

ngi, theo con ngi c xu hng hng n s tun theo (Hirshleifer,

2001) qua qu trnh trao i thng tin ga cc c nhn. S trao i thng tin

ny c th l bng cch ni chuyn trc tip gia cc c nhn (Shiller, 1995)

hay mt s hiu ngm khi cc c nhn quan st s la chn ca nhng ngi

khc (Bihkchandani v ng s, 1992). Ngoi ra, cn c cc nhn t hnh vi

khc tc ng n cch hnh x ca nh u t nh: s ph thuc vo kinh

nghim hay thut ton my mc, lch lc nhn thc do tnh hung in hnh, t

tin thi qu, tnh ton bt hp l, bo th, theo khun mu. Khi tm l con

ngi mc phi nhng hin tng tm l trn th h c khuynh hng th ,

hoc phn ng chm, phn ng vi mc yu, khng ph hp hoc phn ng

qu mc trc nhng thng tin c cng b. Tt c nhng yu t ny u tc

ng n quyt nh ca con ngi, v c bit trong nhng hon cnh m c

rt t thi gian suy ngh a ra quyt nh, hnh ng ca mt ngi hay

mt nhm ngi c th dn n hnh ng ca nhng ngi khc. Chnh tm

l s hi phi hnh ng ring l hay khng mun i ngc tro lu dn n

xu hng cc c nhn bt chc nhau (d hnh ng hp l hay v l), v

iu ny to nn hnh ng by n ca nh u t trn th trng.

kha cnh khc, hnh vi by n cng c th c to ra t nhng xem xt

khn ngoan, c tnh hp l. Devenow v Welch (1996) cho thy rng tm l

by n c th c gy ra bi nhng s xem xt khn ngoan, nu vic thc

hin hnh vi bt chc da trn vic nhn ra nhng thng tin v kt qu

hnh ng ca ca nhng c nhn khc. S xem xt ny c th xy ra trong 4

trng hp: (a) c nhn khng s hu bt k thng tin ring no, (b) c thng


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tin ring nhng thng tin cha chc chn v cht lng thng tin l thp, (c)

khng t tin vo kh nng x l thng tin ca mnh (d) nhn thy hay cho rng

nhng ngi khc s hu nhng thng tin tt hn. iu ny c gp phn to

ra t tnh trng bt cn xng thng tin trn th trng. Th trng cng bt cn

xng thng tin, tm l by n cng ph bin.

Tip theo, ti s trnh by r hn cc nhn t hnh vi v vn bt cn xng

thng tin nhng nhn t to ra tm l by n trn th trng.

1.2.1. Cc nhn t hnh vi L thuyt ti chnh hnh viTrong nhng thp k gn y, nhng nghin cu trong lnh vc ti chnh hnh

vi ngy cng pht trin, ng gp vo vic gii thch nhng bt thng ca th

trng hay cc cu kinh t m l thuyt th trng hiu qu t ra bt lctrong vic l gii. L thuyt ti chnh hnh vi vi hai tr ct chnh l L

thuyt trin vng (Prospect Theory) v Kinh t hc th nghim (Experimental

Economics).

L thuyt trin vng cho rng quyt nh ca con ngi khng lun lun da

trn s k vng hp l m n cn b nh hng bi yu t hnh vi nh cm

xc, kinh nghim, tm l x hi ph bin. y l mt s i lp so vi l

thuyt vn thng tr trc L thuyt hu dng k vng. Bn cnh , lthuyt trin vng cn cho rng khu v ri ro ca nh u t khng phi l nht

qun (iu c cp trong l thuyt hu dng k vng), m c th thay i

theo thi gian, ty theo hon cnh th trng.

Kinh t hc th nghim vi nhng th nghim nghin cu v hnh vi ra quyt

nh ca con ngi trong nhng hon cnh c th, cho thy rng hot ng

thc t ca con ngi l phc tp v b nh hng ln bi tnh t thn, v h

thng thuc v tm l hc.4

Con ngi c th khng lun lun hnh ng hpl, nhng qua nhng bi hc th v sai cui cng h cng c th a ra quyt

nh tng thch vi l thuyt hu dng k vng. Theo mt nghin cu ca

Arlen v Talley, qu trnh ra quyt nh ca con ngi c th l mt qu trnh

4 Vernon L. Smith, Papers in Experimental Economics (1991)


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da trn l tr, cng c th l quyt nh da trn cm tnh, v cng c th l

mt s kt hp ng thi gia l tnh v cm tnh.5

L thuyt ti chnh hnh vi l gii tnh khng hiu qu ca th trng t trong

s tn ti ca nhng nhn t hnh vi, nhng nhn t m gp phn to ra tm l

by n trong th trng.6 Bao gm:

1.2.1.1. Hnh vi bt hp lPh thuc vo kinh nghim hay thut ton (Heuristics)

Vic ph thuc vo kinh nghim khin con ngi a ra quyt nh mt cch

d dng v nhanh chng. iu ny thnh thong s dn n nhng sai lm trong

quyt nh, c bit l khi cc iu kin bn ngoi thay i, v thm ch c th

dn n cc quyt nh u t nm di im ti u. c bit ngi ta thng cao hiu qu ca nhng quy tc n gin, gn gi v d nh, kiu hiu ng

m Tversky v Kahneman (1979) gi l hiu ng quy tc c sn (availability

heuristic). Mt v d ca Benartzi v Thaler (2001) l khi i mt vi N la

chn lm th no u t s tin tit kim ca mnh, nhiu ngi nhanh

chng s dng quy tc 1/N (c ngha l nu c N loi hnh u t, h s u t

1/N s tin ca mnh vo mi loi hnh u t ).

T tin thi qu (Overconfidence)

C nhiu nghin cu cho thy rng con ngi qu t tin vo nhng kh

nng ca mnh, h thng ngh rng h bit nhiu hn nhng g h lm. Chnh

s t tin qu mc dn n nhng quyt nh sai lm khi h qu ch trng

n nhng thng tin tt ca cc cng ty c nh gi v l i nhng thng tin

xu, chnh iu ny lm cho h tin rng nhng c phiu m h ang u t l

nhng c phiu tt. V v th, h c xu hng u t rt nhiu vo mt loi

chng khon quen thuc hay chng khon ca chnh cng ty h lm vic, v

5 Jennifer H. Arlen v Eric L. Talley, Experimental Law and Economics (2008).

6 Jay R. Ritter, Behavioral Finance, The Pacific-Basin Finance Journal, Vol. 11, No. 4, (9/2003) pp.429-437


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tr nn t a dng ha danh mc ca mnh. Ngoi ra, Barber v Odean (2001)7

pht hin ra rng, trong cc hot ng giao dch, cc nh u t nam thng

c xu hng t tin hn cc nh u t n. V nh u t nam cng giao dch

nhiu, th kt qu cng t hn nh u t n.

Tnh ton bt hp l (Mental Accounting)

Con ngi thnh thong c xu hng a ra cc quyt nh ring l m ng ra

chng nn c kt hp vi nhau. V d, nhiu ngi chia ngn sch gia

nh thnh hai phn, mt phn dnh mua thc n v phn cn li dnh cho

tiu khin, gii tr. Nu nh, h s khng dng khon tin chi cho thc n

mua tm hm hay cc mn n sang trng khc bi v chng qu t tin so vi

cc mn c, rau tht bnh thng. Nhng khi n nh hng, h li sn sng gi

nhng mn t tin nh tm hm, mc d chng t hn rt nhiu so vi mt

bui ti vi c bnh thng khi nh. Nhng nu h n tm hm nh, cn n

nhng mn c n gin trong nh hng, th h c th tit kim c nhiu tin

hn, bi v vic mua tm hm v nh so vi n tm hm ti mt nh hng sang

trng s r hn nhiu. Vn nm ch h tch bit hai khon ngn sch

dng cho ba n ti nh v i n nh hng vo cui tun.

Theo khun mu (Framing)

Theo khun mu l mt khi nim cho thy ni dung ca mt vn ring bit

s c th hin nh th no. V d, mt nh hng c th qung co v mt

mn n c bit hay l nhng khon chit khu cho khch hng, nhng h s

khng bao gi p dng cc khon ph ph vo gi cao im cho khch hng.

Nh vy, nu khch hng cm thy rng mnh ang nhn c mt khon chit

khu vo gi thp im hn l phi tr mt khon ph ph vo gi cao im th

nh hng s kinh doanh c nhiu hn, thm ch nu gi l nh nhau.

Nh vy, khi nim ny khng phn tch mt vn mt cch ton cc, m b

buc trong mt khun kh hn hp. Mc d kt qu l nh nhau nhng s khc

nhau v khun mu (cch thc din t khc nhau) c th to cho nh u t c

7 Brad M. Barber and Terrance Ocean (2001), Boys will be boys: Gender, Overconfidence, andCommon Stock Investment", The Quarterly Journal of Economics (2001)


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nhng phn ng sai lch v nhng ri ro lin quan n thng tin c truyn

t.

Lch lc do tnh hung in hnh (Representativeness)

Con ngi c xu hng nh gi xc sut ca mt s kin bng cch ly mts kin c trng c th so snh c v gi nh rng xc sut l tng t.

iu ny ch yu da vo nhng kinh nghim m chng ta c c trong qu

kh. Ngay t khi mi sinh ra, con ngi c xu hng phn loi cc hin

tng, s vt v suy ngh. Khi con ngi i mt vi mt hin tng mi,

khng hon ton ph hp vi hin tng phn loi trc , h cng s c

a chng vo mt tp hp no da trn nhng s tng ng kim c

v t s nh hnh nn nn tng h c th hiu bit v nhng nhn t mi.

Cch thc tip thu ny cung cp mt cng c hu hiu cho vic x l thng tin

mi bng cch ng thi kt hp vi nhng kinh nghim c lin quan trong

qu kh.

Tuy nhin, sai lm chnh l do gi nh rng s tng t trong kha cnh ny

to ra s tng t trong kha cnh khc. Tng t, con ngi thng c xu

hng nhn bit xc sut ca cc vn tng ng vi nhng tng trc

ca h - ngay c khi kt qu nhn c khng c ngha thng k.

Nh vy, lch lc do tnh hung in hnh thng c din t mt cch n

gin l xu hng khng quan tm nhiu n nhng nhn t di hn, m thng

t nhiu quan tm n nhng tnh hung in hnh ngn hn. iu ny c

bit n nh l lut s nh (law of small numbers).8

V d, mt nh u t s ngh rng mt chng khon no s din bin tt

bi v n cng nh th trong mt vi nm trc, v hon ton khng c bt

c mt nghin cu no v k vng ca cc chng khon ny. iu ny xy ra

8 Tversky v Kahneman (1974) a ra mt nh ngha hn lm hn cho tnh hung ny l ngi ta nhgi xc sut xy ra ca nhng s kin trong tng lai da vo mc tng t vi mt tnh hungin hnh no . im quan trng l ngi ta thng ch quan tm n mt tnh hung in hnh camt giai on ngn thay v quan tm n mt mu hnh in hnh trong mt giai on di (iu ny gil lut s quan st nh, law of small numbers).


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12

khi m cc nh u t k vng vo tng lai da trn nhng iu kin ca qu

kh hoc hin ti.

Trong th trng chng khon, l tr a n nh u t tin tng rng chiu

hng tng trng mnh trong qu kh s tip tc trong tng lai, khi trn thc

t gi chng khon lin tc st gim cng chng th on c s i n u

(trong khi nhiu ngi vn c tnh a ra nhng d on, vi mt con s c th

no ).9

Bo th (Conservatism)

Khi iu kin thay i, con ngi c xu hng chm thay i vi nhng iu

kin . Hay ni cch khc, h gn cht nhng thi quen ca mnh vi nhng

iu kin trc . Tc l khi c tin nn kinh t suy gim, h cho rng kinh tkm i ch l tm thi, di hn vn l i ln, m khng nhn thy iu ny pht

i tn hiu mt chu k suy thoi nhiu nm bt u.

Hiu ng ny ngc li vi lch lc do tnh hung in hnh. Con ngi chm

phn ng trc nhng s thay i do nhng thi quen di hn trc . Nhng

nu thi gian di, h s iu chnh ph hp vi iu kin thay i. V d,

khi ban u tin tc cng b ca mt cng ty cho thy li nhun gim, ngi ta

vn tin rng y ch l gim tm thi, v phn ng chm vi thng tin ny, nngi c phiu cng ty c tin xu vn gim chm. n khi lin tc vi qu sau,

tnh hnh vn xu, th ngi ta pht hin ra mt tnh hung in hnh mi:

Cng ty ny qu trc cng kinh doanh km, qu ny cng kinh doanh km,

vy nn bn tng c phiu cng ty ny i trnh l. Th l mi ngi x

i bn c phiu. Kt qu, li dn n phn ng thi qu.

1.2.1.2. Hnh vi khng hp l mang tnh h thng10Nu ch mt nh u t n l c hnh vi khng hp l, th nh hng ca giao

dch ca nh u t ny ln gi c phiu trn th trng l khng ng k (cho

d l mt t chc u t ln th nh hng cng rt hn ch nu ch n c

9 Thc s L t Ch , ng dng l thuyt ti chnh hnh vi10 Thc s H Quc Tun, Ti chnh hnh vi: Nghin cu ng dng tm l hc vo ti chnh, Tp chKinh t pht trin (7/2007)


16/75


17/75

14

Trong l thuyt tr chi, gii hn duy l l khi nim da trn thc t v l tr

ca cc c nhn l b hn ch bi nhng thng tin m h c, nhng hn ch v

nhn thc t duy, v thi gian hn ch trong vic a ra quyt nh. ng thi

cc quyt nh ca con ngi l thiu kh nng v ngun lc i n gii

php ti u. H ch c th a ra s la chn hp l khi cc s la chn l

c n gin ha v c sn. V nh vy, quyt nh a ra c tha mn.

Con ngi cng mong mun c s la chn tha mn hn l mt s la chn

ti u. Mt s m hnh v hnh vi con ngi trong khoa hc x hi gi nh

rng con ngi c th c m t nh nhng thc th hp l hoc xp x hp

l (l thuyt hu dng k vng - la chn hp l). Nhiu m hnh kinh t gi

nh rng quyt nh ca con ngi l bnh qun hp l v c s lng thng

tin va hnh ng theo s thch ca mnh. Tuy nhin, khi nim gii hnduy l iu chnh gi nh ny nhm gii thch cho s tht rng cc quyt

nh hon ton hp l l thng khng kh thi trong thc t do cc ngun ti

nguyn tnh ton l hu hn. Chnh s gii hn nng lc l mt trong nhng

nhn t dn n vic nh u t c xu hng quan st v hnh ng theo

m ng.

1.2.2. Bt cn xng thng tinThng tin c cng b c cho l yu t quan trng gip nhng nh u

t a ra quyt nh ca mnh mt cch hp l cng nh bo v duy tr trng

thi n nh ca th trng. Nhng c mt thc t rng l khng phi lc no

thng tin cng c cung cp mt cch y v kp thi. D sao i na th

vi l do ny hay l do khc u c nhng c nhn tip cn nhng thng tin

ny sm hn c th trng trc khi n c cng b cho d l mt khong

thi gian rt ngn. V vic mt nh u t hay mt nhm cc nh u t s hu

c mt lng thng tin so vi phn cn li ca th trng nh vy c gil s bt cn xng thng tin.

Bt cn xng thng tin l tnh trng xut hin trn th trng khi mt bn no

(bn mua hoc bn bn) s hu mt lng thng tin y hn v c tnh

sn phm. V d nh ngi bn s hu mt thng tin quan trng no m


18/75

15

ngi mua khng c, do qu trnh a ra quyt nh ca nh u t s b

nh hng khi m nu c c thng tin th ngi mua c th s khng a

ra quyt nh nh vy. V i vi th trng ti chnh v c th l thi trng

chng khon th bt cn xng thng tin c hiu l tnh trng c mt hoc

mt nhm cc nh u t s hu c nhng thng tin ring so vi phn cn

li ca th trng (Kyle, 1985) hoc c nhiu thng tin i chng hn v mt

cng ty (Kim v Verrecchia, 1994 v 1997).

1.2.2.1. Nguyn nhn ca tnh trng bt cn xng thng tinNh cp phn trc, vic cng b thng tin l khng hon ho trong th

trng, c bit l cc th trng cn non tr, th tnh trng bt cn xng thng

tin l khng th trnh khi. C rt nhiu nguyn nhn dn n tnh trng ny

nhng ch yu u lin quan n hai yu t l s thiu minh bch v gim st

trong cc c ch v quy tc cng b thng tin v kim ton v cc yu t mang

tnh ri ro v o c ca cc doanh nghip, nh ch ti chnh v ngay c

nhng nh u t.

S c tnh che du v cung cp thng tin sai lch khng y ca cc t

chc trong nn kinh t. Hu qu s rt ln nu l s tht v vic hot

ng km hiu qu, tnh trng ti chnh bt n v cc ri ro lin quan n

sn phm m h pht hnh. Khi th trng s nh gi chng khon loi

ny cao hn so vi gi tr thc t m chng mang li cho nh u t. Bn

cnh , vic thiu minh bch trong thng tin ca khu pht hnh nhm

tha mn mc ch li nhun ca mt s c nhn ni b khi nh pht hnh

che giu thng tin lm cho chng khon c nh gi thp hn gi tr ca

n v nhng ngi c cung cp thng tin dng ny s mua chng khon

vi mt mc gi hi.

Trong mi th trng ti chnh u c nhng quy nh v cng b thng tin

kim ton cng nh cc cng tc thm nh ti sn. c bit trong lnh vc

chng khon v ngn hng ni m cng b thng tin l cng c c hiu lc

mnh nht trong vic gim st th trng v bo v cc nh u t. i khi

chnh v s thiu hp l trong nhng quy nh ny li lm cho cng b


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16

thng tin gim i vai tr ca n. Vic li dng nhng k h lch lut

nhm mc ch li nhun lun xut hin trn th trng.

Ri ro o c ca nhng ngi iu hnh hay nm gi thng tin trc khi

n c cng b ra th trng. Cc thng tin v cung cu c phiu trn th

trng, cc quyt nh ca doanh nghip v chia c tc: thi gian, t l, c

phiu thng cng nh thng tin v vic tng quy m vn v m rng

u t H s tit l thng tin cho cc mi quan h bn b hay gia nh

nhm gip cc c nhn ny kim li trc khi m nhng thng tin ny n

tay nh u t. Chnh v vy h lun nm gi th ch ng.

Ngoi ra, ngay c khi cng b thng tin th y v kp thi nhng vic

din gii, trnh by thng tin n tay nh u t cn nhiu bt cp. Rt

nhiu thng tin c cung cp bi cc c quan uy tn nhng vn sai lchlm nh u t ngy cng hoang mang trong vic la chn ngun thng tin

an ton v chnh xc. V chnh iu ny l c hi nhiu i tng tung

tin n tht thit n nh u t. nh hng n uy tn cng nh cht lng

ca cc c phiu trn sn giao dch. Thng qua cc din n u t hay

truyn tai nhau khin cho nhiu nh u t a ra nhng quyt nh sai

lm. in hnh l nhng nh u t theo xu hng cn non tr cha c kinh

nghim trong vic phn tch v sng lc thng tin.1.2.2.2. Tc ng ca bt cn xng thng tin n nh u t trn th

trng chng khon.

Trc ht phi xt n cc tc ng m bt cn xng thng tin mang n cho

nhng nh u t trn th trng. Bi v chnh h l nhng ngi s dng

thng tin a ra quyt nh u t ca mnh nn mt khi c mt s bt cn

xng thng tin no xy ra trn th trng th h l ngi gnh chu hu qu

nhiu nht. Thng tin khng c cng b mt cch khng y v kp thi, s thiu

minh bch trong th trng ti chnh lm cho nh u t khng th nm bt

c tnh hnh kinh doanh, tnh trng ti chnh, cng nh ni b iu hnh

cng ty. V kt qu l da trn lng thng tin t i m h c c, vic


20/75

17

nh gi c phiu, tnh ton t sut sinh li v ri ro t vic u t l khng

chnh xc. Nhng quyt nh u t sai lm s gy thit hi cho h.

H thng cc quy tc cng b thng tin cn nhiu s h. Cha c s phn

loi thng tin r rng cng nh vic din t thng tin cn mang tnh mp

m kh hiu ca cc t chc pht hnh. Bn cnh nhng thng tin vi m

ca doanh nghip th nhng thng tin v m v ngnh, nn kinh t cn thiu

v cha chnh xc, nh hng n qu trnh phn tch ca nh u t khi h

khng c s s so snh v d bo mang tnh v m. Nhng yu t trn

u gp phn lm cho quyt nh ca nh u t tr nn khng hp l.


21/75


22/75

19

trc mt khi u t vo TTCK. Thnh phn nh u t trn TTCK rt a

dng, n t mi tng lp trong x hi. Mt s lng ln nhng nh u t gia

nhp mi th trng, tranh mua c phiu vi k vng qu ln y gi c

phiu tng mnh, bong bng th trng hnh thnh, c phiu c nh gi qu

cao. Nhng khon li nhun ln t c trc ca nhng nh u t hin

hu trn TTCK Vit Nam li ko ngy cng nhiu nh u t gia nhp mi,

gp phn gia tng bong bng gi CP. Nhng khon li nhun m cc nh u

t trc t c c vai tr nh mt im tham chiu cho nhng ngi

gia nhp tip theo sau, v h chy theo mt vin cnh rng TTCK Vit Nam s

cn tip tc gia tng khng c im dng.

Mt v d in hnh khc v hnh vi by n trn TTCK Vit Nam l tm l

chung ngoi trn th trng, c bit l nhng nm trc. Vi hiu bit,v nng lc hn ch, trn th trng nhiu thi im xy ra hin tng cc

nh u t hnh x theo hng nhng g c kin ngh, d bo trong cc bo

co phn tch ca cc t chc ti chnh trn th gii. V d nh vo ngy 29

thng 8, 2007, Ngn hng Hong Kong Thng Hi ti Vit Nam cng b nhn

nh v TTCK Vit Nam vo thi im rng gi ca cc c phiu ti th

trng Vit Nam ang mc thp sau mt t iu chnh. Cng lc, Ngn

hng Citigroup cng a ra bo co phn tch qua nhn nh rng Vit Namc kh nng vt qua cuc khng hong ti chnh th gii ang lan rng lc

. VN-Index lc ny ang mc 900 im, sau khi xut hin nhng bnh lun

lc quan v th trng ca hai t chc ti chnh quc t uy tn, th VN-Index lp

tc tng vt, t mc xp x 900 im vo cui thng 8, 2007 ln mc 1100

im vo gia thng 10, 2007. Mt vi v d khc c th lit k l cui thng 3-

2010, Ngn hng HSBC a ra d bo: NHNN s tng li sut c bn thm 1%

trong mt vi tun ti v t l lm pht s ln n 12% vo cui qu II/2010.

Lp tc, tm l bi quan xut hin v nhiu nh u t bn tho c phiu, VN-

Index rt t 512 xung cn 503 im.

Ngoi ra, hnh vi by n trn th trng cn biu hin qua nhiu thi im cc

nh u t phn ng mt cch qu mc trn quy m ton th trng. Trong

nhiu giai on, ton b th trng u tng (gim) im vi bin gn nh


23/75

20

kch trn (sn) ng lot. Bt u t nhng c phiu blue chip, tm l lc quan

(bi quan) bao trm ton th trng. V kt qu l, bt k c phiu d tnh hnh

c bn l tt hay xu u i theo xu hng th trng: tng (gim) kch trn

(sn). Mt s thi im xy ra hin tng ny nh trong thng 4, thng 5/2009,

mt s ngy th trng ng lot tng trn (vi s m tng trn t hn 90%),

nhng sau nhanh chng st gim tr li vi cc mc st gim khc nhau

gia cc m.

2.3.C s to ra hnh vi by n trn TTCK Vit NamCng vi s pht trin nhanh chng ca th trng, gp phn tch cc trong

vic to ra mt knh huy ng vn hiu qu cho cc doanh nghip, mt knh

u t hp dn i vi nh u t, th th trng Vit Nam vn th hin nhiu

hn ch. Mt trong s l tm l by n ph bin trn th trng. Vy th c

s no to ra hnh vi by n trn TTCK Vit Nam? Phn ny ca ti s

gp phn lm r v v vn ny.

Bn cnh nhng ngun gc chung to ra hnh vi by n trn th trng nh

cp trong phn c s l thuyt, TTCK Vit Nam c nhng c im s

c cp di y gp phn to ra hnh vi by n trn th trng.

Mi trng php lut cha hon chnh, thiu hiu lc

Nghin cu ca Gelos v Wei (2002) ch ra rng cc th trng vn mi ni to

ra mi trng m bn cht to iu kin cho s pht trin hnh vi by n. Mt

c im ni bt phi cp u tin l mi trng lut php cha hon

chnh. S khng y v hiu lc thp ca cc iu lut khin th trng

d b tc ng bi nhng hnh ng bt li nh tin n v hnh vi thao tng

th trng. Kt qu l iu ny dn n s minh bch ca mi trng thng tin

b tc ng, do to iu kin cho s pht trin ca cc xu hng giao dch

by n xut hin trong cc nh u t. Trong sut gn 7 nm k t ngy chnhthc i vo hot ng vo nm 2000, TTCK Vit Nam hot ng trong khung

php l c gi tr cao nht v chng khon v TTCK l Ngh nh s

144/2003/N-CP (Ngh nh 144). Nh vy, trong mt thi gian di, TTCK

ch chu s iu chnh ca mt vn bn di lut c nh gi l c nhiu


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21

hn ch, cha ng b v thiu y . Mt s hn ch ca Ngh nh 144 c

th k n nh khng iu chnh hot ng pht hnh c phiu ca cc doanh

nghip c phn ha, cc t chc tn dng, cc doanh nghip c vn u t nc

ngoi; khng bao hm ht cc hnh vi vi phm v cha xc nh r nguyn tc

x pht cng nh thm quyn x pht trong cc hot ng trn TTCK Mi

n tn ngy 12/7/2006 Quc hi mi ban hnh Lut Chng khon, v chnh

thc c hiu lc t ngy 1/1/2007. Lut Chng khon 2006 ra i gp phn

gim thiu nhng hn ch ca cc vn bn php lut v chng khon v TTCK

trc . Nhng ngay c khi Lut chng khon 2006 cng th hin nhng hn

ch v tnh hiu lc trong nhiu trng hp cha cao. V d trong mt thi

gian di, Lut cha c nhng quy nh chi tit v hot ng pht hnh, nim

yt, giao dch ca cc doanh nghip nc ngoi trn TTCK Vit Nam. Hotng cho bn chng khon t ra ra cng chng m khng c thng tin v

mc ch s dng vn huy ng c th din ra thng xuyn m khng c

iu chnh. Khng c cc quy nh c th v vn cng b thng tin ca

doanh nghip, cc i tng lin quan, v khi c quy nh ny th hiu lc ca

n cng hn ch khi thng tin cn mang tnh chung chung, gy kh hiu cho

nh u t. Cc quy nh v hot ng kim ton bo co ti chnh ca doanh

nghip cn lng lo, hin tng khi doanh nghip nim yt b mt cng tykim ton t chi a ra kin, hay b a ra kin chp nhn tng phn, th

cc doanh nghip ny chuyn sang s dng dch v kim ton ca mt cng ty

kim ton khc c c kin kim ton thun li hn xy ra thng

xuyn, theo nhn nh ca mt cng ty kim ton ln. Cc bo co ca doanh

nghip nim yt trc v sau kim ton c vnh ln khng phi l iu him

gp, nh trng hp ca cc cng ty STB, PPC, BHS, LGC, PIT, ASP, PAC,

TMS, VSC trong nm 2008. Quy nh v thi hn np v ni dung cc bo co

ti chnh cn cng b t ra km hiu lc. Theo thng k ca y ban chng

khon nh nc, trong nm 2007 c ti 26/250 cng ty nim yt tr hn np

BCTC, trong nm 2008 s doanh nghip nim yt chm np BCTC l 103

doanh nghip, con s ny ca nm 2009 l 203 doanh nghip. Bn cnh ,

nhiu BCTC ca cc doanh nghip nim yt cng b cn mang tnh hnh thc,


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22

khng m bo lng thng tin y i vi nh u t khi nhiu BCTC, c

bit l cc doanh nghip nh thiu phn thuyt minh BCTC. Hin tng ny

n nay vn cha c cc quy nh php lut v chng khon v TTCK c

bin php chn chnh mnh. Nhng iu va cp cho thy rng khung php

l v TTCK, ni bt l vn v cng b thng tin, vn cn thiu, cng nh

hiu lc km. iu ny gp phn to ra hin tng by n TTCK Vit

Nam.

Quy m th trng nh, to iu kin ca hnh vi thao tng th trng

Trong iu kin quy m th trng (quy m nim yt, khi lng giao dch)

cn nh, th kh nng thao tng th trng c iu kin thun li thc hin.

Quy m th trng cng nh, th nhng nh u t c nhn, t chc c tim lc

ti chnh vo loi kh c th thc hin hnh vi lm gi. Theo thng k caReuters n ht ngy 26/04/2010, mc vn ha th trng trung bnh ca cc

doanh nghip ca cc doanh nghip nim yt HOSE l 2,484 t ng, trong

s doanh nghip c mc vn ha th trng nh hn 500 t ng chim ti

hn 43% tng s doanh nghip nim yt. Khi lng giao dch trung bnh hng

ngy ca cc c phiu HOSE l 250,000 c phiu, trong t trng c phiu

c khi lng giao dch trung bnh hng ngy nh hn 100,000 c phiu chim

38%, s c phiu c khi lng giao dch nh hn 50,000 c phiu/ngy chim21%. i vi HNX, gi tr vn ha th trng bnh qun ca cc doanh nghip

nim yt l 527 t ng, trong s doanh nghip c mc vn ha th trng

nh hn 100 t ng chim 40%. Khi lng giao dch bnh qun/ngy ca cc

c phiu nim yt trn HNX l 190,000 c phiu, trong s c phiu c khi

lng giao dch bnh qun/ngy nh hn 50,000 c phiu/ngy chim n 39%.

Vi quy m giao dch nh nh th ny, y l iu kin thun li cho hnh vi

thao tng th trng ca cc nh lm gi, mt c s cho s hnh thnh hnh

vi by n trn th trng.

Nng lc nh u t cn hn ch

Xt kha cnh nh u t, nng lc, kin thc ti chnh ca nhng ngi

tham gia th trng cng l nhn t gp phn to ra hnh vi by n trn th

trng. TTCK Vit Nam c mt lch s hnh thnh v pht trin ch mi c


26/75

23

chng 10 nm, mc d trnh ca nhng nh u t trn th trng c

nhiu ci thin khi cc kin thc ti chnh tr nn ph bin hn thng qua cc

phng tin truyn thng, cc kha o to kin thc chng khon ca cc

trng, cc trung tm, nhng nhn chung trnh , kin thc ti chnh ca a

phn nhng ngi tham gia TTCK Vit Nam cn hn ch. S ngi c trnh

chuyn mn ti chnh, chng khon ch chim mt lng nh trong tng s

nhng ngi tham gia th trng. Trong khi , mt lng ln nhng ngi

tham gia th trng thiu hiu bit v chng khon, ti chnh, h tham gia vo

TTCK nh mt tro lu thi thng. Nhng nh u t trn th trng l ai?

c th l nhng b ni tr, anh cng nhn, anh k s, nhng ngi c

tin v xem chi chng khon l mt. C nhng thi im, c bit trong

giai on th trng tng nng nh giai on 2006-2007, n u chng tacng nghe mi ngi bn v chng khon. V s thiu hiu bit m nhng nh

u t ny d b cun theo m ng, d b nh hng bi cc tin n, cc

thng tin bn l.

Bin giao dch, chnh sch cm bn khng

Bin giao dch v chnh sch cm bn khng l nhng chnh sch gp phn

to ra mi trng thun li cho tm l by n. Vic thiu vng nhng chnh

sch ny khin TTCK chm iu chnh v mc gi hp l, l nguyn nhnchnh lm ny sinh tnh trng chng khon c mt chui di tng (gim) im

kch trn (sn). S ko di chui tng (gim) im kch trn (sn) ny thu ht

mt s ch ca m ng th trng, v kh nng s tng (gim) im sau

mt thi gian l do qun tnh bt hp l m m ng gy ra, m khng phi

l qu trnh iu chnh gi hp l.

T nhng vn va cp trn, c th thy TTCK Vit Nam c nhng iu

kin hnh vi by n pht trin. Trong phn tip theo, ti s trnh by

phng php nghin cu nh lng kim nh mc hnh vi by n trn th

trng.

2.4.M hnh o lng mc hnh vi by n trn TTCK VN2.4.1. La chn m hnh

2.4.1.1. Cc m hnh o lng hnh vi by n trn th gii


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24

Trong thi gian qua, c kh nhiu nghin cu v hnh vi by n trn th gii

nh Banerjee (1992), Bikhchandani v Sharma (2001), Hirshleifer v Teoh

(2003), Scharfstein v Stein (1990), Kim v Wei (2002), Chistie v Huang

(1995), Hwang v Salmon (2004) Cc nghin cu ny xut nhng m

hnh o lng, kim nh mc hnh vi by n trong cc th trng cng

nh tm l by n ca cc nhm nh u t ring bit no . V d, cc

quyt nh u t ca doanh nghip da trn cc quan st quyt nh u t ca

cc doanh nghip khc nh th no.12 Nghin cu ca Kim v Wei (1999)

xut m hnh o lng hnh vi by n ca cc nh u t nc ngoi trn

TTCK Hn Quc da trn nghin cu mi lin h gia hnh vi giao dch ca

cc nhm nh u t vi bin ng ca cc c phiu trong thng trc .13

Nghin cu ca Christie v Huang (1995), Hwang v Salmon (2004) xutm hnh o lng mc hnh vi by n trn th trng da trn tng s

bin ng ca beta chng khon khi beta cn bng (theo CAPM) do nhn t

hnh vi by n.14

Qua tm hiu v cc m hnh trn, ti quyt nh la chn m hnh ca Hwang

v Salmon (2004) gi tt l m hnh HS p dng cho mc tiu o lng

mc hnh vi by n trn TTCK Vit Nam v cc l do sau:

M hnh HS c th o lng mc hnh vi by n trn quy m ton th

trng, trong khi mt s m hnh khc khng th thc hin iu ny

D liu s dng trong m hnh (s c tho lun trong cc phn tip theo)

c th thu thp c. Trong khi d liu s dng trong cc m hnh khc kh

c iu kin thu thp trong iu kin hin nay

M hnh HS cho php vic m rng m hnh trong tng lai bng cch

thm cc bin vo m hnh kim nh tnh bn vng hay o lng tc

ng ca cc nhn t khc

12 Scharfstein and Stein, Herd Behavior and Investment, The American Economic Review (1990)13 Kim and Wei, Foreign Portfolio Investors Before and During a Crisis, Journal of InternationalEconomics, 68, 1, pp. 205-224 (2002)14 Christie and Huang, "Following the Pied Piper: Do Individual Returns Herd Aroundthe Market?",Financial Analysts Journal, pp. 31-37 (1995)


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2.4.1.2. M hnh Hwang v Salmon (2004)i. Phng php o lng hnh vi by n

M hnh HS o lng hnh vi by n da trn quan st lch ca beta

chng khon so vi beta cn bng hm trong CAPM khi th trng hiu qu.

HS gi nh rng hnh vi by n xy ra khi nh u t hnh ng theo nhng

quan st thnh qu hot ng ca th trng (t sut sinh li th trng). nh

ngha v hnh vi by n ny ca HS c ngha tng t nh nh ngha hnh

vi by n thng thng15 khi c hai loi hnh vi by n ny u dn n vic

nh gi sai gi tr ti sn.

Hnh vi by n dn n vic nh gi sai v cc quyt nh la chn hp l b

sai lch khi tin tng bt hp l bng quan st hnh ng ca th trng, v

iu ny dn ti s sai lm trong nh gi t sut sinh li mong i v ri ro

(nhng nhn t trong m hnh CAPM).

Trong iu kin th trng hiu qu, beta ca cc chng khon c tnh da

trn cng thc sau:

= (1)Trong : l phn b ri ro ca chng khon i ti thi im t

r l phn b ri ro ca th trng ti thi im tTheo l thuyt CAPM c in th c gi tr khng thay i theo thi gian.Tuy nhin, cc nghin cu thc nghim cho thy cn bng c gi tr thayi theo thi gian. Tuy nhin, theo l lun ca HS th ng gp phn ln vo

s thay i ca gi tr beta theo thi gian c gy ra bi tm l nh u t,

trong khi beta cn bng theo CAPM l t c s thay i, v s thay i nu

c l rt chm.

Gi tr beta thay i nh th no khi c tc ng ca hnh vi by n? Khi nh

u t c xu hng nhn vo thnh qu hot ng ca ton b th trng hn l

xem xt cc iu kin c bn ca c phiu m h nm gi, th h s khng

15 Hnh vi by n thng thng c nh ngha l cc nh u t quan st ln nhau v tin hnh vicmua v bn cc ti sn ging nhau trn th trng ti cng thi im.


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quan tm n beta cn bng theo CAPM, m hnh ng sao cho hng ti vic

iu chnh cho t sut sinh li ca c phiu nm gi tng thch vi t sut

sinh li th trng. Trong trng hp ny, chng ta ni rng hnh vi by n

hng ti thnh qu hot ng ca th trng din ra. V d, gi nh rng ch

s th trng tng 20%. Lc , i vi c phiu c beta = 1.5, theo CAPM k

vng hp l ca mc tng gi ca c phiu ny s l 30%. V i vi c phiu

c beta = 0.5, th k vng hp l ca mc tng gi c phiu ny theo CAPM s

l 10%. Tuy nhin, khi xy ra hin tng by n vi xu hng hng ti

thnh qu hot ng th trng, cc nh u t s c xu hng mua c phiu c

beta = 0.5 v h thy rng c v nh gi ca c phiu lc by gi l qu r so

vi th trng, do h tin rng gi ca c phiu ny s gia tng. Ngc li,

cc nh u t s bn c phiu c beta = 1.5 khi h thy rng c v gi cphiu l qu mc so vi th trng. M rng ra, suy ngh theo mt hng khc

ca hnh vi nh u t, hay hnh vi by n ngc, cc nh u t s hnh

ng theo hng lm cho beta ca c phiu c beta ln tng thm, v ngc

li, beta ca c phiu c beta nh s cng gim thm. Tc l, cc c phiu c

beta ln s nhy cm hn i vi th trng, v c phiu c beta nh hn s tr

nn t nhy cm hn so vi th trng. iu ny th hin s hng ti gi tr

trung bnh ca beta cn bng di hn, v tht s th hnh vi by n ngc stn ti nu tn ti hnh vi by n v phi c mt s iu chnh mang tnh h

thng hng n beta cn bng trong CAPM khi beta b nh u t xc nh

thp hoc cao hn gi tr beta cn bng.

Theo l lun trn, HS cho rng thay v xy ra beta cn bng theo phng trnh

(1), mi quan h gia phn b ri ro ca c phiu so vi th trng c th

hin theo cng thc di y:

= = 1 (2)Trong :

v phn b ri ro k vng ca c phiu i, v beta ca c phiu i tithi im t trong iu kin c hnh vi by n.


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l tham s i din cho hnh vi by n, c gi tr thay i theo thigian, v 1 Khi = 0, = , do khng c tm l by n

Khi = 1, = 1, tc l beta ca c phiu bng beta th trng, = . Do , = 1 th hin hnh vi by n hon hokhi tt c cc c phiu bin ng cng chiu vi cng mc nh ca danh

mc th trng.

Khi 0 < < 1, hnh vi by n tn ti vi mc c xc nh thngqua gi tr ca

Nh tho lun trn, khi xy ra hnh vi by n th cc c phiu s bin

ng theo hng tin li gn mc bin ng ca th trng. Ngha l: Nu > 1, tc > , hnh vi by n s to ra

hng v , dn n > > , v kt qu l < , c phiu tr nn t ri ro hn so vi thc cht (theo CAPM) Nu < 1, tc < , hnh vi by n s to ra

hng v , dn n < < , v kt qu l

> , c phiu tr nn ri ro hn so vi thc cht (theo CAPM)

Bn cnh , nh tho lun, s tn ti hnh vi by n cng ng ngha vi

s tn ti ca hnh vi by n ngc, c gii thch bi < 0. Trongtrng hp ny, i vi c phiu c > 1 th hnh vi by n ngc to ra > > . iu ny ngha l lm khuch i mc tng(gim) ca c phiu nhiu ri ro. Ngc li, i vi c phiu c < 1 thhnh vi by n ngc lm cho < < .

ii. M hnh o lng hnh vi by nVi mc tiu o lng mc hnh vi by n quy m ton th trng, HS

s dng ton b c phiu trong th trng loi b tc ng ring bit ca

mt s c phiu no bng cch s dng d liu cho ton b c phiu trn

th trng ti tng thi im t.


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V o lng bin ng ca beta c phiu, HS thc hin tnh ton lch

chun ca beta (nh cp trn, s dng d liu cho):

Std = E E = 1 1 do = 1= 1 1= 1 1 = 11

=

1

Cng thc (2) c vit li nh sau:

log = log + log 1 (3)T (3) c th suy ra hmt.

Cui cng (3) c vit li nh sau:

log = + + (4)Trong :log = + (5)vi = log v ~0,, v = log 1 (6)HS gi nh rng h s by n tun theo quy tc AR(1) v m hnh ca h tr

thnh:

log = + + (7) = , + (8)Trong ~ iid 0, , .


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H thng cng thc (7) v (8) to thnh mt m hnh khng gian trng thi vi

bin khng quan st c l nhn t by n. c lng cc gi tr trong

cng thc, HS s dng phng php lc Kalman.16 Do , trong h thng cng

thc trn, log [Stdc (

] c k vng l s thay i theo cc mc by

n khc nhau, s thay i ca n s c phn nh thng qua Hmt. S ch

c bit y tp trung vo mu hnh ca Hmt . Nu , = 0, th Hmt = 0, lcny khng c hin tng by n. Ngc li, mt gi tr ng k ca , s htr cho s tn ti ca hin tng by n v (nh cc tc gi cp) iu ny

s c cng c bi mt gi tr ng k. Gi tr tuyt i ca s nhngi tr nh hn hoc bng 1, v hin tng by n khng c k vng l mt

qu trnh din ra qu mc (bng n).

kim nh tnh bn vng ca cc kt qu ca nghin cu, HS tin hnh nh

gi li m hnh gc bng cch thm vo mt s bin c v c bn (t s c

tc/gi, li sut tn phiu kho bc, phn b k hn, phn b ri ro ph sn) cng

nh cc bin phi c bn (bin ng th trng, chiu hng th trng, quy m,

t s gi tr s sch/gi tr th trng) vo cng thc (7). tng y l o

lng xem liu rng ngha caHmt c gi vng ngha nu c s hin din

ca cc bin tng ng vi cc trng thi khc nhau (hay s thay i ca cc

nhn t c bn) ca th trng hay khng. Nu nhng s thay i trong

log[Stdc ( ] c ng gp vo nhng bin ny v khng phi hin tngby n mc th trng, th s thm vo ca cc bin ny trong m hnh

s lm cho Hmt khng c ngha.

V s hn ch trong vic thu thp s liu th trng Vit Nam, ti kim

nh tnh bn vng ca cc kt qu t m hnh gc ca HS (cng thc 7-8)

bng cch s dng chiu hng th trng (c phn nh qua t sut sinh li

ca index) v s bin ng th trng nh cc bin kim sot. Mt cch c th

hn, ti nh gi li m hnh HS (2004) bng cch s dng hai phin bn khc

ca cng thc (7) nh trnh by di y:

16 Xem Ph lc 9


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log = + + , + (9)log = + + , + (10)Trong rVNI,t l t sut sinh li ca VN-Index (VNI) thi im t v log VNI,t

l logarith bin ng th trng c tnh trn VN-Index.

2.4.2. D liu2.4.2.1. Mu d liu

Mu d liu c thu thp t thng ngy 1/3/2002 (thi im bt u giao dch

sut 5 ngy/tun)17 n ngy 30/4/2010.

D liu c s dng l cc s liu v VN-Index, v cc c phiu nim yt trn

sn giao dch chng khon Thnh ph H Ch Minh. T sut sinh li phi ri ro

s dng trong cc tnh ton l li sut bnh qun lin ngn hng k hn 3 thng

(VNIBOR 3 thng). 18

Ngun thu thp d liu: Reuters.

2.4.2.2. Phng php x l s liu19T d liu gc thu thp t Reuters, cc s liu s dng trong cc m hnh c

tnh ton nh sau:

Cc t sut sinh li c tnh theo cng thc = ln c lng cc thnh phn khng quan st c trong 2 cng thc (7), (8),

i hi phi c chui d liu beta cho ca cc c phiu trong th trng.

lm iu ny, trc tin ti s dng d liu theo ngy tnh gi tr beta ca

tng c phiu v VN-Index trong tng thng. Sau khi c s liu beta tng

17 Vic s dng ngy bt u ca mu d liu l ngy 1/3/2002 (ngy bt u c giao dch 5 ngy/tun)m khng phi ngy bt u giao dch ca HOSE loi tr nh hng (c th c) ca s khng ngnht chui d liu thi gian trc (ch giao dch 3 ngy/tun).18 ti s dng VNIBOR 3 thng i din cho li sut phi ri ro thay v s dng li sut tn phiu (triphiu k hn 1 nm) kho bc v nhng l do sau: trong qu trnh x l s liu, c s dng phn b riro chng khon theo ngy, i hi phi c li sut phi ri ro theo ngy v d liu VNIBOR p ngtiu ch ny, trong khi li sut tri phiu 1 nm trong nhiu ngy khng thu thp c (khi tc gi sdng Reuters Knowledge truy xut); ngoi ra, theo nh gi ca tc gi trn nhng s liu VNIBOR3 thng v li sut tri phiu kho bc c s tng quan ln, mc chnh lch khng nhiu (c bit khitnh ra li sut theo ngy)19 Cc s liu tnh ton c tham kho Bng 2 v Bng 3, Ph lc


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thng t ca cc c phiu, ti tin hnh tnh beta cho ca ton b c phiu trong

tng thng bng cng thc sau:

=

Trong , = , l s c phiu thng t.Mt c phiu ch c ghi nhn l c mt trong thng t khi chng c d liu t

nht l 13 ngy giao dch trong thng.

2.4.3. Kt qu t m hnhS dng phn mm Eviews c lng cc tham s o lng mc hnh vi

by n, cng nh cc kim nh xem cc tham s ca hnh vi by n c cn

ngha thng k khi a vo cc bin kim sot (rVNI,t - chiu hng th

trng; log VNI,t s bin ng th trng) hay khng.

Kt qu ca cc c lng c tm tt trong bng sau:20

Bng 4: Kt qu c lng t cc m hnh

20 Kt qu chi tit chy t Eviews xem Ph lc 7

Bin

M hnh

(7)&(8)(M hnh gc)

M hnh (9)&(8)

(Bin kim sot:Chiu hng th trng)

M hnh (10)&(8)

(Bin kim sot: bin ng th trng)

-0.863096(0.071005)*

-0.860943(0.071246)*

-3.632324(0.168920)*

0.427426(0.109353)*

0.430258(0.111292)*

0.418408(0.105102)*

C(4) -0.230262(0.350965)

C(5) -0.618957(0.032851)*

,0.402157

(0.136237)*0.401419

(0.141554)*0.241448

(0.170978)*

,StdLog Stdc 0.8928042 0.889444 0.5460056


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32

S trong ngoc n l sai s chun ca cc c lng. * = c ngha thng k

mc ngha 1%. Nu khng c * ngha l gi tr c lng khng c ngha

thng k

Theo cc kt qu c lng trn, c th thy rng: cc tham s ca i lng

i din cho nhn t hnh vi by n trn th trng (Hmt) gm v ,lun c ngha thng k vi mc ngha 1%, k c trong trng hp thm

bin kim sot vo m hnh. Bn cnh , t s, (cn c

HS gi l t s tn hiu) c gi tr ln ti 89%, iu ny th hin hnh vi by

n gii thch 89% s bin ng ca . Nhng dn chng trn chngt: TTCK Vit Nam tn ti hnh vi by n hng theo danh mc th trng.

Tr li vi cc m hnh thm cc bin kim sot (rVNI,t , log VNI,t) vo, chng ta

c th nghin cu c mc ca hin tng by n trong iu kin cc

trng thi th trng khc nhau. Nh cp trn, cc tham s i din hin

tng by n trong m hnh vn c ngha thng k trong c cc trng hp

a thm vo cc bin kim sot. Gi tr C(4) h s ca bin rVNI,tkhng c

ngha thng k, trong khi gi tr C(5) h s ca bin log VNI,t c ngha

thng k. Vi C(5) mang gi tr m, kt qu ny ch ra rng log [ Stdc ( ]c bin ng ngc vi bin ng ca th trng. Ngha l, khi th trng trnn ri ro hn (bin ng mnh) th Stdc ( gim, v ngc li. Trongtrng hp c thm bin kim sot vo m hnh, th t s tn hiu cng ln ti

55%, iu ny cho thy bin ng ca Stdc ( phn ln c gii thch bihnh vi by n.

Do m hnh (10)&(8) cho thy bin ng ca th trng c ngha trong vic

gii thch bin ng ca beta cho cc c phiu trn th trng, nn cc c

lng ca hmt da vo m hnh (10)&(8) l hp l hn so vi cc gi tr h mt thuc t m hnh (7)&(8).21

21 Tham kho Bng 5, Ph lc


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T bng 5, c th nhn thy rng: gi thit hmt1 l ng cho c giai on mu.

Bn cnh , trong sut giai on mu, khng xy ra hin tng hnh vi by

n hon ho (hmt = 1). Gi tr hmt dao ng t mc -0.80522 n 0.546303.

th 3: Hnh vi by n trn th trng theo th trng

T th 3, c th nhn thy rng hnh vi by n trong sut giai on mu

khng i theo mt mu hnh ring bit no c, m bin ng lin tc theo tng

giai on ngn. Bn cnh , hnh vi by n v hnh vi by n ngc(hmt0 th hin

hin tng by n hng n danh mc th trng, tc l lm gim gi tr beta

ca cc c phiu c beta>1, v lm gia tng gi tr beta ca cc c phiu c

-1

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

2002M03

2003M03

2004M03

2005M03

2006M03

2007M03

2008M03

2009M03

2010M03


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beta0 cc c phiu c beta>1 b nh

gi thp hn so vi mc cn bng hay th trng tr nn ngi ri ro, v cc

c phiu c beta


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trong nhng thng , mc phn ng thi qu ca nh u t i vi din

bin th trng, l khng ln nh trc.

Giai on t thng 10/2005 n cui nm 2007 thc s l giai on bng n

ca th trng. Hnh vi by n ngc din ra vi cng mnh trong thi

gian di. u tin l khong thi gian t cui nm 2005 n nhng thng u

nm 2006, VN-Index tng lin tc t mc 286 im ngy 3/10/2005 ln n

632 im vo ngy 25/4/2006, tng ng vi mc tng 120% trong khong

thi gian na nm. Tng ng vi s gia tng nhanh chng ca th trng,

hnh vi by n ngc vi cng mnh trong giai on ny th hin s gia

tng khu v ri ro ca nh u t, khi nh gi qu cao cc c phiu c beta

ln. Cc thng sau , t thng 5 n thng 10/2006, l giai on iu chnh

ca th trng. Hnh vi by n tng ng trong khong thi gian ny th hin

s thn trng ca nh u t trc din bin th trng. V c bit giai on

t thng 11/2006 n cui nm 2007, thc s l giai on bng n ca th

trng. T mc 521 im vo ngy 1/11/2007, VN-Index tng im mnh

m, t mc nh 1170 im vo ngy 12/3/2007. Sau VN-Index tip tc

duy tr mc trn 900 im trong nhng thng cui nm 2007. Nhn vo th

3, chng ta c th nhn thy r hnh vi by n ngc vi cng ln nht

k t u giai on mu din ra, v duy tr trong mt thi gian di. Nh ut tr nn mo him hn rt nhiu so vi trc, khi nh gi cc c phiu c

beta ln vt mc gi cn bng nhiu (lm gia tng beta ca c phiu). Trong

giai on ny, nhiu s kin ni bt lin quan n TTCK v nn kinh t din ra,

c tc ng tch cc n tm l nh u t, v to ra tm l by n (ngc)

trn th trng. S kin u tin phi k n l Lut Chng khon bt u

c hiu lc k t ngy 1/1/2007, nh du vic TTCK c hnh lang php l

hon chnh nht sau hn 6 nm th trng i vo hot ng. Th hai, nhiu tIPO ln din ra, m rng quy m th trng. Trong vng 3 nm (2005-2007),

s doanh nghip nim yt trn HOSE tng gn 5 ln t 33 chng khon ln

141 m chng khon trong nm 2007. Bn cnh , tm l lc quan ca gii

u t trong giai on ny ln cao do nh hng ca hiu ng WTO. Khi

nhng thng tin v vic Vit Nam c chp thun tr thnh thnh vin ca


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WTO, khng kh lc quan bao trm trong i b phn dn c ni ring v gii

u t trn TTCK ni ring, khi k vng v mt tng lai ti sng ca nn

kinh t, ca cc doanh nghip c hng nhng li ch, thun li khi Vit

Nam tr thnh thnh vin ca WTO. Chnh iu ny khin cc nh u t

k vng mt cch bt hp l, lc quan qu mc vo trin vng ca doanh

nghip nim yt. m ng th trng cng hnh x nh vy lm bm

cng bong bng chng khon. Sau khong thi gian tng trng nng, t

mc nh 1170 im thit lp vo ngy thng 3/2007, VN-Index tht bi trong

vic chinh phc mc nh ny mt ln na. Vo khong thi gian na cui nm

2007, cc bo co ca cc t chc nc ngoi cnh bo v s tng trng nng

ca TTCK Vit Nam lin tc c a ra, nhng thun li cho nn kinh t sau

khi Vit Nam tr thnh thnh vin WTO khng nh k vng ca gii u t khin cho cc nh u t bt u nghi ng v nh gi ca mnh i vi cc

c phiu trong thi gian trc. Mc d s lc quan qu mc lc ny khng cn

trong cc nh u t, nhng cc nh u t, c bit l nhng nh u t

kim c mt t sut sinh li cao trong thi gian trc, vn cn nim tin v

mt s gia tng tr li ca th trng trong thi gian ti. y chnh l nhng

nguyn nhn khin cho VN-Index sau khi t nh 1170 im vo thng

3/2007, lin tc st gim, c lc hi phc nhng khng th chinh phc mc1170 im tr li, v mc st gim khng ln, VN-Index vn gi trn mc 900

im.

Giai on nhng thng u nm 2008 th hin s thn trng ca cc nh u

t. Tham s hnh vi by n hmt c gi tr dng, ch dao ng trong khong t

0.21 n 0.33. S thn trng ca cc nh u t ko di t nhng thng cui

nm 2007 n nhng thng u nm ny. Lc ny, th trng vn theo st

gim, nh u t vn nhn vo din bin th trng v hnh x theo ko betac phiu hng ti beta th trng. Bong bng chng khon bt u v vi

cng ln. Nh u t dn mt nim tin vo s phc hi ca th trng.

Giai on nhng thng cui nm 2008 n nhng thng u nm 2009 din ra

hin tng hnh vi by n ngc vi mc ln, lm gia tng bin ng


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ca cc c phiu trc c beta ln cao hn mc bin ng th trng. Vic

c phiu b nh gi qu cao mt cch bt hp l trong thi k tng trng

nng 2006-2007 kt hp vi nh hng t cuc khng hong ti chnh ton cu

bt u lan rng khin cc nh u t hon ton mt lng tin vo s phc hi

ca th trng, dn ti phn ng thi qu ca m ng, ko VN-Index v mc

thp k lc trong nhiu nm (t mc y 235 im vo ngy 24/2/2009, tng

ng mc st gim gn 80% so vi mc nh 1170 im). Sau khi chm y

235 im, cng vi nhng tin tc kh quan t cc thng tin kinh t ton cu

cho thy cuc khng hong ti chnh ton cu chm y, cc nh u t trn

TTCK Vit Nam cng bt u quay tr li th trng. Cc nh u t nhn nhn

rng h phn ng thi qu khi y VN-Index v qu thp, nhn nh ny

c h tr t nhng bo co phn tch ca cc cng ty chng khon, giichuyn gia cho rng gi nhiu c phiu thp hn gi tr doanh nghip nhiu

ln. y l nhng ng lc to ra s phc hi mnh ca th trng to ra hnh

vi by n ngc.

T cui nm 2009 n thng ht thng 2/2010, bin ng ca hmt trn th

trng vn theo xu hng l hnh vi by n ngc, vi mc nh hn

trc. Trong iu kin TTCK phc hi, hnh vi by n ngc ny s gip cho

qu trnh phc hi ca th trng din ra nhanh hn khi m ng gia tngkhu v ri ro.

Tin thm mt bc, ti nghin cu mi quan h gia hnh vi by n v

bin ng th trng. T cc gi tr c lng ca tham s hnh vi by n hmt,

v cc gi tr , ti tnh c h s tng quan gia hmt v l -0.28531. iu ny c ngha l bin ng ca th trng v hnh vi by n l

ngc chiu: th trng cng ri ro th tm l by n trong th trng gim,

nh u t tin tng vo cc thng tin ring hn l nhn vo hnh ng thtrng.


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th 4: Hnh vi by n v t sut sinh li th trng

-1.2

-0.8

-0.4

0.0

0.4

0.8

-0.4

-0.2

0.0

0.2

0.4

2002 2003 2004 2005 2006 2007 2008 2009

h Rm


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CHNG 3: GII PHP HN CH TM L BY N

HNG NGHIN CU TRONG THI GIAN TI

Trong nhng phn trn, ti trnh by v nhng nh hng ca tm l by

n n tnh hiu qu ca th trng, cng nh o lng mc v ch ra

nhng nguyn nhn ca hnh vi by n trn TTCK Vit Nam. Nhn chung,

vic to ra hnh vi by n do ba nhn t c bn chi phi gm: mi trng

chnh sch iu hnh TTCK, cng b thng tin v cc nhn t hnh vi. Trong

phn ny, ti s xut mt s khuyn ngh lm gim tc ng ca hnh

vi by n nhm lm gia tng tnh hiu qu ca th trng.

Th nht, vic minh bch ha thng tin l vn ti cn thit nng cao

tnh hiu qu th trng. Nng cao hiu lc ca cc quy nh php lut

Trong thi gian ti, cc c quan chc nng nh y ban chng khon nh nc

(UBCKNN) cn b sung, iu chnh nhng quy nh v cng b thng tin theo

hng hon chnh, bao qut cc vn , v c bit l m bo tnh hiu lc

cao. Hin ti, mc x pht hnh chnh i vi cc cng ty, t chc nim yt

(gi chung l cng ty nim yt), v nhng ngi c lin quan (c ng ni b,

ngi thn ca c ng ni b) trong trng hp vi phm php lut v cng b

thng tin c cho l qu thp, khng mc rn e ngi, php nhn vi

phm. C th, hin nay nhng vi phm hnh chnh trong lnh vc chng khon

c quy nh trong Ngh nh 36/2007/N-CP, trong mc pht ca cc vi

phm v cng b thng tin ch ang dng mc 10 20 triu ng. Vi mc

pht nh th ny, cc cng ty nim yt v nhng ngi lin quan trong nhiu

trng hp sn sng vi phm php lut v cng b thng tin v chu mc

pht ny. Nhng quy nh trong Ngh nh 36/2007/N-CP do c ban hnh

t cch y kh lu, thiu cp nht, khng cn thch hp vi iu kin thc t

th trng hin nay, nn vic sa i hoc ban hnh mt vn bn php lut thay

th ph hp vi tnh hnh hn l iu cn thit. Bn cnh , cc mc x pht

vi phm hnh chnh trong lnh vc chng khon trong Ngh nh 36/2007/N-

CP cn c vo Php lnh X l vi phm hnh chnh nm 2002 (mc x pht ti

a i vi vi phm hnh chnh trong lnh vc chng khon l 70 triu ng),


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trong khi Quc hi thng qua Php lnh X pht vi phm hnh chnh sa

i nm 2008 c mc x pht ti a i vi vi phm hnh chnh trong lnh vc

chng khon l 500 triu ng, nn vic gia tng mc x pht to tnh rn

e i vi cc vi phm hnh chnh trong lnh vc chng khon, trong c vi

phm v cng b thng tin l hp l. ti xut mc ti a khung mc pht

nn bng vi mc ti a quy nh trong Php lnh X l vi phm hnh chnh

sa i nm 2008, khung mc pht cng cao s cng c tnh rn e i vi

nhng c nhn, php nhn c nh vi phm. Ngoi ra, cng khng loi tr

trng hp, cc cng ty nim yt (c bit l cc cng ty c quy m nh), v

nhng ngi c lin quan thiu nhng hiu bit, khng nm r cc quy nh v

cng b thng tin, cng nh khng nhn thc c tm quan trng ca minh

bch thng tin i vi gi tr hnh nh doanh nghip trong mt nh u t. Do, vic ph bin cc kin thc, cc quy nh ny i vi cng ty nim yt, c

nhn lin quan l iu cn thit. Tuy nhin, quan trng nht l vic s dng

bin php x pht hnh chnh vi mc pht cao, ph bin rng ri nhng quy

nh ny n cc cng ty nim yt.

Mt vn ni cm khc ca cng b thng tin l cht lng thng tin c

cng b. Trong thi gian qua, c khng t nhng bi hc v cht lng cc

thng tn cng b v pha n v cng b v n v kim ton. Trng hp caCng ty c phn Bng Bch Tuyt (BBT) l mt v d in hnh. Mc d cc

bo co ti chnh ca BBT c kim ton nhng n v kim ton b

st nhng khon mc trng yu ca BBT. Trong mt thi gian di, nhng vn

v sc khe ti chnh ca BBT khng c pht hin, cui cng dn

n vic ph sn ca cng ty ny l iu khng trnh khi. V nhng nh u

t vi nhng thng tin c cng b khng y vn u t vo BBT l

ngi gnh chu thit hi ln nht t s ph sn ny. iu ny t ra vn vcht lng v hiu qu ca hot ng kim ton. C quan chc nng ca

TTCK, c th l y ban chng khon nh nc, cn kt hp vi cc c quan,

t chc ngh nghip chuyn mn v k ton, kim ton nh Hip hi k ton

v kim ton Vit Nam, ban hnh nhng quy nh cht ch hn v tiu chun


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hnh ngh kim ton, v chun mc kim ton. iu ny s gp phn lm cho

cht lng thng tin cng b tt hn.

Hnh vi lm gi, thao tng th trng l mt hin tng ph bin trn TTCK

Vit Nam. Hnh ng ny lm bp mo th trng, mang li nhng khon li

kch x cho nhng t chc lm gi, v gy thit hi cho nhng con mi cc

nh u t thiu hiu bit. Vic pht hin x pht hnh vi ny ca

UBCKNN t ra km hiu qu. Trong thi gian ti, ti xut UBCKNN cn

xy dng ban chuyn mn chuyn nghin cu v vn lm gi ng dng

nhng m hnh pht hin hnh vi lm gi trn th gii thc hin chc

nng qun l th trng hiu qu hn, gp phn bo v nh u t nh l.

Th hai, nghin cu v p dng chnh sch bin giao dch, ci thin h

tng thng tin

V vn mi trng chnh sch, cn nghin cu p dng cc bin php s

dng bin giao dch, nghip v bn khng mt cch hiu qu nhm ci thin

kh nng iu chnh nhanh chng th trng v ng gi tr thc. Vic loi b

quy nh v bin giao dch, cng nh nghip v bn khng lun l con dao

hai li. Mt tch cc ca vic ny l gip th trng nhanh chng iu chnh,

trnh c tm l by n c kh nng xy ra khi tnh trng tng (gim) im

kch trn (sn) ko di ca nhng c phiu mi nim yt hay nhng cng ty t

ngt c mc li nhun t bin. Nhng chiu hng i lp, vic loi b quy

nh bin giao dch, p dng nghip v bn khng c th khin th trng

phn ng thi qu trc thng tin c cng b, gy ra bin ng mnh ca th

trng mt cch bt hp l. Do , cn nghin cu k v vn s dng bin

bao nhiu % l ph hp gip th trng c nhng iu chnh hp l hn.

ng thi, nghin cu v c s php l, iu kin th trng, c bit nng cao

cht lng h tng thng tin c th trin khai nghip v bn khng trn th

trng vo thi im thch hp.

Th ba, cn nng cao nng lc nh u t.

S thiu hiu bit hay km ci v nng lc cng nh kin thc lin quan n

vic u t trn TTCK cng l mt tr ngi i vi vic hn ch tm l by n


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trn th trng. Mt nh u t hp l s a ra quyt nh u t da trn s

cn nhc ri ro v t sut sinh li t nhng thng tin c cng b trn th

trng. Trong khi Vit Nam s nh u t c nhn lm c iu ny cn

qu t i. C nhiu l do gii thch cho vn ny nh: Hin nay, hu ht

cc t chc lin quan n vn dy v cp chng ch v chng khon cn qu

t trn th trng, hc ph cho vic o to cn kh cao. Tm l ngi sn c ca

mt s nh u t cho rng vic hc lin quan n tnh ton, nh gi phc

tp v rc ri, v h cha nhn thc c tm quan trng ca vn ny. V s

lng nh u t cha c kin thc c bn trnh hc vn cn qu thp

vn cn chim t l cao, v cho d c tham gia o to cng kh c kh nng

hiu v nm bt. Mt s cng ty chng khon cng t chc hng dn cho

cc nh u t nhng vn cn s xi v cha hiu qu. Ch yu vn l hngdn v cch thc thc hin giao dch trn th trng m cha ch trng n cc

kin thc v qun l danh mc u t. khc phc iu ny tt nhin cn c

s m rng v quy m cng nh cht lng o to nhm cung cp cho nh

u t c nhng kin thc, k nng cn thit khi hot ng trn th trng.

Nh tng cp, ngoi nhn t bt cn xng tin th tm l by n ca nh

u t cn c to ra t nh hng ca cc nhn t hnh vi. Do , vic ci

thin minh bch thng tin th trng vn khng th loi tr c hnh vi byn trong th trng. Ngay c cc th trng pht trin vi mc minh bch

thng tin mc cao nh M, hnh vi by n vn cn kh ph bin.

Th t, thc hin cc nghin cu th nghim kinh t a ra quy nh cng

b thng tin ph hp

Cc nhn t hnh vi nh s t tin qu mc, ph thuc vo kinh nghim hay

thut ton my mc, gp phn to ra tm l by n, khin th trng

khng hiu qu ngay c khi thng tin c cng b y . Nh tng gii thiu

trong phn c s l thuyt, kinh t hc th nghim s l cng c tt s dng

trong trng hp ny. Nhng nghin cu ca kinh t hc th nghim s gip

hiu hn v c ch ra quyt nh ca con ngi, t gip a ra nhng quy

nh v k thut cng b thng tin, hnh thc thng tin, ni dung v khi lng


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thng tin cn thit ph hp vi iu kin thc ca th trng tc ng mt

cch tch cc n qu trnh x l thng tin ca nh u t. Nhng th nghim

c tin hnh bi cc nh kinh t IMF cho thy vic tin hnh v t kt qu

tt t cc th nghim kinh t l hon ton kh thi. 22 Hin ti, kh nng p dng

Vit Nam cn kh hn ch. Thit ngh trong tng lai, cn c nhng u t

nghin cu su hn v lnh vc ny nhm a ra nhng quy nh ph hp hn

khi xt ti tc ng ca cc nhn t hnh vi.

Nhng thch thc v hng m rng ca ti

Nhng thch thc i vi tnh bn vng ca cc kt qu c lng ca ti

c th n t nhn t: khng thc hin tnh beta cho th trng theo t trng.

Trong th trng, quy m cc cng ty nim yt l khc nhau nn nh hng n

th trng l khc nhau. Do , vic xt ti nhn t t trng theo quy m ca

cc cng ty nim yt trong vic tnh beta cho th trng th s cho kt qu

chnh xc hn. Do iu kin thu thp, tng hp, x l s liu v quy m cc

cng ty nim yt ton th trng trong sut giai on mu l mt cng vic vi

khi lng khng l. Trong kh nng ca mnh, ti cha c iu kin thc hin

c iu ny, nn ti tm chp nhn kt qu o lng t cch tnh beta cho

th trng khng c trng s. y va l thch thc, va l mt hng m

rng, iu chnh m hnh ca ti trong tng lai.

Bn cnh , trong m hnh gc ca HS c xt ti 3 nhn t trong Fama v

French(1993) (gm: quy m (SMB), gi tr s sch/gi tr th trng (HML),

t sut sinh li th trng), v cc nhn t v m a vo m hnh nh gi

tnh bn vng ca m hnh. Trong iu kin thu thp s liu khng cho php,

ti ti cha thc hin cc kim nh xt ti cc nhn t ny. Trong tng lai,

vic m rng ti s hng ti vic a nhng bin va nu vo m hnh

nh gi tnh bn vng ca cc c lng hnh vi by n trong th trng.

22 Marco Cipriani and Antonio Guarino Herd Behavior in Financial Markets: An Experiment withFinancial Market Professionals, IMF Working Paper 141/08, 6/2008. Nghin cu ny c hiu lc mt s mc i vi cc bng chng th nghim c v tc ng by n. Lisa R. Anderson andCharles A. Holt, Information Cascades in the Laboratory (1997) 87 American Economic Review847-862.


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KT LUN

ti chng t s tn ti hnh vi by n trong TTCK Vit Nam, ng thi

lm r ngun gc gy ra tm l by n trn th trng. TTCK Vit Nam xy

ra hnh vi by n trong cc giai on tng trng hay thoi tro (hnh vi by

n ngc) khin th trng c nhng bin ng mt cch bt hp l so vi

iu kin c bn.

ng thi, ti cng xut mt s gii php nhm hn ch tm l by n

trn th trng. Trong , quan trng nht l nng cao tnh minh bch trn

TTCK, bng cch gia tng tnh hon chnh v hiu lc ca cc iu lut, trong

vic ci thin vn cng b thng tin ca cc thnh vin th trng, ngn

chn hnh vi thao tng th trng Bn cnh , UBCKNN cn ci thin h

thng h tng thng tin, nghin cu p dng chnh sch bin giao dch ph

hp. ng thi, vic ci thin nng lc nhng ngi tham gia th trng cn

c lu tm cho s pht trin n nh lu di ca th trng.


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PH LC

Ph lc 1: Tc ng ca tm l by n trong cuc khng hong ti chnh

ton cu nm 2008

Cuc khng hong ti chnh ton cu nm 2008 tht s l mt tm thm kch

i vi nn kinh t ni chung v ngnh ti chnh i vi ngnh ti chnh th

gii. Hng triu ngi lm vo cnh tht nghip, v s sp hng lot ca cc

nh ch ti chnh ln nh Lehman Brothers, Washington Mutual Khi cuc

khng hong bng pht v lan rng, mt lot cc phn tch, bnh lun li

cho nguyn nhn cuc khng hong l vic cng b thng tin khng y ca

cc nh ch ti chnh. Theo quan im ny, hu ht cc nh lm chnh sch,

cc nh phn tch v qun l cho rng vic cng b khng y l nguyn

nhn duy nht gy ra cuc khng hong ti chnh ton cu.23 Theo tranh lun

ny, cc nh u t c nhng thng tin khng y v nhng ri ro lin quan

n chng khon cu trc, chng hn nh chng khon c bo m bng ti

sn (ABS),24 cc ngha v n c th chp ha (CDOs),25 hon i kh nng

v n tn dng (CDS),26 nhng thiu st v hn ch ca xp hng tn nhim, v

nh hng ca cc khon lng bng qu mc ca cc nh qun l. Cc nh

u t hp l nhn c nhng thng tin c cht lng cao hn s tip cn

23Bo co chnh sch trong s pht trin th trng ti chnh (Ch tch nhm cng tc v th trng tichnh, thng 3 nm 2008).

24 ABS l mt loi chng khon thng thng trong gi tr v cc khon thu nhp ca n pht sinht vn gp c bit ca cc ti sn c s, c th l th tn dng hay vn vay t ng, th chp, bikhon, t cc hp ng cho thu ti sn... Cc ti sn ny khng c bn ring l m c bn tptrung v mt mc ch c bit, ngi bn chuyn nhng cc ti sn phi tin mt thnh cc ngun thunhp bng tin mt.

25 CDOs c to bi cc ngn hng u t hoc cc nh qun l qu bao gm cc li ch c chngkhon ha ca cc ti sn khng th chp. Cc ti sn gp vn c gi l ti sn th chp, bao gmvn vay v cng c n gi l ngha v i vi cc khon cho vay c th chp ha (CLOs) hay tri v

th chp bng tri phiu (CBOs) ty thuc vo ti sn th chp l cc khon vay hay tri phiu tngng.

26 CDS l mt hon i trong mt trong hai bn tham gia hp ng tr cho bn cn li mt khoncoupon nh k theo thi hn quy nh trn hp ng. Bn kia s khng thanh ton tr khi xy ra skin tn dng c bit. CDSs thng thng ging nh l ISDA, s kin tn dng thng c nhngha l kh nng khng th chi tr v vt, ph sn hay ti cu trc n i vi mt ti sn c s cbit. Nu s kin tn dng xy ra, bn th hai s thanh ton cho bn th nht v nghip v hon i ktthc. ln ca khon thanh ton lin quan n s suy gim gi tr th trng ca ti sn tham chiugn vi s kin tn dng.


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c vi cc chng khon n phi sinh c bo lnh v vi s thn trng h s

khng dnh su vo trong nhng th trng ny. Nu cc th trng vn c

thng tin hiu qu cng s trng pht cc cng ty c cc c ch bng lc dnh

cho cc nh qun l v cc giao dch n xi, mc d iu ny c kh nng

mang li nhng khon li nhun khng l.

Tri vi quan im trn, nhng nghin cu v th nghim gn y cho thy

rng cng b thng tin khng y khng phi l nguyn nhn gy ra cuc

khng hong. Khi xt ti cc nhn t hnh vi, tm l nhng ngi tham gia th

trng th nhng ch trch nhm vo vn cng b thng tin khng y tr

nn thiu thuyt phc. C th, qua cc cuc th nghim, cc nh nghin cu

thy rng: trong nhiu trng hp, vn nm chnh cc nh u t, ban iu

hnh cc nh ch ti chnh cng nh nhng ch th khc tham gia th trng

nh cc c quan qun l th trng Trong iu kin th trng ti chnh bin

ng lin tc vi nhng sn phm ti chnh mi nh cc cng c ABS, CDO,

CDS nh va cp trn, th cc nh u t trn th trng khng x l

nhng thng tin c sn mt cch hp l, v cha c nhng iu chnh v th

mt cch kp thi i vi nhng ri ro c kh nng xy ra i vi cc chng

khon cu trc v nhiu l do khc nhau. u tin, v s phc tp v sn phm

v s gii hn duy l m cc nh u t hp l khng nhn ra c cc kxo v ri ro ca cc nghip v ngn hng ngm cng nh cc chng khon

cu trc (chng khon n phi sinh).27 Thhai, ngi chi c xu hng by

n, h khng c kh nng hoc khng c nhu cu s dng nhng thng tin

c cng b theo cch hp l cng nh khng mun l ngi i ngc tro

lu, h phn ng theo hnh vi ca nhng ngi tham gia khc trn th trng.

Th ba, nh hng ca cc yu t hnh vi khc nh s phng on,28 s c tin

ca nh u t trong thi gian th trng ang trng thi phn ph, bi v

27 Steven Schwarcz, Bo v th trng ti chnh: Bi hc t cuc khng hong cho vay di chun(2008), 93Minnesota L. Rev. 373.

28 Steven Schwarcz, Sphc tp ca cng c iu tit trong th trng ti chnh, Cng lut Duke vNghin cu L thuyt Php lut s 217, sa i ngy 26 thng 02 nm 2009, l bi phn tch tt nhtnhng hn ch v s hiu bit ca cc nh u t do s phc tp ca cc sn phm ti chnh v nhnghu qu thm khc ca nhng hiu bit c gii hn ny.


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s a dng ca tn dng r tin v gi c th trng ti sn gia tng nhanh

chng, tc l cc nh u t c tnh l i nhng du hiu cnh bo trong nhng

d liu c cng b.29

1. Cng b thng tin v Cuc khng hong ti chnh nm 2008S thiu minh bch c cho l nguyn nhn to nn nhng iu kin dn ti

cuc khng hong ti chnh ton cu th hin theo nhng kha cnh: (a) khng

cng b thng tin y v ri ro ca cc khon n di chun, (b) s m h

ca cc sn phm ti chnh c tnh cu trc cao, ng thi chng c kt hp

vi cc cng thc nh gi rt phc tp, v i khi cc nh ch ti chnh

gy ra s bi ri, kh hiu v ri ro gn lin vi nhng sn phm nh vy mc

cho cc th tc lin quan mang tnh php l v nguyn tc, chun mc, (c) s

thiu minh bch trong cc bng cn i k ton cng b chnh thc v phi

chnh thc ca cc nh ch ti chnh (ni bng v ngoi bng), (d) vic khng

cng b y thng tin ca cc hng xp hng tn nhim (CRA) v cc hn

ch ca cc nh gi xp hng tn dng v nhng xung t v li ch ca

chng, (e) s thiu minh bch v cc khon lng thng qu mc ca nh

qun l.

Nhng ngi theo l thuyt th trng hiu qu (con ca l thuyt la chn

hp l) da trn l lun rng vn thng tin n vi cc nh u t khng y

trn cc kha cnh trn nn nh u t khng c nhng nh gi hp l i

vi ri ro cc sn phm ti chnh, v cc khon u t nn h khng th a ra

cc quyt nh ti u. Mt khi cc nh u t khng c nhn thc, nh gi

ng ri ro, cc nh u t dn thn vo nhng cuc chi y ri ro trn th

trng chng khon cu trc v c th trng bt ng sn, to iu kin hnh

thnh cc bong bng ti sn. V khi cc bong bng ny cng qu mc

th dn n hin tng n bong bng khng hong.

29 Emilios Avgouleas, Cuc khng hong ti chnh ton cu, Ti chnh hnh vi v Quy ch ti chnh:Trong bi nghin cu ca mt thng gio mi (2009), Bi bo nghin cu Lut doanh nghip 121 157


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Bn cnh , c mt thc t khng th ph nhn l vic nh gi cc chng

khon cu trc l rt phc tp khi nhng chng khon cu trc ny c to ra

theo nhng cch phc tp, chng cho. c mnh danh l bc thy trong vic

sng to cch kim tin, cc nh ch ti chnh M tin hnh chng khon

ha cc khon tn dng, trong c tn dng bt ng sn di chun, tr

thnh cc cng c ti chnh c th mua bn c trn th trng (ABS) vi ti

sn c s l cc khon tn dng. Sau , vic kt hp cc loi ABS khc nhau

(nh ABS tn dng bt ng sn, ABS vay mua xe, ABS vay tin hc i

hc) vo thnh cc portfolio (danh mc u t) ri chia nh cc portfolio ny

theo cc mc ri ro khc nhau, to thnh cc CDO. V bo m cho cc

CDO ny, CDS tr thnh ng vin thch hp. Vic to thnh cc portfolio

nh th lm ny sinh vn : s khng tng thch thi gian o hn ca ccti sn c s. n lt n, s khng tng thch v thi gian o hn ca cc

ti sn c s khin cho th trng gp kh khn ln trong vic nh gi hp

l cc chng khon . iu ny to nn tnh khng chc chn, dn ti th

trng b bp mo v cui cng, khi ng cuc khng hong tn dng. Hn

na, cc ngn hng - mt cch v tnh hay c - a ra cho th trng

nhng thng tin khng hon chnh i vi cc chng khon cu trc trong bng

cn i k ton chnh thc v phi chnh thc (ni bng v ngoi bng). Kt qul ni lo s v con s tht ng sau nhng cng b gy ra s e ngi ca

cc nh u t, dn ti s phng i v tnh trng ri lon ca th trng.

Ngoi ra, trong mi trng y bin ng v mc phc tp cao ca th

trng ti chnh ton cu, n cng d khin cho c quan qun l ra quyt nh

sai i vi cc d liu sn c. Do , hoc l do bn cht ca Cc tiu chun

mc vn an ton Basel30, hay do nhng t duy ngho nn v sai lm c hu v

s gim st tp trung vo mc vn an ton mang tnh nh ch nn cc trunggian ti chnh khng b yu cu phi thc hin bt c nh gi no v mi lin

30Markus Brunnermeier, Andrew Crockett, Charles Goodhart, Avinash D. Persaud, v Hyun Shin,Nhng nguyn l nn tng ca quy tc ti chnh, Cc bo co Geneva trn Tp ch Kinh T Th Gii11, thng 1 2009, chng 4, cn c gi l bo co Goodhart.


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kt mang tnh h thng vi cc hot ng th trng ca h, ln vic cng b

cc nh gi .

2. Cuc khng hong ti chnh 2008 v s tc ng ca cc nhn t hnh vi,tm l by n

Mc d quan im ph phn vic cng b thng tin khng y gy ra cuc

khng hong ph bin trong cc bnh lun, nhng c mt thc t khng th ph

nhn rng ngay c nhng lnh vc m thng tin c cho l di do v cng

b thng tin c k vng l cng c iu chnh hiu qu th cng b thng tin

khng t c hiu qu nh k vng. l nhng lnh vc: (a) qun tr ri

ro, (b) bo v ngi tiu dng, v (c) n nh h thng ti chnh. Nh cp

trong phn trc, s tht bi ca cng b thng tin trong nhng lnh vc ny do

tc ng ca cc nhn t hnh vi, v ni bt l hnh vi by n trong th

trng. Phn tip theo s phn tch c th hn v vn ny.

2.1.nh gi ri roV nguyn nhn gy ra cuc khng hong ti chnh ton cu, cc bo co phn

tch cp nhiu n vai tr ca vic iu hnh qun tr ri ro lng lo trong

cc nh ch ti chnh. Nhng yu km ca qun tr ri ro ni b tp trung vo

5 kha cnh:

Tht bi trong kim sot tn dng v xem xt tiu chun cho vay

Thiu nng lc trong nh gi v th i vi cc chng khon cu trc mt

cch hp l

S tn nhim qu mc i vi cc bng nh gi xp hng tn nhim mc

cho nhng thiu st c nhn bit mt cch rng ri ca chng

Trnh hiu bit hn ch ca cc nh qun l ngn hng v chc nng tht

s ca cc cng c u t c bit (SIV) Vic s dng thng tin khng y khi n c cung cp

Nh cp trn, qun tr ri ro l mt trong nhng lnh vc m thng tin

c cho l ng k, di do. Nguyn nhn ca tht bi trong lnh vc ny


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50

khng phi l vic thiu thng tin m l vic s dng thng tin khi chng c

cng b mt cch khng thch hp, di tc ng ca cc nhn t hnh vi.

V d v vn s tin tng qu mc i vi cc bng nh gi xp hng tn

nhim, tc ng ca cc nhn t hnh vi nh th no? Trong bi cnh cc bng

cng b gi cc chng khon cu trc l khng ph bin31, cc nh ch ti

chnh thc hin nh gi cc chng khon cu trc ny bng cch s dng cc

bng nh gi xp hng tn nhim. Cc bng xp hng tn nhim tr thnh nhn

t then cht trong vic nh gi cc chng khon phi sinh t n c tnh ty

bin v km thanh khon.32 Tuy nhin nhng ngi tham gia th trng c mc

phc tp, tinh vi cao ny u bit r rng cc bng xp hng tn nhim c

pht hnh bi cc hng xp hng tn nhim (CRA) tn ti nhiu hn ch.

Th nht, pht sinh mu thun v li ch khi m mt lng ln cc t chc mua

cc bng xp hng tn nhim cng chnh l cc t chc pht hnh cc sn phm

ti chnh cu trc. iu ny dn ti nguy c rng cc hng xp hng tn nhim

lm va lng khch hng ca mnh tin hnh t vn cng nh thc

hin nhng iu chnh trong qu trnh xp hng tn nhim ca cc sn phm ti

chnh l cc chng khon cu trc ca khch hng. iu ny dn n hn ch

di y.

Th hai, nhng nh pht hnh cc chng khon cu trc s dng cc hng

dn ca CRA v cc phn mm to nn nhng r cc chng khon phi sinh

m chng c m bo xp hng tn nhim mc cao nh AAA.

Th ba, th trng thiu ng c c th kim sot, gim st cc bng xp

hng tn dng mt cch nghim tc khi m c mt thc t rng th trng xp

hng tn nhim c mc c quyn nhm cao vi ba hng ln: Standard &

Poors, Fitch, v Moodys c truyn thng thng tr th trng.

Th t, cc CRA khng cng b tng quan c lng ca nhng ngi i

vay trong r ti sn, trong khi vic cng b cc tng quan cho s h tr

31 IMF, Bo co n nh Ti chnh Ton cu, Nhng ri ro h thng n cha v phc hi nn tichnh lnh mnh, thng 4/2008, 55.

32 Nh trn


54/75

51

rt nhiu cho nh u t trong vic nh gi c hay khng vic xp hng da

trn nhng k vng, m chng c s kt ni vi chnh k vng ca h.

Cui cng, cc bng nh gi xp hng tn nhim khng xt n nhn t tnh

thanh khon/tnh th trng ca cc sn phm ti chnh trong khi nhng tham

s ny c lin quan cht ch v mt bn cht vi gi tr ti sn l cc chng

khon cu trc.

C hai cch l gii cho vic ti sao cc nh u t, cc nh ch ti chnh d

c quy m ln vn da vo cc bng xp hng tn nhim thay cho nhng phn

tch thch hp.33

Li gii thch th nht cho vn ny l cc nh u t chn b qua nhng

thiu st ca bng nh gi xp hng tn dng tit kim ng k chi phnghin cu v tin li cho vic giao dch. Tuy nhin, nhn nhn mt cch n

gin c th thy li gii thch ny l khng hp l khi m cc nh ch ti

chnh, cc nh u t ln hon ton c tim lc ti chnh cng nh kh nng

c th tin hnh phn tch tn nhim v nh gi cc sn phm chng khon

cu trc mt cch hp l hn, v nh th s gim thiu c ri ro t nhng

hn ch ca cc bng xp hng tn nhim mang li. L gii th hai di y

nhn mnh n phng din hnh vi ca nh u t.

Vic cc nh u t tn nhim vo cc nh gi xp hng tn nhim mt cch

khng hp l chnh l kt qu ca tin trnh ca kinh nghim hay thut ton

my mc v s lch lc do tnh hung in hnh.34C th, nhng ngi tham

gia trn th trng nhn thy rng vic tnh ton mt cch cn trng, chnh xc

i vi gi tr cc chng khon cu trc l iu khng cn thit. Thay vo ,

cc nh u t da trn kinh nghim l ch yu. V khi cc chng khon cu

trc ch c mt lch s giao dch ngn ngi, khng c mt kinh nghim no v

33 Mark Carney, Ch ra s bt n trong th trng ti chnh, Bnh lun ca Hi ng ngn hngCanada gi ti y ban Thng mi Toronto, 13 thng 3 2008, 3-4

34 Phng php kinh nghim in hnh c s dng bi mt c nhn o lng xc sut bng cchxem xt c bao nhiu gi thit tng ng vi d liu sn c.

Hn bao gi ht, mt trng hp in hnh l mt kinh nghim hu ch, nhng n c th gy ra nhnglch lc nghim trng.


55/75

52

cc tht bi nghim trng ca cc bng xp hng tn nhim i vi cc chng

khon cu trc. V mc cho nhng sai lm trong vic nh gi thiu chnh xc,

thiu tiu chun, cc nh gi xp hng tn nhim vn t ra hu dng, hot

ng giao dch v u c vn tip din. Cc nh u t khi quan st thy hin

tng trn to ra hnh vi by n trn th trng: cc nh u t vn x

vo th trng chng khon cu trc v y gi chng ln to ra cc bong

bng. V hnh vi by n lm khuch i s mo m ca th trng gy ra

bi s tin tng mt cch bt hp l rng th trng vn ng khi s dng cc

bng xp hng tn nhim nh gi cc chng khon cu trc.

Tranh lun trn c cng c bi s tht rng trong khi cc nh u t v cc

c quan gim st iu tit th trng tin tng m qung vo cc xp hng

tn nhim, th cc CRA li thng xuyn cnh bo th trng v chc nng tht

ca nhng bo co xp hng tn dng ca h. Hin nhin, nhng cnh bo ca

h khng ni bt v c cng b rng ri.35 Song, mt nh qun l iu tit

th trng v nh u t khn ngoan vi v s nhng k thut tinh vi v lo

luyn s d dng nhn dng v phn nh hp l nhng tn hiu vo m

hnh ra quyt nh thay v phng i tm quan trng ca cc nh gi xp hng

tn nhim.

2.2.C ch bo v ngi tiu dngNhng ch trch v s tht bi trong c ch bo v ngi tiu dng trong cuc

khng hong ti chnh nm 2008 nhm vo cc nh mi gii nh t cng nh

cc nh mi gii tn dng.36 Quan im ny da trn l thuyt la chn hp l

cho rng nhng ngi tiu dng khng c tip nhn mt cch y

35 IMF, GFSR, Nhng ri ro h thng n cha, 55, Mc d cc Hng xp hng tn dng nhn mnhrng nhng o lng xp hng ch o lng ri ro mc nh, khng phi l kh nng hay ln canhng s st gim gi tr th trng (mark-to-market), nhng nhiu nh u t dng nh khngnhn thc y v nhng cnh bo v nhng tuyn b khc t/gii hn trch nhim ny. Cng tcgi.

36 The Becker-Posner Blog, S hn n ca n th chp di chun - Bnh lun ca Posner, 23Thng 10 2007, xem ti:

http://www.becker-posner-blog.com/archives/2007/12/the_subprime_mo.html, (cp nht ln cui vo24 Thng 3/200

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