Hnh vi gi chng khon v th trng hiu qu
Hnh vi gi chng khon v th trng hiu quU T TI CHNH
GVHD: Trn Th Hi LSVTH: Nguyn Th Ly Nguyn Phm M Hnh Trn Th
M7-1LOGO17-2ContentsTho lun ngha ca cc bt thng: v,Bong bng i vi
TTHQTTHQ v cc thnh qu ca cc nh qun l qu chuyn nghipNhng ng ca cc
dng TTHQS hnh thnh ca th trng hiu qu2 I.S hnh thnh ca th trng hiu
quTuy nhin l thuyt th trng hiu qu ngi ta gi nh l th trng chng khon
c hiu qu v mt phn phi v hiu qu hot ng. V vy, chng ta ch xt th trng
ny trong iu kin hiu qu v mt thng tin7-3+Th trng c xem l hiu qu v mt
phn phi khi cc ngun ti nguyn khan him c phn phi s dng mt cch tt
nht.+Th trng c xem l hiu qu v mt hot ng khi cc chi ph giao dch
trong th trng c quyt nh theo quy lut cnh tranh+Th trng c coi l hiu
qu v mt thng tin nu th gi hin hnh phn nh y , chnh xc v tc thi tt c
cc thng tin c nh hng ti th trngTuy nhin l thuyt th trng hiu qu ngi
ta gi nh l th trng chng khon c hiu qu v mt phn phi v hiu qu hot ng.
V vy, chng ta ch xt th trng ny trong iu kin hiu qu v mt thng
tin
3I.S hnh thnh ca th trng hiu quTTHQ: L th trng trong gi c ca
chng khon phn nh y , tc thi cc thng tin hin c trn th trng.7- 4Are
Financial markets Efficient?Cc iu kin v TTHQc im ca TTHQCc dng
TTHQnh bi th trngT sut sinh li vt triTTHQ: L th trng m NT khng lun
nh bi c th trngTSSL vt tri: l s chnh lch gia thu nhp t khon u t ny
v thu nhp ca nhng khon u t khc cng mt mc ri ronh bi th trng: lin tc
kim c 1 khon TSSL vt tri DngV d v th trng hiu qu: Tin mt cty du la
pht hin ra m du mi c tr lng ln c cng b lc 10 gi sng ngy hm nay th
ngay lp tc thng tin s c phn nh vo gi c khin cho n c y ln mc thch
hp. M c nhng nghin cu o lng tc ca s iu chnh gi c v kt qu l ch c kim
c li nhun khi mua chng khon trong vng 30 giy sau khi thng tin c cng
b rng ri4I.S hnh thnh ca th trng hiu quCc iu kin1. S hp l ca cc nh
u t2. S khng tng quan gia cc sai lch3.Kinh doanh chnh lch
giEfficient marketCc c im- Mi thng tin u nhanh v chnh xc v NT u thu
thp ngay lp tc thng tin ny- Khng th suy lun hiu qu tng lai t hiu qu
hot ng qu kh- 7- 5S hp l ca nh u t:Nh u t khng nh gi qu cao cng nh
gi qu thp cc ti sn ti chnh mt cch c h thng theo nhng thng tin m h c
cNu mi nh u t lun lun a ra nhng quyt nh u t hp l mt cch hon ho th
vic kim c mt khon t sut sinh li vt tri l rt kh S khng tng quan gia
cc sai lchGi s nhiu nh u t khng l tr v khng cng nim tin vi thng tin
mi c a ra, mt s nh u t lc quan, mt s khc li bi quan. Nhng tc ng ca
cc nh u t ny s loi tr ln nhau.Kinh doanh chnh lch gi
5I.S hnh thnh ca th trng hiu quTh trng hiu qu dng yuGi c phn nh
tt c cc thng tin trong gi qu khTh trng hiu qu dng vaGi c phn ng tt
c cc thng tin cng b cng khai ra cng chngTh trng hiu qu dng mnhGi ca
chng khon phn nh tt c nhng thng tin cn thit c lin quan n cng ty,
thm ch c nhng thng tin ni gin
7- 6
3 hnh thc ca th trng hiu qu
Thng tin qu kh bao gm gi c, khi lng giao dch, gi mua, gi
bn..Thng tin cng bThng tin v doanh nghip: EPS, chnh sch c tc, cng b
vic mua li cng ty, vic st nhpThng tin v m: ch s CPI, li sut, gi du,
cn cn ti khon vng laiThng tin cha cng b (ni b cng ty) Khi c thng
tin c cng b, gi c c th iu chnh theo ba hng c bn: a) Phn ng theo th
trng hiu qu b) Phn ng tr c) Phn ng thi qu v iu chnh
6II. Nhng ng ca th trng hiu qu7- 77II. Nhng ng ca th trng hiu
quNg 1: Vic tm kim TSSL d on t nhng thng tin trong qu kh khng c
ngha quan trong v mt kinh tNg 2: Gi chng khon thay i khng theo 1
hnh dng c th no theo thi gian v hnh vi gi chng khon l nhng bc ngu
nhinNg 3: trong iu kin th trng hiu qu dng va, Gi c chng khon ch
thay i khi c nhng thng tin ngoi mong i7- 8Ng 1: -Nu th trng hiu qu
th gi c chng c phn nh y thng tin trong qu khGi s gi chng khon c lin
h vi cc thng tin trong qu kh th cng khng c g m bo rng cc mi lin h
ny s khng xy ra trong tng laiMc d nhiu nh nghin cu c th cho thy rng
TSSL tng li phn no c d on bi TSSL trong qu kh, nhng iu ny khng kim
c 1 TSSL vt tri v thng thng chi ph giao dch s che khut nhng n lc tm
kim li nhun ch da trn thng tin qu khNg 2: Ng ngy ng h cho gi thit
TTHQ v s hiu bit nhng thng tin trong qu kh s khng gip ch cho vic tm
kim TSSL vt tri
8II. Nhng ng ca th trng hiu quNg 4: Bng PP nghin cu s kin cc nh
nghin cu chng minh rng TSSL hin ti ch ph thuc vo thng tin cng b ti
ti im hin ti ch khng chu nh hng ca nhng thng tin cng b hoc cha cng
b>>>ng h cho gi thuyt TTHQ
7- 9
Hnh: TSSL bt thng tch lu ca Advanced Medical
Optics.30/03/20079II. Nhng ng ca th trng hiu quNg 5: Nhng ng cho cc
nh u t nu TTHQ NT ch nn tp trung vo vn phn b ti sn v t quan tm n
vic la chn chng khon Khi TTHQ vai tr ca cc nh qun l qu chuyn nghip
v nhng nh mi gii lin quan cng gim st v NT nn xem xt cc CK c chi ph
qun l thp Nu TTHQ NT khng nn nh thi im th trng7-1010II. Nhng ng ca
th trng hiu qu7-11Giao dch ni b phi php: Ngi tay trong: ngi c c
nhng thng tin quan trng khng c cng b ( material nonpublic
information) l nhng thng tin c nhn c th nh hng ng k n gi chng
khon.Ngi tit l thng tin ni b (tipper): l ngi l c mc ch nhng thng
tin quan trng khng c cng b. Ngi nhn thng tin ni b ( tippee): l ngi
s dng thng tin ny nhm mc ch kim li.
11III. TTHQ v thnh qu ca cc NQL qu chuyn nghip7-12III. TTHQ v
thnh qu ca cc NQL qu chuyn nghipL do 1L do 2L do 3L do 4S iu chnh
ri ro Nhng thng tin lin quanS may mn tnh cVic o bi d liu4 l do kh
kim nh s hiu qu ca th trng7-13III. TTHQ v thnh qu ca cc NQL qu
chuyn nghipThnh qu ca cc nh qun l qu chuyn nghip1Qu ch s Vanguard
500: l mt qu tng h chi ph thp, c thit k em li mt kt qu u t m n tng
ng vi gi v li tc ca ch s S&P5002Qy tng h c phn chung (GEF) l mt
s tin c u t vo c phiu m n c gim st bi mt nh qun l qu chuyn
nghip.7-14III. TTHQ v thnh qu ca cc NQL qu chuyn nghipThnh qu ca cc
nh qun l qu chuyn nghip
Nhn xt: T hnh ta c th thy nhng nh qun l qu chuyn nghip kh c th
gi c qu ca mnh tn ti trong vng 10 nm. Hnh :S gia tng ca cc qu c phn
c qun l nng ng t 1986 2009
7-15III. TTHQ v thnh qu ca cc NQL qu chuyn nghipThnh qu ca cc nh
qun l qu chuyn nghip
Hnh :Phn trm cc qu c qun l nh bi qu ch s Vanguard 500, t sut
sinh li 1 nm.
Nhn xt: Ch c 12 nm trong tng s 24 nm l hn mt na s nh qun l qu
chuyn nghip c th nh bi qu ch s Vanguard 500.III. TTHQ v thnh qu ca
cc NQL qu chuyn nghipThnh qu ca cc nh qun l qu chuyn nghip
Hnh : Phn trm cc qu c qun l nh bi qu ch s Vanguard 500, t sut
sinh li 10 nm.
Nhn xt: Ch c 5 nm trong tng s 24 nm l hn mt na s nh qun l qu
chuyn nghip c th nh bi qu ch s Vanguard 500.III. TTHQ v thnh qu ca
cc NQL qu chuyn nghip di ca mi giai on u tKhong thi gianS giai on u
tS giai on u t m phn na cc qu nh bi qu ch s VanguardT l phn trmS
giai on u t m cc qu nh bi qu ch s VanguardT phn
tram11980-2009301446.726.731982-2009281139.300.051984-200926934.600.0101989-200921314.314.8Thnh
qu ca cc nh qun l qu chuyn nghipNhn xt: thnh qu ca nh qun l qu
chuyn nghip nhn chung km hn so vi qu ch s Vanguard 500, thnh qu cng
gim i khi giai on u t di hn.18III. TTHQ v thnh qu ca cc NQL qu
chuyn nghipNhn xt:Cc nh qun l qu chuyn nghip dng nh thiu kh nng lm
tt hn ch s th trng ph hp vi nim l nhn chung th trng vn c phn l hiu
qu
IV. Nhng bt thng, bong bng v khng hongHiu ng trong tunHiu ng
thng GingHiu ng nhng ngy chuyn nm Nhng bt thng ny l tr ngi vi gi
thuyt th trng hiu quHiu ng nhng ngychuyn thng4.1 Nhng bt thng theo
lchIV. Nhng bt thng, bong bng v khng hongHiu ng trong tun
Khong thi gianTh 2Th 3Th 4Th 5Th 61950 2009-
0.068%0.040%0.084%0.041%0.076%1950 1979 -
0.137%0.001%0.094%0.061%0.115%1980 2009
0.003%0.080%0.075%0.022%0.037%Bng: TSSL trung bnh hng ngy ca ch s
S&P 500 qua cc ngy trong tun( bao gm c tc)Nhn xt: TSSL trung
bnh ca ngy th 2 c xu hng m21IV. Nhng bt thng, bong bng v khng
hongHiu ng thng ging
Nhn xt: Cc c phiu nh c TSSL trung bnh thng cao hn trong thng
GingNguyn nhn:1. p lc bn CK l vo cui nm c gim thu2. C cu danh mc u
tNote: Khng nht thit nm no cng xy ra hiu ng T1.Cui nm th cc cng ty
ln thng phi tr tin cho cc qun l qu chuyn nghip: th thnh qu ca nhng
cty s 22IV. Nhng bt thng, bong bng v khng hongHiu ng nhng ngy chuyn
nmNhn xt: TSSL nhng ngy chuyn nm cao hn TSSL nhng ngy cn li TSSL th
trngKhong thi gianTurn of the year days (%)Rest of the days (%)
Chnh lch
(%)1962-20090.1280.0340.0941962-19850.1670.0290.1381986-20090.0890.0390.05023IV.
Nhng bt thng, bong bng v khng hongHiu ng nhng ngy chuyn thngNhn xt:
Kt qu nghin cu giai on t nm 1962-2009 cho thy, TSSL nhng ngy chuyn
thng cao hn nhng ngy cn liTSSL th trngKhong thi gianTurn of the
month days (%)Rest of the days (%) Chnh lch
(%)1962-20090.1270.0190.1081962-19850.1290.0160.1141986-20090.1250.0230.102IV.
Nhng bt thng, bong bng v khng hong4.2 Nhng bt thng khng theo
lch
1/ Cng b thu nhp: Vic cng b thu nhp s dn ti vic iu chnh gi c
phiu. Gi c phiu phn ng rt nhanh vi nhng tin tc bt ng, tuy nhin,
theo cc nh nghin cu th cng s mt vi ngy (hoc lu hn) gi th trng iu
chnh hon ton2/ T s P/E:P/E l s phn nh mc lc quan cng nh k vng ca th
trng v kh nng tng trng ca doanh nghip trong tng lai25IV. Nhng bt
thng, bong bng v khng hong Bong bngTnh trng gi c phiu tng cao hn gi
tr ni ti v cc phn tch hp lS sp
Tnh trng gi th trng gim mnh v t ngt
Bong bng (bubble) xy ra khi gi th trng tng cao hn nhng k vng hp
l v thng thng. Bong bng u t cui cng s tng n nh im v n tung, khi NT
nhn thy mnh ang nm gi ti sn ang gim gi nhanh chng.S sp (crash) l s
st gim gi tr th trng mt cch t ngt v ng k.S sp thng lin quan ti bong
bng. Bong bng c th din ra nhiu tun, nhiu thng, nhiu nm; ngc li s sp
xy ra bt ngi v thng ko di cha ti 1 tun. Bong bng thng ko di lu hn s
sp , tuy nhin, hu qu ca s sp c th ko di n nhiu nm.
26IV. Nhng bt thng, bong bng v khng hong 4.3 Hai v sp th trng
chng khonln nht lch s Hoa KNm 1929: Ngy th ba en tiNm 1987: Ngy ti
t trong lch s ph Wall
Cuc khng hong nm 1929 (10/1929)Ngy th ba en ti: l cuc khng hong
din ra vo Th 3, ngy 29/10/1929. Ch s Dow Jones tt xung mt cch khng
khip: t mc cao nht l 386 im xung cn 298 im, gim 22% so vi cc phin
giao dch trc. Trong 12 nm lch s th trng chng khon ca nc M, ngy c gi
l Ngy th ba en ti, h qu ca n l nn kinh t M v thm ch l ca ton th gii
bt u bc vo thi k cc k tiu iu ko di ti 10 nm. b)Cuc khng hong thng
10/1987Th hai ngy 19.10.1987, li l thng 10 v cng l mt k c en ti ca
nhng ngi chi c phiu nc M. Ch trong mt ngy ch s Dow Jones tt 508,32
im, mi c gng nhm lm cho n n nh li u tht bi. Ch trong mt ngy, th
trng chng khon ca M ri vo trng ti ng bng. y l ngy ti t nht trong
lch s ph Wall.
27IV. Nhng bt thng, bong bng v khng hong 4.4 Cuc khng hong chu
Cuc khng hong Chu bt u vi mt th trng tng gi mnh vo nhng nm 1980.
Bong bng hnh thnh ti Nht t 1955 n 1989, khi m gi c BS tng ln 70 ln
v gi c CK tng hn 100 ln.
IV. Nhng bt thng, bong bng v khng hong 4.4 Bong bng DOT-COM v
cuc khng hong
NgyGi tr ch s Amex InternetKim li n nh t 1/10/1998 (%)L t nh n y
(%)Gi tr ch s S&P 500Kim li n nh t 1/10/1998 (%)L t nh n y
(%)01/10/1998114.68986.39Sau thng 3/2000
(nh)688.52500%1,293.7231%Trc 10/2002 (y)58.59- 91%776.76- 40%Cuc
khng hong ny cp ti s tng trng chng mt ca cc website. Trc thi im cui
1999, c khong 9.5 triu website hot ng v ti trc 2009 c hn 200 triu
website hot ng.4.5 Cuc khng hong thng 10-2008
IV. Nhng bt thng, bong bng v khng hong
Nm 2008 ch s th trng gim hn 40%. Chnh sch tin t d di: Cc Ngn hng
cp cc khon vay di chun cho nhng ngi i vay khng iu kin, vi mc li sut
cc thp. Nu gi BS tng ln th nhng ngi s hu rt d c ti cp vn. Tuy nhin,
khi gi BS bt u gim xung, s lng ph sn s tng ln ng k. S ph sn ny s lm
tng tc ng gim xung theo hnh trn c ca CK lin quan ti BS. 4. 6 nguyn
nhn ca cc khng hongn by ti chnhS khng tng thch gia n v ti snS khng
chc chn v tm l by nTht bi trong vic iu titS la diS ly lan
IV. Nhng bt thng, bong bng v khng hong V. Kt lun v tho lunKt
lun:Trn cc th trng ti chnh c t chc th nhn chung l th trng hiu qu.C
th c nhng bt thng, khng hong xy ra chng li TTHQ, nhng nhng vn ny
thng khng ln v khng thng xuyn. V vy chng khng sc nh bi gi thuyt th
trng hiu qu.Vic xem xt th trng hiu qu nn xem xt tng giai on c th c
nhng hnh vi gi chng khon khc nhauV. Kt lun v tho lunTho lun:Kim nh
tnh hiu qu thng tin trn TTCK Vit Nam S lc v TTCK Vit Nam: TTCK Vit
Nam cn kh non tr nn cn nhiu hn ch: cng ty nim yt cn t, s lng cc nh
u t tham gia TT cng cha c nhiu, kin thc u t ca cc nh u t cng khng
ng u, nhiu nh u t cn da vo cm tnh u t.Kim nh th trng hiu qu:C 3
phng thc kim nh TTHQ1.Kim nh TSSL vt tri c lp vi thng tin c n nh ti
thi im t hoc sm hn hay khng2.Kim nh quy tc giao dch c th to ra li
nhun bt thng hay khng?3.Kim nh gi th trng c lun bng gi gc khng?Tip
cn phng php kim nh u tin33V. Kt lun v tho lunTho lun:A.Kim nh thng
k v tnh c lp ca t sut sinh liROItj = 0 + irt-i + iTrong : ROItj: T
sut sinh li ca chng khon j ngy t rt-i: T sut sinh li chng khon j
ngy t-i0: H s t do (tung gc)i: H s m hnhi: Sai s ca hi quy (nhiu
ngu nhin)S dng M hnh hi quy bng Eview: Kt qu: ch s dng m hnh ny th
khng kt lun c TTCK VN c thc s hiu qu hay khng?
Tip cn 2 phng php kim nh u tin34V. Kt lun v tho lunTho lun:B.
Kim nh quy tc giao dchTa tin hnh chn mt nhm c phiu c c tnh tng gi
mnh nht trong mt khong thi gian, xem xt liu cc c phiu ny trong
khong thi gian ti c cn tip tc tng gi na khng, nu cc c phiu ny khng
tip tc thng na th kt lun l th trng hiu qu. Tuy nhin ta phi tin hnh
kim nh nhiu ln.Kt qu: TTCK VN dng yu
Tip cn 2 phng php kim nh u tin35V. Kt lun v tho lunTho lun:D. Kt
qu kim nh chungBng 2 phng php kim nh trn, th ta thy TTCK VN l th
trng hiu qu th yu. Nhng kim nh trn ch tin hnh kim nh 1 s CK cng cha
phn nh ton b bn cht ca TTCK c. Nn chng ta vn phi quan tm xem TTCK
Vit Nam thc s hiu qu hay cha?
Tip cn 2 phng php kim nh u tin36Thank You !
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