] Project: ng dng cc m hnh kinh t vo TTCK Vit Nam16

i hc quc gia thnh ph H CH MinhTrng i hc Kinh t - LutKhoa: Ti chnh Ngn hng ti: ng dng cc m hnh kinh t trong th trng chng khon Vit NamProject

Mn : Ti chnh nh lngGVHD: Ts. L Trung ThnhSVTH: Trn on Bo Linh ( K114040635)

Nm hc : 2013 2014

Mc lc:0. Tm tt d liu s dng1. Phn tch bin ng gi c phiu theo thi gian2. Tnh ton cc tham s ca m hnh Sut li tc c nh (CER)3. Tnh ton cc gi tr Value-At-Risk4. ng dng l thuyt danh mc u t5. ng dng cc m hnh kinh t nh gi c phiua. M hnh ch s n (SIM)b. M hnh CAPMc. M hnh Fama French 3 nhn t6. Kt lun7. Ti liu s dng

0. Tm tt ngun d liu:a. Data Set: Project ny s dng gi ng ca iu chnh theo thng t thng 1 nm 2008 n thng 12 nm 2013.b. M t cc loi chng khon trong danh mc :

Tng cng ty C phn Vn ti Du kh: PVTL mt thnh vin thuc Tp on Du kh Quc gia Vit Nam Tp on ln chim v tr trng yu trong nn kinh t Vit Nam, Nh nc nm c phn chi phi (60%), PV TransCorp c hng nhiu li th qua thng hiu v uy tn ln ca Tp on khng ch trong nc m cn trn c th trng quc t. iu ny gip cho hot ng kinh doanh ca PV Trans Corp ngy cng pht trin hn. PVT l mt trong nhng m c phiu c tnh thanh khon tt v c sc mnh khuy ng th trng trong giai on gn y.

Cng ty C phn Sa Vit Nam: VNML cng ty sn xut sa ln nht Vit Nam, chuyn kinh doanhsav cc sn phm t sa cng nh thit b my mc lin quan. Hin cng ty chim lnh 75% th phn sa trong nc vi mng li 183 nh phn phi v gn 94.000 im bn hng ph u 64 tnh thnh. Ngoi ra, sn phm Vinamilk cn c xut khu sang nhiu ncM,Php,Canada,Ba Lan,c, khu vcTrung ng,ng Nam ... Cng ty lun chng t nng lc vt tri ca mnh t khi ra i n nay. Li nhun cao, c tc cao v n nh. V nhng l do trn, c phiu VNM lun c ng gi l an ton, v l im n ca cc nh u t khng a thch ri ro. Cng v nhng c im trn m c phiu VNM l 1 trong nhng c phiu c gi tr cao nht th trng chng khon Vit Nam tnh n thi im ny.

Cng ty C phn Chng khon Si Gn: SSIL nh ch ti chnh hng u v uy tn trn th trng Vit Nam vi tim lc ti chnh vng mnh, i ng cn b hng hu, chuyn nghip. SSI l cng ty chng khon c mng li hot ng rng ti nhng thnh ph ln nh H Ni, TP. H Ch Minh, Hi Phng, Nha Trang, Vng Tu.SSI thu ht c khng nhng s quan tm ca cc nh u t trong nc, m cn ca nhiu nh u t nc ngoi danh ting. Mt s khch hng tiu biu ca SSI l Morgan Stanley, HSBC, Vinamilk, Hong Anh Gia Lai, Tng Cng ty xng du Vit Nam Petrolimex, Credit Suisse, BIDV, ANZ, Tp on C.T Group, Prudential VN, Deutsche Bank C phiu ca SSI l 1 trong nhng c phiu c mt sm nht trn th trng chng khon Vit Nam v hin nay vn gi nguyn c s hp dn ca n th hin qua khi lng giao dch khng bao gi di 7 con s.Cng ty C phn Thu in Vnh Sn - Sng Hinh: VSHL 1 cng ty c thm nin trong lnh vc thy in, hin ang qun l v vn hnh hai nh my: thy in Vnh Sn, thy in Sng Hinh, hng nm ng gp khng nh trong cng sut cho vng min Trung v Ty Nguyn. Ngun in sn xut ra da vo sc nc do chi ph sn xut r nhng nng lc sn xut ca cng ty li ph thuc nhiu vo iu kin t nhin. Nh cc cng ty in khc ti Vit Nam, in thnh phm do cng ty sn xut ra c k hp ng bao tiu ton b vi tp on in lc Vit Nam EVN C phiu VSH c thanh khon kh tt v th gi lin tc tng t nm 2012 n nay. V vy, y cng l 1 c phiu ng cc nh u t suy ngm.Cng ty c phn Kinh : KDCL cng tychuyn sn xut v kinh doanh thc n nh tiVit Nam, vi cc mt hng chnh gm bnh, ko v kem. Hin nay Kinh l mt trong nhng cng ty t nhn c li nhun vo hng cao nht trong cc cng ty nim yt trn th trng chng khon tiVit Nam. Cc thnh vinhi ng qun trcng ty c cc bo ch Vit Nam bnh chn l nhng c nhn giu nht Vit Nam da trn ti snchng khon. Vi li th l cng ty mnh, c phiu KDC lun gi c mc cao v cng l mc tiu sn n ca cc nh u t trong v ngoi nc.Cng ty cp u t h tng k thut tp. h ch minh: CIIL cng ty ln thnh ph H Ch Minh chuyn v cc lnh vc nh u t xy dng, khai thc, kinh doanh h tng k thut th theo phng thc hp ng xy dng - kinh doanh - chuyn giao (BOT), hp ng xy dng- chuyn giao (BT); sn xut, mua bn cc thit b chuyn dng trong lnh vc thu ph giao thng v xy dng; xy dng cng trnh dn dng, cng trnh cng nghip, cng trnh giao thng, cng trnh ng ng cp thot nc, san lp mt bng; C phiu CII l 1 trong nhng c phiu bin ng c tnh chu k thy r v ang trong chu k tng gi.

1. Phn tch bin ng gi c phiu theo thi gian:a. Xu hng gi v sut li tc qua thi gian:

Gi ca hu ht cc loi c phiu trong danh mc u c s bin ng mnh m qua thi gian. Ta d dng nhn thy chng tch thnh cc nhm ring bit. VNM l m c phiu duy nht c tc tng trng lin tc thn k, ng gi tng i trn v hu nh khng pht sinh chu k tng gim gi, y l c phiu ngoi l v c bit nht trong danh mc Nhm c phiu (PVT, SSI) c nhng bin ng tng i trong giai on ny, tuy nhin, khng ln no gi c phiu quay v c mc ban u. Nhm (VSH, KDC, CII) l nhm c s bin ng ln nht, gi tng gim nh c tnh chu k v bin ng gn nh nhau: gim su vo cui nm 2008, tng mnh li vo nm 2010, tip tc gim su vo cui 2011 v tng mnh vo u 2013. Hin ti, nhn chung cc c phiu nhm ny ang ngp ngng gi ban u.

BIu sut li tc sau em li cho chng ta ci nhn trc quan hn v sut li tc tng hp ca 6 loi ti sn:

Cc c phiu SSI, KDC, PVT, VSH lun nm di mc 1. Tc l nu nh u t b tin ra mua cc loi c phiu ny t thng 1 nm 2008 th khng h c c 1 ng li nhun no nu bn ra trong thi gian t lc mua n nay.b. c trng ca sut li tc gp lin tc theo thng:i vi biu li tc gp lin tc, bin ng ca nhm (PVT, SSI, KDC) chim li th vi bin 0.4 trong khi cc c phiu khc ch t 0.2 hoc 0.3. V vy, trong ngn hn, cc c phiu ca nhm ny nn c ch trng i vi cc nh u t am m sut li tc ln v khng ngi ri ro.

Biu Histogram, smoothed density plots, boxplots v qq-plots ca cc loi ti sn (nu chng l phn phi chun)

PVTVSH

VNMKDC

SSICII

2. Cc tham s ca m hnh sut li tc c nh:

CER

C phiuTrung bnh musd muVarSkewExcess Kurtosis1% Quantile5% Quantile

PVT-0.013810.1666662850.0277780.9929711.313-0.34623-0.22065

VNM0.0235160.0909438020.0082711.2168830.3154-0.19929-0.13173

SSI-0.015470.1795720120.0322461.3501281.888-0.48414-0.31934

VSH-0.002970.1101015010.0121220.5628760.00853-0.25352-0.19127

KDC-0.00080.1519892070.023101-0.20341-0.5344-0.35599-0.27474

CII-0.000570.1454110790.021144-0.35809-1.072-0.30519-0.26005

3. Value At Risk:a. Value at Risk VaR ca VND100.000.000 trong thi gian u t 1 thng

Ti snVaR 1%VaR 5%

PVT-VND 33,071,028-VND 25,020,552

VNM-VND 17,142,783-VND 11,845,009

SSI-VND 35,158,242-VND 26,717,114

VSH-VND 22,825,884-VND 16,812,454

KDC-VND 29,839,286-VND 22,182,348

CII-VND 28,740,981-VND 21,317,701

b. Bootstrapped Standar Errors and 95% Confidence Intervals for 5% Value at Risk:5% VaR of VND 100 000 000 khi u t trong vng 1 thng

Ti snBootstrapped SE95% Confidence Interval

PVT2,637,569(-30641567, -20059807 )

VNM1,633,848(-15374922, -8705296 )

SSI2,931,276(-32895354, -21404964 )

VSH 1,721,372(-20487857, -13740202 )

KDC2,543,345(-27428689, -17458959 )

CII2,098,266(-25597657, -17372604 )

4. Danh mc u t:4.1 A, Global Minimum Variance ( with Short Sale):Danh mc T trng

PVT23.36%

VNM77.48%

SSI-17.92%

VSH 13.76%

KDC-7.69%

CII11.02%

4.1 B , Global Minimum Variance ( with No Short Sale):

Danh mc Global Min weights

PVT15.09%

VNM72.94%

SSI0.00%

VSH 11.97%

KDC0.00%

CII0.00%

4.2 Danh mc u t hiu qu vi sut li tc ln nht;

Portfolio expected return: 0.02352 Portfolio standard deviation: 0.0829 Portfolio Sharpe Ratio: 0.2032 Portfolio weights:PVTVNMSSIVSHKDCCII

0.24760.9974-0.2195-0.0184-0.11890.1118

4.3 Danh mc tip tuyn: Portfolio expected return: 0.0747 Portfolio standard deviation: 0.203 Portfolio Sharpe Ratio: 0.3352 Portfolio weights:

PVTVNMSSIVSHKDCCII

0.36422.8471-0.5541-1.3143-0.46750.1246

******Tng kt:Global Minimum VarianceEfficienct PortfolioTangency Portfolio

Ngoi ra, ta cng c th tnh c cc danh mc cn thit cho th trng VIt Nam hin nay (khng c nghip v bn khng):Global Minimum Variance ( with no Short Sale)Tangency Portfolio ( with no Short Sale)

4.4 ng bin hiu qu ca danh mc:5. ng dng cc m hnh kinh t trong nh gi c phiu:A. M hnh ch s n (SIM):

PVTVSH

KL: Vi tin cy 99.99% ta c th kt lun: Rpvt = 0.056514 + 23.77985*VN_INDEXKL: Vi tin cy 99.99% ta c th kt lun, Rvsh= 0.07219 + 29.52665*VN_INDEX

VNMKDC

KL: Vi tin cy 99.99% ta c th kt lun Rvnm= 0.664254 + 271.4866*VN_INDEXKL: Vi tin cy 99.99% ta c th kt lun Rkdc = 0.240552 + 98.09189*VN_INDEX

SSICII

KL: Vi tin cy 99.99% ta c th kt lun Rssi = 0.08264 + 35.07528*VN_INDEXKL: Vi tin cy 99.99% ta c th kt lun Rcii = 0.099509 + 38.24594*VN_INDEX

Kt lun: Ta c th thy, dng nh m hnh SIM em li 1 s tin tng ln vi R^2 = 99.99% v Prob(F-statistic) = 0 cho tt c cc c phiu trong danh mc. iu ny c th l gii v th trng Vit Nam cha hon thin, vic khng ch gi trn v sn khng cho c phiu c nhng bin ng mnh m, v vy, bin ng gi tr c phiu i st bin ng th trng. Cng c th, cc c phiu trong danh mc m ta la chn thuc chung 1 nhm, khng i din c cho c th trng.

B. M hnh CAPM:

PVTVSH

KL: Vi tin cy 49% ta c th kt lun, (Rpvt Rf) = 0.023813 + 1.204973*(Rm Rf)KL: Vi tin cy 46%, ta c th kt lun (Rvsh Rf) = -0,019522 + 0.753644* (Rm Rf)

VNMKDC

KL: Vi tin cy 34% ta c th kt lun ( Rvnm Rf ) = -0.0153 + 0.55014 * (Rm Rf)KL: Vi tin cy 63% ta c th kt lun (Rkdc Rf) = 0.037208 + 1.240058* (Rm Rf)

SSICII

KL: Vi tin cy 81% ta c th kt lun ( Rssi Rf) = 0.069166 + 1.657858*(Rm - Rf) KL: Vi tin cy 53% ta c th kt lun (Rcii Rf) = 0.01962 + 1.073312* (Rm Rf)

Kim nh m hnh CAPM:PVTVSH

VNMKDC

SSICII

Kt qu kim nh cho thy, cc gi tr peta (h s ca VN_INDEX) u ng tin cy.

C. M hnh Fama French 3 nhn t:PVTVSH

KL: Vi tin cy 45% ta c th kt lun, (Rpvt Rf) = 0.03763 + 1.23426* (Rm Rf) + 0.588484*SMB 0.193882*SML KL: Vi tin cy 74% ta c th kt lun, (Rvsh Rf) = -0.023415 + 0.744214* (Rm-Rf) 0.597555*SMB + 0.70175*HML

VNMKDC

KL: Vi tin cy 34% ta c th kt lun, (Rvnm Rf) = -0.016697 + 0.546737*(Rm Rf) 0.094509*SMB + 0.058652*SMLKL: Vi tin cy 67% ta c th kt lun, (Rkdc Rf) = 0.047067 + 1.260806*(Rm Rf) + 0.714996*SMB 0.580638*HML

SSICII

KL: Vi tin cy 81% ta c th kt lun, (Rssi Rf ) = 0.073373 + 1.666229*(Rm Rf) + 0.182091*SMB 0.063394*HMLKL: Vi tin cy 57% ta c th kt lun, (Rcii Rf) = 0.028762 + 1.089699*(Rm Rf) 0.063713*SMB + 0.550861*HML

Kim nh m hnh Fama French:PVTVSH

VNMKDC

SSICII

T cc kt qu kim nh trn ta c th kt lun, cc c lng h s ca m hnh Fama French tin cy c.

Kt lun chung: m hnh Fama French 3 nhn t tt hn m hnh CAPM tt c cc c phiu trong danh mc. Iu ny l ph hp so vi hu ht cc phn tch khc s dng 2 m hnh ny. Tuy nhin, m hnh ng nht cho th trng Vit Nam l m hnh ch s c bn. iu ny d hiu bi th trng Vit Nam cha thc s hon ho, nh hng th trng l nh hng ch yu n gi c phiu. li sut tri phiu chnh ph khng tc ng nhiu n th trng v trn thc t, giao dch tri phiu ny khng thng xuyn, nhiu ln pht hnh khng thnh cng

6. Kt lun:Th trng chng khon Vit Nam hin vn ang trong thi k s khai, cn nhiu vn pht sinh cn phi gii quyt nh nhng nhn t v m ( lm pht - li sut - t gi), bt cn xng thng tin, chnh sch ca nh nc, hnh vi by n, lm cho cc m hnh kinh t b hn ch v kh nng d bo. Tuy nhin, trong tng lai khng xa, khi Vit Nam hi nhp vi th gii, cc m hnh ny s tr nn t lc hn v h tr nh u t trong vic nh gi c phiu v b trng vo ng r,

7. Ti liu tham kho:Bi vit s dng cc phn mm: R, Eview, Vietstock Updater, MetaStock, Excel.D liu c ly t phn mm Vietstock Updater 1 trong nhng ngun d liu uy tn nht cho cc nh u t Vit Nam.SMB c tnh bng t sut sinh li bnh qun ca danh mc gm 25% chng khon c gi tr vn ha th trng (quy m) nh ( ch s VS-MicroCap) tr cho t sut sinh li bnh qun ca danh mc gm 25% chng khon c gi tr vn ha th trng (quy m) ln (VS- largeCap)HML c ly t cc bo co ti chnh theo qu ca cc cng ty, cc ch s VS-LargeCap, VS-midCap, VS-SmallCap, VS-MicroCapTrn on Bo Linh _ K11404B