NGHIÊN CỨU VỀ TÁC ĐỘNG CỦA TÍNH THANH KHOẢN ĐỐI VỚI TỶ SUẤT SINH LỢI CỦA CÁC CỔ PHIẾU NIÊM YẾT TRÊN THỊ TRƯỜNG CHỨNG KHOÁN VIỆT NAM.PDF

B GIỄO DC VÀ ÀO TO
TRNG I HC KINH T TP.HCM



NGUYN TH NGC CHỂU




NGHIểN CU V TỄC NG CA TệNH
THANH KHON I VI T SUT SINH LI
CA CỄC C PHIU NIểM YT TRểN
TH TRNG CHNG KHOỄN VIT NAM



LUN VN THC S KINH T



- 
B GIỄO DC VÀ ÀO TO
TRNG I HC KINH T TP.HCM



NGUYN TH NGC CHỂU


NGHIểN CU V TỄC NG CA TệNH

THANH KHON I VI T SUT SINH LI CA
CỄC C PHIU NIểM YT TRểN TH TRNG
CHNG KHOỄN VIT NAM

- Ngân hàng


LUN VN THC S KINH T

NGI HNG DN KHOA HC:
TS. Lể TH KHOA NGUYểN

- 




LI CAM OAN


 TS 

              








Nguyn Th Ngc Chơu













MC LC

Trang ph bìa.
Li cam đoan.
Mc lc.
Danh mc các t vit tt vƠ thut ng.
Danh mc các bng biu.
Danh mc các phng trình.
TÓM TT 1
CHNG 1: GII THIU 2
1.1 Lý do ch tài 2
1.2  3
1.3  .3

1.4  .3
CHNG 2: TNG QUAN V CÁC NGHIÊN CU TRC ỂY .5
2.1 Asset returns and liquidity effects: Evidence from a developed but small
market (Pacific – Basin Finance Journal) 5
2.2 Illiquidity and stock returns : cross-section and time-series effects (Journal
of Financial Economics) .7
2.3 Common risk factors in the returns on stocks and bonds (Journal of
Financial Economics) 9
2.4 The role of an illiquidity risk factor in asset pricing : Empirical evidence
from the Spanish stock market (The Quarterly Review of Economics and
Finance) .14
2.5 The relationship between liquidity and returns on the Chinese stock market
- Journal of Asian Economics 15




2.6 Liquidity and asset pricing: Evidence from the Hong Kong stock market
(Journal of Banking & Finance) .17
2.7 Size and Liquidity effects in Japanese regional stock markets (Journal of
The Japanese and International Economies) .19
2.8 Size, value and liquidity. Do They Really Matter on an Emerging Stock
Market? (Emerging Markets Review) .20
2.9 Mi quan h gia ri ro và TSSL trên TTCK Vit Nam 22
2.10 Liquidity and expected returns: lessons from emerging markets (Review
of Financial Studies). 23
2.11 Trading activity and expected stock returns (Journal of Financial
Economics) 25
2.12 What are the best liquidity proxies for global research (Working Paper,
Indiana University). 26

2.13 Stock market declines and liquidity (Journal of Finance) 28
CHNG 3: D LIU VÀ PHNG PHỄP NGHIểN CU 33
3.1  33
3.2  36
3.3 n 36
3.3.1 Cách hình thành danh mc 36
3.3.1.1 Danh mc thanh khon 36
3.3.1.2 Danh mc quy mô 37
3.3.1.3 Danh mc giá tr 37
3.3.1.4 Danh mc momentum 37
3.3.2 Bin ph thuc 37
3.3.3 Bic lp 38
3.3.3.1 Nhân t th trng 38
3.3.3.2 Nhân t quy mô 38




3.3.3.3 Nhân t giá tr 40
3.3.3.4 Nhân t momentum 41
3.4 ng thanh khon 42
 42
 42
3.4.3 Doanh thu hàng tháng (STURN) 43
3.4.4 Khng giao dch hàng tháng (DVOL) 43
3.5 u 44
CHNG 4: NGHIểN CU TỄC NG CA TÍNH THANH KHON
N T SUT SINH LI CA CÁC C PHIU NIÊM YT  TH
TRNG CHNG KHOÁN VIT NAM 45
4.1 Thng kê mô t các nhân t 45

4.2 Kinh hing tuyn ca các bin trong mô hình và tính
dng ca chui d liu thi gian 47
4.2.1 Kim nh tính dng ca chui d liu thi gian 47
4.2.2 Kinh hing tuyn trong mô hình 3 nhân t 48
4.2.3 Kim tra hing t  49
4.2.4 Kim tra hi i 51
4.3 Các danh mc da theo tính thanh khon 55
4.4 Hi quy theo mô hình bn nhân t 60
CHNG 5: KT LUN 62
5.1 Kt lun chung 62
5.2  63
DANH MC TÀI LIU THAM KHO.
DANH MC PH LC.






DANH MC CÁC T VIT TT VÀ THUT NG

T vit tt
Din gii
BE
BE/ME
CAPM
E/P
HML
ME
SMB

TP.HCM
TTCK
TTCK VN
TSSL
UMD
Book equity - giá tr s sách
Giá tr s sách trên giá tr th ng
Capital Asset Pricing Model - nh giá tài sn vn
Thu nhp trên giá c phn
High minus Low - nhân t giá tr
Market Equity - giá tr th ng
Small minus Big - nhân t quy mô
Thành Ph H Chí Minh
Th ng chng khoán
Th ng chng khoán Vit Nam
T sut sinh li
Up minus Down - nhân t momentum












DANH MC CỄC BNG BIU

Bng
Ni dung
Trang
(3.1)

(4.1)



35

45
(4.2)
   
thích
46
(4.3)
-
48
(4.4)

55
(4.5)

56
(4.6)

58
(4.7)


59
(4.8)


60














DANH MC CỄC PHNG TRỊNH

Phng trình
Tên phng trình
Trang
(3.2)
i quy 4 nhân t Carhart
36
1

TịM TT



          



(TSSL) 


 
TSSL 













2

CHNG 1:
GII THIU

1.1 LỦ do chn đ tƠi.


 




               





 
                 

TTCK VN) liên




TTCK).

3







 

“Nghiên cu tác đng ca tính thanh khon đn t sut sinh li ca các c phiu
niêm yt trên th trng chng khoán Vit Nam”.
1.2 Mc tiêu nghiên cu.


             
30/06/2013.
1.3 Cơu hi nghiên cu.


- 

-   

1.4 Kt cu ca đ tƠi.
Chng 1: Gii thiu.

, 
Chng 2: Tng quan các nghiên cu trc đây.
4



- 
Chng 3: Mô t d liu và phng pháp nghiên cu.

                 

Chng 4: Trình bày kt qu nghiên cu.







Chng 5: Kt lun chính, nhng hn ch và hng nghiên cu mi.




5




CHNG 2:
TNG QUAN V CỄC NGHIểN CU TRC ỂY

2.1 TSSL ca tài sn vƠ tác đng ca tính thanh khon: Bng chng t TTCK
phát trin nhng có quy mô nh - Asset returns and liquidity effects: Evidence
from a developed but small market (Pacific ậ Basin Finance Journal). Nhut H.
Nguyen, Ka Hei Lo, 2012.
 và Ka Hei Lo 
  
 có quy mô 
-
Tác g
 tí
  

 hay không? ? Tác
TTCK 

 -snooping) (Lo and

 



 
   có quy mô      
6




-









 


 



              

 


Spread và Quoted Spread.
  


7







 
.







2.2 Tính thiu thanh khon và TSSL chng khoán có tác đng tng quan
chéo và qua chui thi gian - Illiquidity and stock returns: cross-section and
time-series effects (Journal of Financial Economics). Yakov Amihud 2002.


- 
- 

               

nhau.



8






 

có  
ILLIQ
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
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y.
VOL
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: K
D
iy

: S



Research of Securities Prices of the University of Chicago).


                



illiquidity).

khoán 
mô c c


9




 

NYSE (New

y:
Mt là

Hai là, 



2.3 Mi quan h gia các nhân t ri ro chung trong TSSL ca c phiu và trái
phiu - Common risk factors in the returns on stocks and bonds (Journal of
Financial Economics). Fama, E.F., French, K.R., 1993.
Eugene F. Fama và Kenneth R. French (1993)
Tìm 




 
   

              


10



tài chính (leverage). Fama - 

Fa
        







- 


- 

- 
trung bình.
-             
trung bình.
- 


Trong       



11









Fama và French (1998)
- à





 
              


- 
    




-               

        
(International Finance Corporatio
     
12




               

- 



                

               








- 

- 
- 

- 
 

R
pt
- R
ft
= 
pt
+ b
p
(R
mt
- R
ft
) + s

p
SMB
t
+h
p
HML
t
+ 
pt

13




b
p
: 

hình CAPM.
s
p

h
p

Eugene Fama 

- 1990 cho
 



 













14



2.4 Vai trò ca nhơn t thiu thanh khon trong vic đnh giá tƠi sn : Bng
chng thc nghim t th trng chng khoán Tơy Ban Nha - The role of an
illiquidity risk factor in asset pricing : Emperical evidence from the Spanish
stock market (The Quarterly Review of Economics and Finance). José Luis
M.M, María del Mar M.Q, 2006.






 :


(2002).

             



 

               -

vào mô hình CAPM và mô hình Fama-French.

 

15




Ngoài ra



2.5 Mi quan h gia tính thanh khon vƠ TSSL  th trng chng khoán
Trung Quc - The relationship between liquidity and returns on the Chinese
stock market (Journal of Asian Economics). Paresh Kumar Narayan, Xinwei
Zheng 2011.

 


      


 








            


16



g quan


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và sàn ch
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               
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