Tp ch Khoa hc Trng i hc Cn Th Phn D: Khoa hc Chnh tr, Kinh t v Php lut: 33 (2014): 72-78

CC NHN T NH HNG N S THAY I GI CA C PHIU:

CC BNG CHNG T S GIAO DCH CHNG KHON THNH PH H CH MINH

Trng ng Lc1
1
Khoa Kinh t & Qun tr Kinh doanh, Trng i hc Cn Th

Thng tin chung:
Ngy nhn: 25/03/2014
Ngy chp nhn: 29/08/2014
Title:
Determinants of stock
returns: Evidence from the
Ho Chi Minh Stock Exchange
T kha:
Nhn t nh hng, thay i
gi c phiu, HOSE
Keywords:
Determinants, stock returns,
HOSE
ABSTRACT
This study aims at exploring determinants of stock returns for the Ho Chi
Minh Stock Exchange (HOSE). Data used in the study include quarterly
series of portfolio price index and earning per share (EPS) of 20 stocks
listed on HOSE, interest rate, USD/VND exchange rate, gold price and
consumer price index (CPI) for the period from 31 December 2006 to 31
December 2012. The results derived from this study show that EPS and
USD/VND exchange rate have positive effects on stock returns while gold
price volatility and inflation rate have a negative impact on stock returns.
TM TT
Mc tiu ca nghin cu ny l xc nh cc nhn t nh hng n s
thay i gi ca cc c phiu nim yt trn S Giao dch chng khon
thnh ph H Ch Minh (HOSE). S liu c s dng trong nghin cu
ny bao gm chui gi, li nhun trn mi c phiu (EPS) ca 20 c phiu
nim yt trn HOSE, li sut cho vay, t gi USD/VND, gi vng v ch s
gi tiu dng (CPI) theo thi gian vi tn sut qu (quarterly series) trong
giai on t 31/12/2006 n 31/12/2012. Kt qu phn tch hi quy cho
thy EPS v t gi USD/VND c tng quan t l thun vi s thay i gi
ca cc c phiu. Ngc li, bin ng ca gi vng v t l lm pht c
mi tng quan nghch vi t sut sinh li ca cc c phiu.

1 GII THIU s khng c phn nh y vo trong gi

Th trng chng khon gi vai tr ht sc
quan trng trong h thng ti chnh mi quc gia.
Trn th trng, gi c phiu l yu t c cc
nh u t c bit quan tm khi a ra quyt nh
u t. L thuyt th trng hiu qu cho rng gi
ca c phiu phi phn nh tt c cc thng tin sn
c lin quan n c phiu (Fama, 1970). Ni
mt cch khc, nu th trng l hiu qu th gi
ca c phiu s b tc ng bi nhiu nhn t, bao
gm c nhn t vi m v v m. Tuy nhin, nhiu
nghin cu thc nghim ch ra rng th trng
chng khon nhiu quc gia l khng hiu
qu. V vy, cc thng tin khi c cng b c th
c phiu.
Trong nhng nm gn y, cc nhn t nh
hng n gi c phiu l ch c nhiu nh
nghin cu v ti chnh c bit quan tm do
nhng ngha quan trng ca n. Nhiu nghin
cu thc nghim ch rng cc yu t c bn ca
cng ty, chng hn nh t l c tc, c nh hng
trc tip n gi c phiu (Al-Qenae v ctv., 2002;
Al-Tamimi v ctv., 2007; Uddin v ctv., 2013). Bn
cnh , mt s nghin cu khc li tm thy
nhng bng chng v s nh hng ca cc yu t
v m (li sut, lm pht, tng trng kinh t) n
gi ca c phiu (Tsoukalas, 2003; Liu v

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Tp ch Khoa hc Trng i hc Cn Th Phn D: Khoa hc Chnh tr, Kinh t v Php lut: 33 (2014): 72-78
Shrestha, 2008; Nisa v Nishat, 2012; Aurangzeb,
2012).
Cho n nay c mt vi nghin cu v cc
nhn t nh hng n gi ca cc c phiu nim
yt trn th trng chng khon Vit Nam,
(Hussainey v Ngoc, 2009; Phan Th Bch Nguyt
v Phm Dng Phng Tho, 2013). Tuy nhin,
cc nghin cu ny ch yu tp trung vo vic o
lng nh hng ca cc nhn t v m n gi ca
c phiu m cha nghin cu nh hng ca cc
yu t c bn ca cng ty. Hn na, theo quan st
ca tc gi gi vng l nhn t c th nh hng
n gi ca cc c phiu bi v Vit Nam th
trng vng c mi quan h rt cht ch vi th
trng chng khon. Tuy nhin, bin s ny li
khng c s dng trong cc nghin cu trc
y Vit Nam. Mc tiu ca nghin cu ny l
o lng cc nhn t nh hng n gi ca cc c
phiu nim yt trn HOSE, trong ch trng n
nhng khong trng m cc nghin cu trc y
li. Kt qu ca nghin cu ny s b sung
nhng bng chng thc nghim v cc nhn t nh
hng n gi c trong iu kin th trng chng
khon mi ni v gp phn gip cc nh u t c
nhng hnh vi u t hp l hn. y l yu t
quan trng gip th trng chng khon Vit Nam
pht trin mt cch n nh v bn vng hn. Phn
cn li ca bi vit ny c cu trc nh sau: Mc
2 lc kho cc nghin cu c lin quan n vn
nghin cu; Mc 3 m t s liu s dng v
phng php nghin cu; Mc 4 tm tt cc kt
qu nghin cu; v cui cng, kt lun ca bi vit
ny c trnh by Mc 5.
2 LC KHO CC NGHIN CU C
LIN QUAN N VN NGHIN CU
Cc nhn t nh hng n t sut sinh li ca
cc c phiu l ch nhn c s quan tm c
bit ca nhiu nh nghin cu trong nhng nm
gn y. Cc nhn t nh hng n gi c phiu
c tm thy trong cc nghin cu thc nghim
cng b bao gm cc nhn t v m v nhn t c
bn lin quan n tnh tnh ti chnh v hiu qu
hot ng ca cc cng ty. Do khng th lit k tt
c cc nghin cu c lin quan nn trong phn ny
chng ti ch lit k mt vi nghin cu tiu biu
lm c s cho nghin cu ca mnh.
Trc tin l nghin cu ca Al-Qenae v ctv
(2002). Trong nghin cu ny, cc tc gi o lng
nh hng ca cc nhn t EPS, tng sn phm
quc dn (GNP), li sut v lm pht n gi ca
cc c phiu nim yt trn Th trng chng khon
Kuwait trong giai on 1981-1997. Kt qu nghin
cu cho thy gi c phiu c tng quan thun vi
bin EPS v GNP, nhng li c tng quan nghch
vi cc bin li sut v lm pht.
Tip theo, Al-Tamimi v ctv. (2007) nghin
cu cc nhn t nh hng n gi ca cc c
phiu nim yt trn th trng chng khon UAE
(United Arab Emirates). Nghin cu ny s dng
d liu gi ca 17 c phiu c thu thp trong
khong thi gian t 1990 n 2005. Kt qu nghin
cu cho thy thu nhp trn mi c phiu (EPS) l
nhn t c tc ng mnh v cng chiu n gi
ca cc c phiu. Cc nhn t cung tin v GDP
cng c tng quan thun vi gi ca cc c phiu
nhng li khng c ngha v mt thng k. Ngoi
ra, nghin cu ny cn ch ra rng ch s gi tiu
dng v li sut c tng quan nghch vi gi ca
cc c nim yt trn th trng chng UAE. Tuy
nhin, ch c mi quan h gia ch s gi tiu dng
v gi ca cc c phiu l c ngha thng k. Nh
vy, c hai nhn t nh hng n gi ca cc c
phiu c tm thy trong nghin cu ny, l:
EPS, ch s gi tiu dng.
Mehr-un-Nisa v Nishat (2012) nghin cu nh
hng ca cc ch tiu ti chnh cng ty v cc yu
t v m n gi ca cc c phiu nim yt trn Th
trng chng khon Karachi (Pakistan). S dng
phng php GMM (Generalized Method of
Moments) trn d liu ca 221 cng ty trong giai
on 1995-2006, cc tc gi tm thy mi tng
quan thun gia gi ca c phiu vi cc cu trc
vn, t s gi tr th trng trn gi tr s sch, EPS
v quy m ca cng ty. Lin quan n cc yu t v
m, kt qu nghin cu cho thy gi c phiu c
tng quan thun vi tc tng trng GDP,
cung tin v su ti chnh. Ngc li, gi c
phiu li c tng quan nghch vi li sut v t l
lm pht.
Trong mt nghin cu khc, Uddin v ctv
(2013) nghin cu cc nhn t nh hng n gi
ca cc c phiu thuc ngnh ti chnh
Bangladesh. S liu s dng trong nghin cu
c thu thp t bo co ti chnh ca 67 cng ty
nim yt trn S Giao dch chng khon Dhaka
trong giai on t 2005 n 2011. Kt qu phn
tch hi quy cho thy EPS, gi tr ti sn rng
(NAV), li nhun trc thu, t s P/E (gi th
trng trn li nhun) c tng quan thun vi gi
ca cc c phiu thuc ngnh ti chnh nim yt
trn S Giao dch chng khon Dhaka.
Tsoukalas (2003) xem xt mi quan h gia gi
ca c phiu th trng chng khon chng
khon Cyprus v cc yu t kinh t v m. S liu
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Tp ch Khoa hc Trng i hc Cn Th Phn D: Khoa hc Chnh tr, Kinh t v Php lut: 33 (2014): 72-78
s dng trong nghin cu ny bao gm chui gi
ca cc c phiu, gi tr sn xut cng nghip, CPI,
cung tin v t gi hi oi theo thi gian vi tun
sut qu c thu thp cho khong thi gian t
1975 n 1998. S dng kim nh Ganger, kt qu
nghin cu cho thy gi ca c phiu nim yt trn
th trng chng khon chng khon Cyprus c
mi quan h cht ch vi cc yu t kinh t v m
c chn nghin cu.
Liu v Shrestha (2008) kim nh mi quan h
gia gi c phiu trn th trng chng khon
Trung Quc vi cc yu t v m, bao gm gi tr
sn xut cng nghip, t gi, lm pht, cung tin v
li sut. Nghin cu ny s dng s liu th cp
cho tt c cc bin s trong giai on t 01/1992
n 12/2001. S dng kim nh ng kt hp
(cointegration test), cc tc gi tm thy mi
tng quan thun gia gi c phiu vi gi tr sn
xut cng nghip v cung tin v mi tng quan
nghch gia gi c phiu vi t l lm pht, li sut
v t gi. Trn c s cc bng chng thc nghim
c tm thy, cc tc gi a ra khuyn ngh
cho cc nh u t rng khi mun u t vo th
trng chng khon Trung Quc th nn u t di
hn bi v trong ngn hn th trng chng khon
Trung Quc giao ng rt mnh nn cc k ri ro.
Eita (2012) nghin cu nh hng ca cc yu
t v m n gi ca cc c phiu trn th trng
chng khon Namibia. Nghin cu ny s dng d
liu thi gian vi tn sut qu ca gi c phiu,
cung tin, lm pht, GDP, li sut v t gi trong
giai on 1998 2009. Thng nht vi kt qu ca
cc nghin cu trc , nghin cu ny ch ra
rng gi ca cc c phiu c mi tng quan
nghch vi li sut v lm pht. Ngc li, cc
nhn t GDP, t gi v cung tin c mi tng
quan thun vi gi ca cc c phiu.
Aurangzeb (2012) xc nh cc nhn t nh
hng n gi ca cc c phiu trn ba th trng
chng khon khu vc Nam , l Pakistan, n
v Sri Lanka. S liu s dng cho nghin cu
ny c thu thp cho giai on t 1997 n 2010.
Kt qu phn tch hi quy cho thy u t trc tip
nc ngoi (FDI), t gi hi oi c tng quan
thun, trong khi li sut li c tng quan
nghch vi gi ca cc c phiu nim yt trn th
trng chng khon khu vc Nam . Ngoi ra,
kt qu nghin cu cn cho thy lm pht c tng
quan nghch vi gi ca cc c phiu nhng li
khng c ngha v mt thng k.
Hussainey v Ngoc (2009) nghin cu nh
hng ca cc yu t v m ca Vit Nam (gi tr
sn xut cng nghip, ch s gi tiu dng, li sut)
v ca M (ch s S&P 500, gi tr sn xut cng
nghip, ch s gi tiu dng, li sut tri phiu
chnh ph) n gi ca cc c phiu Vit Nam.
Kt qu nghin cu cho thy gi tr sn xut cng
nghip c ca Vit Nam v M u c mi tng
quan t l thun vi gi ca cc c phiu Vit
Nam. Ngoi ra, nghin cu ny cn tm thy mi
quan nghch gia li sut v gi ca c phiu
nhng li khng c ngha v mt thng k.
Trong mt nghin cu khc, Phan Th Bch
Nguyt v Phm Dng Phng Tho (2013)
nghin cu nh hng ca mt s yu t v m n
ch s gi th trng ca S Giao dch chng khon
thnh ph H Ch Minh (VN-Index) trong giai
on t 7/2000 n 9/2011. Kt qu nghin cu
cho thy cc yu t cung tin, sn lng cng
nghip v gi du th gii c mi tng quan cng
chiu vi ch s gi th trng. Ngc li, bin li
sut v t gi hi oi li c mi tng quan
nghch vi s thay i ca VN-Index. iu c
bit l cc tc gi tm thy mi tng quan
thun gia lm pht v ch s gi th trng nhng
li khng c ngha thng k.
Tm li, cc nghin cu thc nghim ch ra
rng EPS l nhn t nh hng rt ln n gi ca
cc c phiu. Ngoi ra, cc nhn t kinh t v m
nh li sut, lm pht, t gi, cung tin, GDP, gi
tr sn xut cng nghip cng l nhng nhn t c
nhng tc ng nht nh n gi ca cc c phiu
nim yt trn th trng chng khon. Cc bng
chng thc nghim c tm thy trong cc nghin
cu c thc hin trn th trng chng khon
Vit Nam c bn thng nht vi cc nghin
cu c thc hin cc th trng chng khon
mi ni.
3 S LIU S DNG V PHNG
PHP NGHIN CU
3.1 S liu s dng
S liu c s dng trong nghin cu ny bao
gm chui gi, li nhun trn mi c phiu (EPS)
ca 20 c phiu nim yt trn S giao dch chng
khon thnh ph H Ch Minh (HOSE), li sut
cho vay, t gi USD/VND, gi vng v ch s gi
tiu dng (CPI) theo thi gian vi tn sut qu
(quarterly series). Tt c s liu trn c thu
thp cho khong thi gian t ngy 01/10/2005 n
ngy 31/12/2012.
Cc c phiu c chn nghin cu l cc
c phiu c quy m ln. S d cc c phiu c quy
m ln c chn a vo danh mc nghin
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Tp ch Khoa hc Trng i hc Cn Th Phn D: Khoa hc Chnh tr, Kinh t v Php lut: 33 (2014): 72-78

cu l m bo tnh i din cho xu hng bin chng khon thnh ph H Ch Minh

ng ca th trng. S liu v gi ca cc c (www.hsx.vn). Danh sch cc c phiu c chn
phiu ny c thu thp t website ca S Giao nghin cu c trnh by chi tit Bng 1.
Bng 1: Danh sch cc c phiu c chn thc hin nghin cu
STT Tn cng ty STT Tn cng ty
Ngn hng Thng mi c phn Si Gn Cng ty c phn u t h tng k thut
1 11
Thng Tn (STB) TP.HCM (CII)
Cng ty c phn u t v Pht trin SACOM
2 Cng ty c phn Sa Vit Nam (VNM) 12
(SAM)
Cng ty c phn u t cng nghip Tn
3 13 Cng ty c phn Vn ti Xng du VIPCO (VIP)
To (ITA)
Tng Cng ty c phn Khoan v Dch v
4 14 Cng ty c phn Pht trin nh Th c (TDH)
khoan du kh (PVD)
Cng ty c phn Thy in Vnh Sn -
5 15 Cng ty c phn Thu in Cn n (SJD)
Sng Hinh (VSH)
6 Cng ty c phn FPT (FPT) 16 Cng ty c phn Nha Bnh Minh (BMP)
7 Cng ty c phn C in lnh (REE) 17 Cng ty c phn Cao su Nng (DRC)
8 Cng ty c phn Kinh (KDC) 18 Cng ty c phn Thp Vit (VIS)
Cng ty c phn i l lin hip vn Cng ty c phn Tm lp vt liu xy dng
9 19
chuyn (GMD) ng Nai (DCT)
Cng ty c phn u t pht trin th
10 20 Cng ty c phn Dc Hu Giang (DHG)
v khu cng nghip Sng (SJS)
Do yu cu ca m hnh nghin cu (s c 20
trnh by phn tip theo), chng ti xy dng EPS p Wi * EPSi
i 1
ch s gi ca danh mc trn c s gi ca 20 c
phiu c thu thp. Ch s gi ca danh mc c EPSi: li nhun trn mi c phiu ca c phiu i
tnh ton theo phng php ging nh ch s VN-
index trn HOSE vi thi gian gc tnh l ngy Wi: T trng ca c phiu i trong danh mc
01/10/2005. (c xc nh bng vn ha ca c phiu i chia
cho tng vn ha ca danh mc).
Cc s liu v li sut cho vay, t gi 3.2 Phng php nghin cu
USD/VND, gi vng v ch s gi tiu dng c
thu thp t cc ngun chnh thng ca Ngn hng o lng mc nh hng ca mt s nhn t
Nh nc Vit Nam (www.sbv.gov.vn), Tng Cc n s thay i gi ca cc c phiu nim yt trn
thng k (www.gso.gov.vn), Cng ty TNHH mt HOSE, nghin cu ny s dng m hnh do Al-
thnh vin Vng bc qu Si Gn - SJC Tamimi v ctv (2007) xut. Mt cch c th, m
(www.sjc.com.vn). Thi im thu thp cc s liu hnh nghin cu c dng nh sau:
trn c chn thng nht theo ngy cng b ch Yt = 0 + 1X1t + 2X2t + 3X3t + 4X4t + 5X5t
s gi tiu dng ca Tng Cc thng k (vo ngy + ut
24 ca thng cui cng ca qu). Nu ngy 24 ca
thng cui qu ri vo ngy th trng chng Trong :
khon khng giao dch th gi ca cc c phiu s Yt (bin ph thuc) l s thay i gi (t sut
c thu thp vo ngy hoc cc ngy tip theo. sinh li) ca cc c phiu trong danh mc v c
Tng t, s liu v EPS ca tng cng ty cng tnh nh sau:
c thu thp hng qu trn c s bo co ti
chnh ca cc cng ty c cng b. Sau , EPS Yt Rt log( pt ) log( pt1) log( pt / pt1)
ca danh mc gm 20 c phiu mi qu c
xc nh theo phng php ca Somoye v ctv Pt: Ch s gi ca danh mc qu th t;
(2009) nh sau: Pt-1: Ch s gi ca danh mc qu th t-1.
X1, X2, X3, X4, X5 l cc bin c lp v c
din gii chi tit Bng 2.

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Tp ch Khoa hc Trng i hc Cn Th Phn D: Khoa hc Chnh tr, Kinh t v Php lut: 33 (2014): 72-78

Bng 2: Din gii cc bin c lp c s dng trong m hnh hi quy

Tn bin Din gii
EPS (X1) EPS ca danh mc (ng)
T gi USD/VND (X2) Log ca t gi USD/VND
Li sut (X3) Li sut cho vay ngn hn (%/nm)
Gi vng (X4) Log ca gi vng (SJC) trong nc
T l lm pht (X5) Ch s gi tiu dng (%) do Tng Cc thng k cng b
4 KT QU NGHIN CU bng phng php nh m t phn trn. Chi
tit v gi tr thng k ca EPS v cc ch tiu kinh
4.1 Mt vi c im ca mu nghin cu
t v m trong giai on nghin cu c trnh by
Trn c s s liu v EPS ca cc cng ty thu Bng 3.
thp c, EPS ca danh mc c tnh ton
Bng 3: c im mu nghin cu
Ch tiu N* Ln nht Trung bnh Nh nht lch chun
EPS (ng) 29 2.571 1.074 209 596
T gi hi oi (ng) 29 20.828 17.991 15.890 19.979
Li sut vay ngn hn (%) 29 21,0 16,7 12,6 3,2
Gi vng (1.000 ng) 29 46.891 26.903 10.884 11.927
CPI (%) 29 21,9 8,3 2,5 6,1
Ngun: Bo co ti chnh ca cc cng ty, Tng cc thng k, Ngn hng Nh nc, Cng ty SJS
N: s quan st
4.2 Cc nhn t nh hng n s thay i EPS (X1)
gi ca c phiu nim yt trn HOSE: Kt qu
Thng nht vi kt qu ca cc nghin cu
phn tch hi quy
trc y (Al- Qenae v ctv., 2002; Al- Tamimi v
Kt qu phn tch hi quy c trnh by ctv., 2007; Uddin v ctv., 2013), kt qu c lng
Bng 4 cho thy 4 trong s 5 bin c lp c a t m hnh hi quy ca nghin cu ny cho thy
vo m hnh c ngha thng k mc di 10%. EPS ca cc c phiu c tng quan thun vi t
iu ny c ngha l s thay i gi ca cc c sut sinh li ca cc c phiu. Mi quan h ny c
phiu b nh hng bi cc nhn t: EPS (X1), t ngha thng k mc 1%. i vi cc nh u
gi USD/VND (X2), gi vng (X4) v t l lm t, EPS lun l tn hiu quan trng v trin vng
pht (X5). Mi quan h gia cc bin c lp v ca cng ty thc hin vic u t. Nhng cng
bin ph thuc trong m hnh c gii thch mt ty c EPS cao l nhng cng ty s mang li nhiu
cch chi tit phn di y. gi tr cho cc nh u t. y l l do gii thch
cho mi tng quan thun gia EPS v t sut sinh
Bng 4: Kt qu phn tch hi quy
li ca cc c phiu.
H s Gi tr
Tn bin T gi USD/VND (X2)
tng quan thng k t
Hng s -10,5113 -2,6704b Tng t nh bin EPS, kt qu phn tch hi
EPS (X1) 0,0001 3,2054a quy ch ra rng t gi USD/VND c tng quan t
T gi USD/VND (X2) 3,6602 2,8220b l thun vi t sut sinh li ca cc c phiu mc
Li sut (X3) 0,0104 1,1437 ngha thng k 5%. Kt qu ny ph vi cc
Gi vng (X4) -0,7197 -2,7818b nghin cu ca Eita (2012), Aurangzeb (2012),
T l lm pht (X5) -0,0073 -1,9099c Phan Th Bch Nguyt v Phm Dng Phng
S quan st 26 Tho (2013). C th l, khi t gi USD/VND tng
R2 iu chnh (%) 43,49 ln 1% th t sut sinh li ca cc c phiu tng
Kim nh Durbin- 3,66%. Mi quan h ny c th c gii thch l
2,64
Watson do khi t gi USD/VND tng s khuyn khch cc
Gi tr thng k F 4,85a dng vn u t gin tip vo Vit Nam nhiu
a,b,c: C ngha thng k tng ng mc 1%, 5% v hn. iu ny ng ngha vi cu v c phiu trn
10% th trng tng nn gi c phiu s tng.

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Tp ch Khoa hc Trng i hc Cn Th
Gi vng (X4)
Vit Nam, vng cng c xem nh l mt
knh u t i vi nhiu ngi. V vy, s thay
i gi vng trong nc c k vng s c nhng
nh hng nht nh n gi ca cc c phiu nim
yt trn th trng. Kt qu nghin cu ca chng
ti cho thy s bin ng ca gi vng c tng
quan nghch vi t sut sinh li ca cc c phiu.
Mt cch nh lng, khi gi vng tng hoc gim
1% th t sut sinh li ca cc c phiu s gim
hoc tng 0,72%. V mt thng k, mi tng quan
nghch gia bin ng gi vng v t sut sinh li
ca cc c phiu c ngha mc 5%. C s
gii thch cho mi quan ny l khi gi vng tng th
u t vo vng l mt knh u t hp dn i vi
nhiu nh u t. Khi , dng tin c s dch
chuyn t th trng chng khon sang vng
nn lm cho gi c phiu trn th trng gim v
ngc li.
T l lm pht (X5)
Trong nghin cu ny t l lm pht c o
lng bng ch s gi tiu dng (CPI) do Tng Cc
thng k cng b. Thng nht vi kt qu ca cc
nghin cu trc y (Al-Qenae v ctv., 2002; Al-
Tamimi v ctv., 2007; Liu v Shrestha, 2008;
Mehr-un-Nisa v Nishat, 2012) kt qu phn tch
hi quy c c t nghin cu ny cho thy t sut
sinh li ca cc c phiu c mi tng quan nghch
vi t l lm pht. C th l, khi t l lm pht tng
1% th t sut sinh li ca cc c phiu s gim
0,007% v ngc li. Mi quan h t l nghch ny
c ngha thng k mc 1%. Kt qu ny, theo
chng ti, hon ton ph hp vi nhng g din
ra trn th trng chng khon Vit Nam trong thi
gian va qua. i vi cc nh u t, lm pht l
mt ch tiu quan trng th hin sc khe ca
nn kinh t v v vy n c tc ng trc tip n
gi ca cc c phiu trn th trng. Lm pht tng
l mt trong nhng biu hin bt n ca nn kinh t
v v vy tm l ca nh u t trn th trng
chng khon b nh hng nghim trng. an
ton, nhiu nh u t s rt vn ra khi th trng
v u t vo nhng knh khc c ri ro thp hn.
H qu l gi c phiu s gim khi lm pht tng.
Mt iu bt ng l kt qu phn tch hi quy
cho thy mi quan h gia bin li sut v t sut
sinh li ca cc c phiu khng c ngha thng
k. Nh vy, khng c c s kt lun rng li
sut c nh hng n t sut sinh li ca cc c
phiu. Ngoi ra, trong m hnh hi trn, gi tr
ca R2 l 43,49%, iu ny c ngha l cc bin
c lp trong m hnh gii thch c 43,49% s
Phn D: Khoa hc Chnh tr, Kinh t v Php lut: 33 (2014): 72-78
thay i ca bin ph thuc (t sut sinh li ca
cc c phiu). Bn cnh , gi tr thng k F ca
m hnh l 4,85 cho thy m hnh hi quy m
chng ti s dng c ngha thng k mc 1%.
5 KT LUN
Nghin cu ny cung cp nhng bng chng
thc nghim v cc nhn t nh hng n t sut
sinh li ca cc c phiu nim yt trn HOSE. Kt
qu phn tch hi quy cho thy EPS v t gi
USD/VND c tng quan t l thun vi t sut
sinh li ca cc c phiu. Ngc li, bin ng ca
gi vng v t l lm pht c mi tng quan
nghch vi t sut sinh li ca cc c phiu nim
yt trn HOSE. Kt qu nghin cu ny ph hp
vi cc nghin cu trc y th trng chng
khon mi ni. Do hn ch v s liu nghin cu
nn trong nghin cu ny chng ti ch mi a
c 5 nhn t vo m hnh hi quy c lng
nh hng ca chng n t sut sinh li ca cc
c phiu (cc bin c lp trong m hnh ch mi
gii thch c 43,49% s bin ng ca t sut
sinh li ca cc c phiu). Trong thc t, t sut
sinh li ca cc c phiu c th cn b nh hng
bi nhiu nhn t khc. y l hn ch ca nghin
cu ny v cng l kha cnh nghin cu kh hp
dn m cc nghin cu tip theo nn tp trung vo.
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