Số 219 | Tháng 6/2024
Hành vi bầy đàn dựa trên xu hướng cờ bạc: Bằng chứng thực nghiệm tại thị trường chứng khoán Việt Nam
Nguyễn Thị Thu, Dương Đăng Khoa, Võ Hoàn Song An
Tóm tắt:
Nghiên cứu này là nỗ lực đầu tiên đánh giá vai trò của xu hướng cờ bạc đến hành vi bầy đàn (HVBĐ) trên thị trường chứng khoán (TTCK) Việt Nam. Nhóm tác giả sử dụng tỷ suất sinh lời trung bình của năm phiên giao dịch hàng ngày nhằm xác định các cổ phiếu có tính chất như vé số và điều tra xem liệu các nhà đầu tư có bị thúc đẩy bởi sở thích cờ bạc hay không. Các tác giả áp dụng phương pháp sai số chuẩn chéo tuyệt đối (CSAD) để tiến hành phân tích HVBĐ từ 1.489.153 mẫu quan sát hàng ngày của các công ty được lên sàn và chưa được lên sàn chứng khoán ở Việt Nam giai đoạn 2000–2021. Kết quả nghiên cứu chứng thực HVBĐ tồn tại trong giai đoạn khảo sát và cổ phiếu có tính chất giống như xổ số là động cơ thúc đẩy hành vi này. Mặt khác, HVBĐ dựa trên sở thích đánh bạc trở nên càng mạnh mẽ hơn khi nhà đầu tư giao dịch loại cổ phiếu kém thanh khoản. Những phát hiện này ủng hộ lý thuyết mỏ neo và lý thuyết triển vọng. Cuối cùng, bài viết hỗ trợ những nhà quản lý chiến lược phát triển các chính sách phù hợp để giảm thiểu HVBĐ tại các TTCK, đặc biệt là tại các thị trường mới nổi.
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Herding Behaviour by Gambling Preference in the Stock Market: Evidence from Vietnam
Abstract:
This is the first study to examine how herding behaviour affects an individual's preference for gambling in the Vietnamese stock market. We test whether stocks that have lottery pay-offs by estimating the mean of the top five daily returns. We also investigate if gambling preferences drive individual investors. Using the Cross-Sectional Absolute Deviation approach, this study examines the herding behaviour in a sample of 1.489.153 daily observations of listed and unlisted enterprises in Vietnam from 2000 to 2021. Our results show that herding behaviour persisted in Vietnam throughout the time of the sample. Empirical findings indicate that the herding tendency in the Vietnamese stock market is motivated by lottery-type stocks. In illiquid equities, the herding tendency by gambling preference is even more evident. Our results are consistent with the anchoring and prospect theories. Policymakers can benefit from this study's practical implications for enhancing market efficiency in emerging economies.