SỐ 175 | THÁNG 10/2020
Kiểm định hành vi bầy đàn trên thị trường chứng khoán Việt Nam trong giai đoạn 2012–2018
Võ Kiều Trinh, Trần Minh Tâm
Tóm tắt:
Mục tiêu bài nghiên cứu thực hiện kiểm định hành vi bầy đàn (HVBĐ) toàn thị trường trên thị trường chứng khoán Việt Nam trong giai đoạn 2012–2018 thông qua Sở Giao dịch Chứng khoán Thành phố Hồ Chí Minh (HOSE). Bằng mô hình hồi quy dựa trên phương pháp OLS kết hợp Newey-West theo hướng tiếp cận của Chang, Cheng, & Khorana (2000), kết quả nghiên cứu cho thấy, có sự tồn tại HVBĐ trên TTCK Việt Nam. Ngoài ra, tính bất đối xứng của hành vi này được tìm thấy trong trường hợp khối lượng giao dịch cao và thấp, nhưng lại tương đồng trong điều kiện thị trường tăng và giảm. Bên cạnh đó, mức độ bầy đàn được cho là mạnh mẽ hơn đối với nhóm cổ phiếu có mức vốn hóa thấp.
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Testing Herd Behavior in the Vietnamese Stock Market in the 2012–2018 Period
Abstract:
This paper aims to test market-wide herding in the Vietnamese stock market in the 2012–2018 period, through the Ho Chi Minh Stock Exchange (HOSE). The regression model was carried out by employing the OLS method combined with Newey-West based on the approach of Chang, Cheng, and Khorana (2000). The research results show that herd behavior exists in the Vietnamese stock market. Besides, the asymmetry of this behavior is found in high and low trading volumes, but it is similar in terms of up and down markets. Besides, herd behavior is found to be stronger for stocks with small capitalization.