Một số yếu tố tác động đến độ nhạy dòng tiền đầu tư của các doanh nghiệp niêm yết trên thị trường chứng khoán Việt Nam

6J"t. 1J

BO . . . GIAO DUC VA DAO TAO

TRUONG DAI . . HOC MO THANH PHO HO CHI MINH

BUI VAN THAI

MQT SO YEU TO TAC BQNG BEN BQ NH~ Y DONG TIEN

BAU TU CUA CAC DOANH NGHitP NIEM YET

TREN THI TRUONG CHUNG KHOAN Vl~T NAM

Chuyen nganh : Tai chinh-Ngan hang

Ma s6 chuyen nganh : 60 34 02 O 1

riRUGilG DAi HOC MO TP.HCM

THU' Vl~N

LU~N VAN TH~C SY TAI CHINH - NGAN HANG

Nguai hu6ng ddn khoa hQc:

TS. NGO VI TRQNG

Tp. H6 Chi Minh, Nam 2014

LffiCAMDOAN

Toi cam doan r~ng lu~n van 'M(}t sA y@u tA tac d(}ng d@n di} nh'y dong

ti~n diu tll' ctia cac doanh nghiep niem y@t tren thf trmmg chfrng khoan Viet

Nam' la bai nghien cuu cua chinh toi.

Ngo~i trir nhfrng tai li~u tham khao duqc trich ddn trong lu~n van, toi cam

doan r~ng toan b9 hay phdn nho cua lu~n van nay chua tirng duqc cong b6 ho~c

duqc sir dv~g d€ nh~n b~ng cdp 6 nhfrng nai khac.

Khong c6 nghien cl'.ru nao cua ngucri khac duqc sir dvng trong lu~n van nay

ma khong duqc trich ddn theo dung quy djnh.

Lu~n van nay cling chua tirng duqc n9p d€ nh~n bdt ky b~ng cdp nao t~i

trucrng d~i hQC ho~C CO' SO dao t~O nao khac.

Thanh ph6 H6 Chi Minh, nam 2014

N gucri cam do an

Bui Van Thai

I

---,------

LOI CAMON

D€ hoan thanh lu~n van nay tru&c tien toi xin gui lai cam an chan thanh

d€n truang D~i h9c Ma Thanh ph6 H6 Chi Minh, nai da cung cdp cho toi nhfrng

ki€n thuc chuyen mon v€ tai chinh ngan hang 6 b~c th~c si. Nhung ki€n thuc quy

bau nay khong chi duqc toi (mg di.mg hi~u qua trong qua trinh lam lu~n van ma

con trong ca qua trinh lam vi~c cua toi.

Toi ciing xin gui Iai tri an chan thanh t&i th~y giao hu&ng dfin cua toi,

TS.Ngo Vi Tr9ng, nguai da luon theo sat va t~n tinh hu&ng ddn toi trong suf>t qua

trinh lam d€ tai. Nang h.rc khoa h9c, ki€n thuc chuyen mon sau s~c va S\f nhi~t

ti~h cua thfiy da Ia d(mg l\fc rdt Ian giup toi hoan thanh Iu~n van.

Sau cung, toi mu6n g&i lai cam an d€n t~p th€ cac Giang vien, Co chu

nhi~m, cac anh chi va cac b~ h9c cung 16p Cao h9c Tai chinh - Ngan hang kh6a

4, da h6 trq va d(mg vien toi trong su6t qua trinh h9c t~p va th\fc hi~n lu~n van

nay.

TOM TAT NGHIEN cUu

Nghien cuu duqc th\fc hi~n nh~m xac dinh m(>t s6 yeu t6 tac d(>ng den d9

nh<;ty dong ti€n dfiu tu cua cac doanh nghi~p niem yet tren thi truang chfrng khoan

Vi~t Nam trong giai do<;tn tir nam 2008 den 2012. Thong qua cac phan tich th6ng

ke mo ta va mo hinh hf>i quy cac nhan t6 anh hu6ng c6 dinh (Fixed Effect Model)~

nghien cfru da phat hi~n duqc m(>t s6 bien tac d(>ng den d(> nh<;ty dong ti€n dfiu tu

cua doanh nghi~p. Cv th€, cac bien s6: Ti I~ chia c6 tuc, qui mo doanh nghi~p,

bien d(>ng dong ti€n va tai san hiiu hinh c6 m6i quan h~ nghich bien voi d(> nh<;ty

dong ti€n dfiu tu cua cac doanh nghi~p niem yet tren thi truang chung khoan Vi~t

Nam. Cac ket qua nay phu hqp v6i nhi€u nghien Clru tru6c day cua cac tac gia 6

m(>t s6 qu6c gia tren the gi6i. Ben c<;tnh d6, nghien cfru chua tim duqc m6i quan

h~ gifra bien don bfry tai chinh va d(> nh<;ty dong ti€n dfiu tu trong tren b(> du li~u

nghien cfru.

111

MUCLUC

• •

LOI CAM DOAN ..................................................................................................... i

LOI CAM dN ··········································································································ii , .. ,.. UU' ... TOM TAT NGHIEN C ..................................................................................... 111

M1JC L{JC ............................................................................................................... iy

DANH MlJC cAc BANG ...................................................................................... vi

DANH M{JC cAc HINH ....................................................................................... vi

DANH MlJC VIET TAT ...................................................................................... viii

2

" Tr'TT CHUONG 1: TONG QUAN NGHIEN Cu u ...................................................... 1

1.1. E>~t vAn de nghien Clru ................................................................................... 1

1.2. Cau hoi nghien Clru ······················································································· 2

1.3. M\lC tieu nghien Clru ...................................................................................... 2

1.4. Ph~m vi nghien Clru ....................................................................................... 2

1.5. Phuang phap nghien Clru ............................................................................... 3

1.6. Y nghia Cua nghien Clru ................................................................................. 3

1. 7. Ket cAu cua nghien Clru ................................................................................. 3

CHUONG 2: ca so Ly THUYET NGHIEN ciru .......................................... 5

2 .1. E>9 nh~y dong tien dftu tu .............................................................................. 5

2.1.1. Dongtien ................................................................................................. 5

2.1.2. Dong tien dAu tu ...................................................................................... 6

2.1.3. E>9 nh~y dong tien dAu tu ........................................................................ 7

2 2 . . Cac ' cong " t rm ' h thu . c ng h"" i~m co ' i·" ien q ua n .................................................... . 9

2.3. Cac yeu tb anh hu6ng den dQ nh~y dong tiSn dAu tu .................................. 15

2.3.1. Ti l~ chia c6 tuc ..................................................................................... 15

2.3.2. Qui mo doanh nghi~p ............................................................................. 16

2.3.3. Don bdy tai chinh ................................................................................... 18

2.3.4. Bien d{>ng cua dong tien ........................................................................ 20

2.3.5. Tai san hil'u hinh .................................................................................... 21

TT , " , CHu ONG 3: PHUONG PHAP NG HIEN CUU ............................................... 23

3 .1. Quy trinh nghien cfru .................................................................................. 23

IV

3.2. Mo hinh nghien Clru .................................................................................... 24

3.3. Giai thich cac bien va gia thuyet nghien Clru .............................................. 25

3.3.1. Bien phv thu9c ....................................................................................... 25

3.3.2. Bien d9c I~p ........................................................................................... 26

3 .4. Dfr li~u nghien Clru .................................................................... " ............ "" 30

3.5. Phuong phap nghien ctru ............................................................................. 31

~ ? A TITT CHUONG 4: KET QUA NGHIEN Cu u ........................................................... 33

4 1 E>x d'x ' ~ h'" uu' ' th:.n k" " ta' 34 . . i;ic iem cua mau ng ien c va o g e mo .................................... ..

4.1.1. E>~c di€m cua mfru nghien c(ru .............................................................. 34

4.1.2. Th6ng ke mo ta cac bi€n ........................................................................ 35

4.2. Tuong quan gifra cac bi€n ........................................................................... 36 ,

4.3. Mo hinh hl>i qui dfr li~u ............................................................................... 38

Ket qua nghien Clru ..................................................................................... 40 ,,

4.4. '.<

4.5. Thao lu~n ket qua ........................................................................................ 42

CHUONG 5: KET LU~N .................................................................................. 45

5.1. Ket Iu~ ....................................................................................................... 45

5.2. H~n ch€ va d~ xuftt hu6ng nghien c(ru tiep theo ......................................... 46

5.2.1. H~n ch€ cua nghien cfru ......................................................................... 47

5.2.2. Hu6ng nghien c(ru ti€p theo .................................................................. 47

TAI LI1$U THAM KHAO ...................................................................................... 48

PHl) Ll)C ............................................................................................................... 54

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