Số 239 | Tháng 02/2026
Đồng bảo hiểm hay chi phí đại diện? Đa dạng hóa và biến động đặc thù tại thị trường cận biên Việt Nam
Vũ Hữu Thành
Tóm tắt:
Mục tiêu nghiên cứu: Nghiên cứu xem xét riêng biệt tác động của đa dạng hóa liên quan (RD) và đa dạng hóa không liên quan (UD) đến biến động đặc thù (IVOL) của cổ phiếu tại thị trường cận biên Việt Nam.
Thiết kế nghiên cứu/phương pháp/tiếp cận: RD và UD được đo bằng chỉ số Entropy theo phân loại ngành GICS. Dữ liệu bảng gồm 512 doanh nghiệp phi tài chính niêm yết giai đoạn 2013–2024 (6.144 quan sát doanh nghiệp–năm) được ước lượng bằng System GMM nhằm xử lý động học của IVOL và nội sinh tiềm ẩn. Khung lập luận dựa trên cơ chế tập trung rủi ro, coinsurance và quan điểm “khoảng trống thể chế” như bối cảnh làm nổi trội các cơ chế.
Kết quả nghiên cứu chính: RD liên hệ dương và có ý nghĩa thống kê với IVOL, trong khi UD liên hệ âm và có ý nghĩa thống kê với IVOL. Tập trung sở hữu (OCON) cũng liên hệ dương với IVOL.
Giá trị đóng góp mới: Nghiên cứu giải quyết sự mơ hồ lý thuyết về UD bằng cách chứng minh lợi ích tài chính từ ổn định dòng tiền vượt trội hơn chi phí tổ chức tại thị trường cận biên. Đồng thời, nghiên cứu làm nổi bật vai trò then chốt của thị trường vốn nội bộ trong quản lý rủi ro khi thị trường bên ngoài kém phát triển.
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Coinsurance or Agency? Diversification and Idiosyncratic Volatility in Vietnam’s Frontier Market
Abstract:
Purpose: This study separately examines how related (RD) and unrelated diversification (UD) affect stock idiosyncratic volatility (IVOL) in Vietnam’s frontier market.
Design/methodology/approach: RD and UD are measured using entropy indices based on the GICS industry classification. Using a panel of 512 non-financial listed firms over 2013–2024 (6144 firm-year observations), we estimate a dynamic model via two-step system GMM to address IVOL persistence and potential endogeneity. The discussion draws on risk-concentration, coinsurance, and the institutional-voids view as a setting-based lens rather than a formal moderation test.
Findings: RD is positively and significantly associated with IVOL, whereas UD is negatively and significantly associated with IVOL. Ownership concentration (OCON) is also positively related to IVOL.
Originality/value: The study resolves theoretical ambiguity surrounding unrelated diversification by demonstrating that financial benefits from cash flow stabilization outweigh organizational costs in frontier markets, while highlighting the critical role of internal capital markets in risk management when external markets are underdeveloped.