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Expiration-Day Effects of Index Futures in a Frontier Market: The Case of Ho Chi Minh Stock Exchange

Author

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  • Anh Thi Kim Nguyen

    (Faculty of Economics and Business Administration, An Giang University, Vietnam National University Ho Chi Minh City, Long Xuyen 90116, Vietnam)

  • Loc Dong Truong

    (College of Economics, Can Tho University, Can Tho 94115, Vietnam)

  • H. Swint Friday

    (RELLIS Campus, Texas A&M University, Bryan, TX 77807, USA)

Abstract

This study employs OLS, GARCH and EGARCH regression models to test the expiration-day effects of index stock futures on market returns, volatility and trading volume for the Ho Chi Minh Stock Exchange (HOSE). Data used in this study is from a daily return series of the VN30-Index for the period from 10August 2017 through 30 June 2020. The results derived from GARCH(1,1) and EGARCH(1,1) models consistently confirm that Index futures expiration-day effects on market returns exists in the HOSE. Specifically, the average market return for expiration days is significantly lower than other trading days, by 0.13% at the 5% level of significance. However, the results obtained from the regression models indicate that the expiration-day has no impact on market volatility and trading volume.

Suggested Citation

  • Anh Thi Kim Nguyen & Loc Dong Truong & H. Swint Friday, 2021. "Expiration-Day Effects of Index Futures in a Frontier Market: The Case of Ho Chi Minh Stock Exchange," IJFS, MDPI, vol. 10(1), pages 1-12, December.
    • Handle: RePEc:gam:jijfss:v:10:y:2021:i:1:p:3-:d:713464
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    References listed on IDEAS

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    1. Anver Sadath & Bandi Kamaiah, 2011. "Expiration Effects of Stock Futures on the Price and Volume of Underlying Stocks: Evidence from India," The IUP Journal of Applied Economics, IUP Publications, vol. 0(3), pages 25-38, July.
    2. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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