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

Anh Thi Kim Nguyen, Loc Dong Truong and H. Swint Friday
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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

IJFS, 2021, vol. 10, issue 1, 1-12

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.

Keywords: index futures expiration-day effects; market returns; market volatility; trading volume; HOSE (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2021
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