Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257788 
Year of Publication: 
2021
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 9 [Issue:] 3 [Article No.:] 43 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-14
Publisher: 
MDPI, Basel
Abstract: 
This study investigated the impact of the introduction of the VN30-Index futures contract on the daily returns anomaly for the Ho Chi Minh Stock Exchange (HOSE). Daily returns of the VN30-Index for the period 6 February 2012 through 31 December 2019 are used in this study to ascertain the new VN30-Index futures contract influence on the day-of-the-week anomaly observed in the HOSE. To test this effect, ordinary least square (OLS), generalized autoregressive conditional heteroskedasticity [GARCH (1,1)] and exponential generalized autoregressive conditional heteroskedasticity [EGARCH (1,1)] regression models were employed. The empirical results obtained from the models support the presence of the day-of-the-week effect for the HOSE during the study period. Specifically, a negative effect was observed for Monday. However, the analysis revealed that the day-of-the-week effect was only present in stock returns for the pre-index futures period, not for the post-index futures period. These findings suggest that the introduction of the VN30-Index futures contract had a significant impact on the daily returns anomaly in Vietnam's HOSE, providing evidence that the introduction of the index futures contract facilitated market efficiency.
Subjects: 
daily returns anomaly
EGARCH model
HOSE
introduction of index future trading
JEL: 
G10
G40
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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