Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257822 
Year of Publication: 
2022
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 10 [Issue:] 1 [Article No.:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-12
Publisher: 
MDPI, Basel
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.
Subjects: 
HOSE
index futures expiration-day effects
market returns
market volatility
trading volume
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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