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.
Highlights
The Vietnam derivatives market was officially launched on 10 August 2017 with the initial offering of the VN30-Index futures contract
The results for the ordinary least square (OLS) model over the entire period shown in Table 5 document a significant day-of-the-week effect for the Ho Chi Minh Stock Exchange (HOSE)
The average returns for Monday, Tuesday and Thursday are negative and significant at the five percent level. These results indicated that the market returns on these days were significantly lower than those for Wednesday
Summary
The Vietnam derivatives market was officially launched on 10 August 2017 with the initial offering of the VN30-Index futures contract. Exchange (HOSE), the first stock exchange in Vietnam. At the time of the introduction of the VN30-Index, total market capitalization approached USD 130 billion. The market has grown substantially to a market capitalization that exceeds USD 200 billion and attracts ever-increasing attention from global investors On 25 November 2020, Bloomberg reported that the Korea Investment. (KIM), one of the largest asset management firms in Korea, is using the Bloomberg VN30 Futures Index for its new “KINDEX” Vietnam VN30 Futures Leverage. Bloomberg just named Vietnam Asia’s hottest stock market and projects its market to see even greater inflows.
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