학술논문
The Impact of Index Future Introduction on Spot Market Returns and Trading Volume: Evidence from Ho Chi Minh Stock Exchange
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- 영문명
- 발행기관
- 한국유통과학회
- 저자명
- Anh Thi Kim NGUYEN Loc Dong TRUONG
- 간행물 정보
- 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 7 No.8, 51~59쪽, 전체 9쪽
- 주제분류
- 경제경영 > 경제학
- 파일형태
- 발행일자
- 2020.08.30
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국문 초록
영문 초록
The objective of this study is to enrich the literature by investigating the impact of introduction of index future trading on spot market returns and trading volume in Vietnam. Data used in this study mainly consist of daily VN30-Index and market trading volume series during the period from February 6th, 2012 to December 31st, 2019. Using OLS, GARCH(1,1) and EGARCH(1,1) models, the empirical findings consistently confirm that the introduction of index future trading has no impact on the spot market returns. In addition, the results of the EGARCH(1,1) model indicate that the leverage effect on the spot market volatility is existence in HOSE. Specifically, bad news has a greater effect on the market volatility than good news of the same size. Moreover, our empirical findings reveal that the introduction of index future contracts has the positive impact on the underlying market trading volume. Specifically, the trading volume of the post-index futures introduction increases by 7.5 percent compared with the pre-index futures introduction. Finally, the results obtained from the Granger causality test for the relationship between the spot market returns and the future trading activity confirm that only uni-directional causality running from the market returns to the future trading activity exists in HOSE.
목차
1. Introduction
2. Literature Review
3. Overview of the HOSE and Index Future Contract in Vietnam
4. Data and Methodology
5. Empirical Results
6. Conclusion
References
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