INDEX FUTURES INTRODUCTION AND STOCK MARKET VOLATILITY: EMPIRICAL STUDY IN VIETNAM

ICYREB 2020 2020:1129-1139 (2020)
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Abstract
This paper aims at answering the question whether the VN30 index futures introduction has an impact on stock market volatility in Vietnam. Apply GARCH model of volatility with additive dummy variable from 28/7/2000 to 10/9/2020, the result shows that when the first listed index futures contract appears, it makes the volatility of VNIndex increases. The result is still robust after excluding the turmoil period of Vietnam stock market. This paper implies that policy maker should be more careful in promoting derivatives market in Vietnam.
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Archival date: 2021-11-24
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