Impacts of the Derivatives Market on the Underlying Stock Market: The Case of VN30


Authors

  • Nguyen Xuan Hao VNU University of Economics and Business
  • Nguyen Thi Nhung VNU University of Economics and Business
DOI: https://doi.org/10.57110/jebvn.v3i3.222

Keywords:

Stock index futures, VN30 Index, derivatives

Abstract

The study aims to evaluate the impacts of stock index futures on the underlying stock market (stock index) during periods of bull, bear and sideways markets. Using a vector error correction model (VECM) with daily data of the VN30 index and prices of 4 futures on the VN30 index from January 2019 to June 2022, which are collected from FiinPro, the research shows the long-run and short-run relationship between the VN30 index and futures on the VN30 index. This relationship is stronger for short-term futures like VN30F1M and during a bear market. This result confirms that short-term speculative trading in the derivative market can increase the price volatility in the underlying market in Vietnam.

References

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Published

25-06-2023

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How to Cite

Nguyen Xuan Hao, & Nguyen Thi Nhung. (2023). Impacts of the Derivatives Market on the Underlying Stock Market: The Case of VN30. VNU JOURNAL OF ECONOMICS AND BUSINESS, 3(3). https://doi.org/10.57110/jebvn.v3i3.222

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Original Article