The effects of index futures trading volume on spot market volatility in a frontier market: Evidence from Ho Chi Minh stock exchange

Simple item page
dc.contributor.authorTruong, Loc
dc.contributor.authorFriday, H. Swint
dc.contributor.authorNguyen, Anh
dc.date.accessioned2023-03-02T21:44:13Z
dc.date.available2023-03-02T21:44:13Z
dc.date.issued2022-12-08
dc.description.abstractThis analysis is the first to investigate the influence of index futures trading volume on spot market volatility for the Ho Chi Minh Stock Exchange (HOSE). The data utilized in this study are the daily VN30-Index futures contract trading volume starting at the inception date for the VN30- Index futures contract, 10 August 2017 and going through 10 August 2022. Using an autoregressive distributed lag (ARDL) bounds testing approach, the empirical findings reveal a positive relation between VN30-Index futures trading volume and the volatility of the spot market for the HOSE in the short-run. In addition, the results of the ARDL tests confirm in for the long-run, trading volume of futures contracts has a significant positive influence on spot market volatility. Moreover, the results derived from the error correction model (ECM) indicate that only 5.54% of the disequilibria from the previous trading day are converged and corrected back to the long-run equilibrium from the current day. Based on the findings, we recommend that Vietnamese policymakers establish relevant intervention polices on speculation of individual investors in order to provide stabilization safeguards for the underlying stock market.en_US
dc.identifier.citationTruong, Loc Dong, H. Swint Friday, and Anh Thi Kim Nguyen. 2022. The Effects of Index Futures Trading Volume on Spot Market Volatility in a Frontier Market: Evidence from Ho Chi Minh Stock Exchange. Risks 10: 234. https:// doi.org/10.3390/risks10120234en_US
dc.identifier.doihttps:// doi.org/10.3390/risks10120234
dc.identifier.urihttps://hdl.handle.net/1969.6/95561
dc.language.isoen_USen_US
dc.rightsAttribution 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/*
dc.subjectfutures trading volumeen_US
dc.subjectspot market volatilityen_US
dc.subjectARDLen_US
dc.subjectHOSEen_US
dc.titleThe effects of index futures trading volume on spot market volatility in a frontier market: Evidence from Ho Chi Minh stock exchangeen_US
dc.typeArticleen_US

Files

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
The Effects of Index Futures Trading Volume on Spot Market Volatility in a Frontier Market_Evidence from Ho Chi Minh Stock Exchange.pdf
Size:
1019.82 KB
Format:
Adobe Portable Document Format
Description:
Download

License bundle

Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.72 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

COB Faculty Works