Price discovery and information transmission across stock index futures: evidence from VN 30 Index Futures on Vietnam’s stock market
The introduction of the first tradable stock index futures of VN 30 is a very good signal showing that Vietnam is starting to have a high-level financial market, which brings many expectations about sustainable and safe development of its stock market. However, risk concerns of this type of derivati...
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doaj-02ee48e5d6f04b1cbb5ca70478b0665d2020-11-25T01:37:57ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations 1810-49671812-93582019-12-0116426227610.21511/imfi.16(4).2019.2312881Price discovery and information transmission across stock index futures: evidence from VN 30 Index Futures on Vietnam’s stock marketNguyễn Thị Nhung0Trần Thị Vân Anh1Nguyễn Tố Nga2Vương Thùy Linh3Đinh Xuân Cường4Ph.D., Lecturer, Faculty of Finance and Banking, University of Economics and Business (UEB), Vietnam National University (VNU)Ph.D., Lecturer and Researcher, Faculty of Finance and Banking, University of Economics and Business (UEB), Vietnam National University (VNU)Student, Faculty of Finance and Banking, University of Economics and Business (UEB), Vietnam National University (VNU)Student, Faculty of Finance and Banking, University of Economics and Business (UEB), Vietnam National University (VNU)Ph.D., Faculty of Finance and Banking, University of Economics and Business (UEB), Vietnam National University (VNU)The introduction of the first tradable stock index futures of VN 30 is a very good signal showing that Vietnam is starting to have a high-level financial market, which brings many expectations about sustainable and safe development of its stock market. However, risk concerns of this type of derivative products have been raising with many claims since then. This article aims to provide empirical evidences to show if futures trading plays important role of price discovery and information transmission for spot market. Using daily data collected about VN 30 Index Futures, VN 30 Index, VN Index from August 10, 2017 to February 28, 2019, which is divided into three sub-periods (increase/decrease/recovery), the research verifies VN 30 Index Futures’ role of price discovery and information transmission by applying Vector Error Correction Model (VECM). Empirical findings show that there is a stable equilibrium relationship between the two series groups (including VN 30 Index Futures, VN 30 Index and VN 30 Index Futures and VN Index) during three sub-periods or spot and futures markets are integrated and synchronized. In particular, VN 30 Index Futures’ price discovery and information transmission are clearly seen when the market falls or does not change a lot.https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/12881/IMFI_2019_04_Nhung.pdfinformation transmissionprice discoveryspot futures interlinkagesVector Error Correction Model (VECM)Vietnam’s derivatives marketVN 30 Index Futures |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Nguyễn Thị Nhung Trần Thị Vân Anh Nguyễn Tố Nga Vương Thùy Linh Đinh Xuân Cường |
spellingShingle |
Nguyễn Thị Nhung Trần Thị Vân Anh Nguyễn Tố Nga Vương Thùy Linh Đinh Xuân Cường Price discovery and information transmission across stock index futures: evidence from VN 30 Index Futures on Vietnam’s stock market Investment Management & Financial Innovations information transmission price discovery spot futures interlinkages Vector Error Correction Model (VECM) Vietnam’s derivatives market VN 30 Index Futures |
author_facet |
Nguyễn Thị Nhung Trần Thị Vân Anh Nguyễn Tố Nga Vương Thùy Linh Đinh Xuân Cường |
author_sort |
Nguyễn Thị Nhung |
title |
Price discovery and information transmission across stock index futures: evidence from VN 30 Index Futures on Vietnam’s stock market |
title_short |
Price discovery and information transmission across stock index futures: evidence from VN 30 Index Futures on Vietnam’s stock market |
title_full |
Price discovery and information transmission across stock index futures: evidence from VN 30 Index Futures on Vietnam’s stock market |
title_fullStr |
Price discovery and information transmission across stock index futures: evidence from VN 30 Index Futures on Vietnam’s stock market |
title_full_unstemmed |
Price discovery and information transmission across stock index futures: evidence from VN 30 Index Futures on Vietnam’s stock market |
title_sort |
price discovery and information transmission across stock index futures: evidence from vn 30 index futures on vietnam’s stock market |
publisher |
LLC "CPC "Business Perspectives" |
series |
Investment Management & Financial Innovations |
issn |
1810-4967 1812-9358 |
publishDate |
2019-12-01 |
description |
The introduction of the first tradable stock index futures of VN 30 is a very good signal showing that Vietnam is starting to have a high-level financial market, which brings many expectations about sustainable and safe development of its stock market. However, risk concerns of this type of derivative products have been raising with many claims since then. This article aims to provide empirical evidences to show if futures trading plays important role of price discovery and information transmission for spot market. Using daily data collected about VN 30 Index Futures, VN 30 Index, VN Index from August 10, 2017 to February 28, 2019, which is divided into three sub-periods (increase/decrease/recovery), the research verifies VN 30 Index Futures’ role of price discovery and information transmission by applying Vector Error Correction Model (VECM). Empirical findings show that there is a stable equilibrium relationship between the two series groups (including VN 30 Index Futures, VN 30 Index and VN 30 Index Futures and VN Index) during three sub-periods or spot and futures markets are integrated and synchronized. In particular, VN 30 Index Futures’ price discovery and information transmission are clearly seen when the market falls or does not change a lot. |
topic |
information transmission price discovery spot futures interlinkages Vector Error Correction Model (VECM) Vietnam’s derivatives market VN 30 Index Futures |
url |
https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/12881/IMFI_2019_04_Nhung.pdf |
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