Expiration-Day Effects of Index Futures in a Frontier Market: The Case of Ho Chi Minh Stock Exchange

This study employs OLS, GARCH and EGARCH regression models to test the expiration-day effects of index stock futures on market returns, volatility trading volume for Ho Chi Minh Stock Exchange (HOSE). Data used in this is from a daily return series VN30-Index period 10August 2017 through 30 June 2020. The results derived GARCH(1,1) EGARCH(1,1) consistently confirm that Index returns exists HOSE. Specifically, average expiration days significantly lower than other days, by 0.13% at 5% level significance. However, obtained indicate has no impact volume.