Nguyen Thi Kim Anh; Loc Dong Truong; Friday, H. S. - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-12
This study employs OLS, GARCH and EGARCH regression models to test the expiration-day effects of index stock futures on market returns, volatility and trading volume for the Ho Chi Minh Stock Exchange (HOSE). Data used in this study is from a daily return series of the VN30-Index for the period...
