VN30 Futures Mispricing Research
Paper: “What Drives Futures Mispricing in a Frontier Market? Evidence from Vietnam’s VN30 Index Futures”
Solo Research Project — CFA, MBA, Engineer
Project Structure
Research Proposal
- Research Proposal v2 (Full) — Mispricing + Manipulation + Macro + Geopolitical
- Research Proposal v1 (Basic) — Original cost-of-carry only version
Literature
- Literature Map — Gap analysis & all existing VN30F papers
- Papers Full Text — 6 papers về VN30F (full text, ~47,000 từ)
Methodology Guides
- Cấu trúc Bài báo Q1 — Hướng dẫn chi tiết từng section
Data
- Data Sources — Tất cả URLs lấy data free
Research Questions
- RQ1: Mức độ mispricing VN30F so với cost-of-carry fair value?
- RQ2: Arbitrage boundary violations — upper vs. lower?
- RQ3: Manipulation evidence tại ngày đáo hạn?
- RQ4: Macro shocks & geopolitical panic giải thích mispricing?
8 Hypotheses
| # | Hypothesis | Group |
|---|---|---|
| H1 | Mispricing VN > developed markets (>75bp) | Measurement |
| H2 | Upper violations >> Lower (short-selling constraint) | Measurement |
| H3 | Mispricing giảm khi market mature | Measurement |
| H4 | Expiry-day mispricing spike (manipulation) | Manipulation |
| H5 | Abnormal volume + reversal at expiry | Manipulation |
| H6 | SBV rate changes → mispricing ↑ | Macro |
| H7 | USD/VND + foreign sell → mispricing ↑ | Macro |
| H8 | VIX + GPR → mispricing ↑ | Geopolitical |
Target
- Journal: Emerging Markets Review (Q1, Elsevier)
- Timeline: ~4-5 tháng đến submission