VN30 Futures Mispricing Research Project
Paper: “What Drives Futures Mispricing in a Frontier Market? Evidence from Vietnam’s VN30 Index Futures” Author: Solo (CFA, MBA, Engineer) Target: Emerging Markets Review (Q1) or RIBAF (Q1) Status: Proposal complete → Next: Data collection
Project Structure
vn30-mispricing-research/
├── README.md ← This file
├── proposal/
│ ├── research-proposal-v2.md ← MAIN proposal (expanded: micro + manipulation + macro + geo)
│ └── research-proposal-v1-basic.md ← Original basic version
├── literature/
│ └── literature-map.md ← All papers found + gap analysis
├── data/ ← Raw & processed data (to be collected)
├── code/ ← Python scripts (to be written)
├── drafts/ ← Paper drafts
└── notes/
└── data-sources.md ← Where to get each dataset
Research Questions
- How large is VN30F mispricing vs. cost-of-carry?
- Do arbitrage bounds get violated? Upper vs. lower?
- Is there expiry-day manipulation evidence?
- Do macro shocks & geopolitical panic drive mispricing?
Next Steps
- Phase 1: Collect VN30F, VN30, interest rate, dividend, FX data
- Phase 2: Code mispricing calculation in Python
- Phase 3: Expiry-day anomaly analysis
- Phase 4: Regression models (4 nested models)
- Phase 5: Write paper
- Phase 6: Submit to Emerging Markets Review