Literature Map — VN30 Futures Mispricing Research
Existing Papers on VN30F (6 papers found)
| # | Authors | Year | Title | Journal | Focus | Mispricing? |
|---|
| 1 | Nguyen T.N. et al. | 2019 | Price discovery and information transmission VN30F | IMFI | Price discovery (VECM) | ❌ |
| 2 | MDPI | 2021 | Impact of introduction of index futures | MDPI Finance | Returns impact | ❌ |
| 3 | Do H.P. et al. | 2021 | Arbitrage with ETF E1VFVN30 | ECECSR | ETF arb (not futures) | ⚠️ ETF only |
| 4 | Pacific-Basin | 2022 | Effect of futures trading on liquidity | PBFJ (Q1) | Liquidity | ❌ |
| 5 | ResearchGate | 2023 | Volatility correlation futures vs. spot | RG | Volatility | ❌ |
| 6 | Nguyen T.H.T. et al. | 2026 | Random walk and unbiasedness VN30F | RGCFMI | Market efficiency | ⚠️ Closest |
Key Global Benchmarks
| Authors | Year | Market | Mispricing (bp) | Journal |
|---|
| Cornell & French | 1983 | S&P 500 | First study | JFM |
| MacKinlay & Ramaswamy | 1988 | S&P 500 | ~20-75bp | RFS (Top) |
| Yadav & Pope | 1994 | FTSE 100 | ~60-100bp | JBF |
| Białkowski & Jakubowski | 2008 | Poland (WIG20) | Significant | IRFA |
| Samarakoon et al. | 2025 | 16 global markets | Emerging > Developed | BIR |
| Wu | 2025 | China (CSI 300) | Fractal model | AIMS QFE |
GAP: Nobody has studied cost-of-carry mispricing for VN30F
Key search queries used (2026-04-15)
- “VN30 futures mispricing arbitrage Vietnam derivatives”
- “VN30 index futures pricing Vietnam stock market”
- “Vietnam derivatives market research academic paper”
- “VN30 futures basis premium discount Vietnam pricing efficiency”
- “futures mispricing 75 basis points index futures cost of carry”
- “index futures mispricing basis points emerging market cost of carry”
- “MacKinlay Ramaswamy 1988 index arbitrage profitability”