THE CORRELATION OF THE VOLATILITY OF FUTURE MARKET AND STOCK MARKET – A STUDY IN VIETNAM WITH 2 STAGES: COVID-19, AND GEOPOLITICS – UKRAINE INVASION

Abstract

Since the Vietnamese derivatives market was established, futures contracts as the representative financial instrument trading in the derivatives market. The research investigates the correlation between the spot market and the futures markets in Vietnam in which VN30 and VN30 Futures Index was chosen as research sample. Additionally, the deposit interest rate with different terms was also involved to declare the correlation between these two markets. The ARMA/GARCH model was employed to examine the volatility of the spot market, futures market, and the deposit interest rate (overnight, spot week, one – month, three – month, six – month, nine – month). The VAR model was employed next step to explore the correlation as well as the impact on each other. The results indicate that the tight relationship between the futures and the spot market while a negative relationship between the deposit interest rate and the spot/future market was found. Especially, the examining term has been divided into 2 special stages: the Global Health Crisis (Covid-19: 2020-2021) and the Geopolitics – Ukraine invasion (2022 – present) to clearly observe the correlation among three research factors.