VIETNAM NATIONAL UNIVERSITY, HANOI
INTERNATIONAL SCHOOL
=============
NGUYEN MAU THE ANH
IMPORTANCE OF FUTURES AND OPTIONS
ON A STOCK INDEX AND THEIR STRATEGIC
USES IN OPTIMIZING PORTFOLIO
PERFORMANCE: EMPIRICAL EVIDENCE
FROM THE VN-INDEX
Program: Master of Financial Management
Code: 8340202
Supervisors: Dr. Tran Quang Tuyen
Hanoi - 2025
i
DECLARATION OF AUTHORSHIP
----------
I hereby declare that this thesis was carried out by myself under the
guidance and supervision of Dr Tran Quang Tuyen; and that the work
contained in it and the results in it are true by the author and have not violated
research ethics. The data and figures presented in this thesis are for analysis,
comments, and evaluations from various resources by my own work and have
been duly acknowledged in the reference part.
In addition, other comments, reviews, and data used by other authors
and organizations have been acknowledged and explicitly cited.
I will take full responsibility for any fraud detected in my thesis.
ACKNOWLEDGEMENT
First of all, I want to thank my academic supervisor, Dr. Tran Quang Tuyen,
for all the help, support, and helpful feedback he gave me while I was doing this
ii
research and writing this thesis. His knowledge and patience have helped and
inspired me a lot.
This thesis is more than just an academic project; it shows my deep interest
in financial analysis and the workings of capital markets. Over time, looking at
stocks has become more than just a basic or technical task for me. It's a way for
me to connect with the larger macroeconomy, learn about how investors act, and
help people make good but logical financial choices.
The idea of helping Vietnam's stock market become a more open, efficient,
and globally connected system is what drives me the most. There are exciting
opportunities for the Vietnamese stock market to grow and change in the future. I
want to help raise the standards of corporate governance, financial literacy, and
analytical rigor in our domestic market by continuing to do research and get
involved in practical work.
This thesis is a step in that direction, and I hope it helps Vietnam's capital
markets grow and support the country's long-term economic growth, even if only
a little bit.
I also want to thank the teachers and staff at Vietnam National University
International School (VNUIS) for giving me a stimulating academic environment
and the tools I needed to finish my studies.
I want to thank my friends and coworkers who helped me with both my
schoolwork and my feelings along the way. Your company made the difficult
times easier and the good times even better.
Finally, I want to thank my family for always loving, supporting, and
understanding me. Without their constant help, this thesis would not have been
possible.
TABLE OF CONTENTS
Declare of authorship
ii
iii
Acknowledgement
iii
Table of Contents
Summary
Abbreviations
Chapter I. Introduction
iv
v
vi
1.1. Context
1
1.2. Aims and objectives
3
1.3. Research questions
4
Chapter II. Literature Review
2.1. Review of previous studies
6
2.2. Review of theoretical background
2.3. Options pricing models
2.4. Gaps in literature
9
14
25
Chapter III. Research Methodology
3.1. Summary
3.2. Data and variable construction
3.3. Analytical Tools and Programming Environment
3.4. Executions
29
30
32
33
Chapter IV. Result and Analysis
4.1. Overview
4.2. Descriptive statistics
4.3. Performance evaluation
4.4. Regression analysis
4.5. Graphical analysis
4.6. Robustness checks
4.7. Stationarity checks
4.8. Portfolio testing results
4.9 Conclusion
38
38
40
41
44
45
46
47
49
References
52
iv
SUMMARY
In my master's study, I have investigated which derivative products could be considered
important when considering the effectiveness of managing a stock portfolio as a retail
investor or, more applicably, a fund manager. My research consists of VN-INDEX
trading data from January 3rd, 2024, to February 28th, 2025 (536 trading days). I used
linear regressions to test variables that have been used previously in the relevant
literature, based on modern portfolio theory, the Black-Scholes model, and price
discovery. Due to limitations in the VN-INDEX options data, this study employs a
simulated dataset spanning January 2023 to February 2025, calibrated using historical
VN-Index and VN30 futures parameters from Vietstock (2025). The simulation, based
on Geometric Brownian Motion (GBM), incorporates realistic market conditions, with
annualized volatility of 14.4% for the VN-Index, 16% for VN30 futures, and 34% for
VN30 options, reflecting their leveraged nature. The empirical evidence reveals that
VN30 futures offer higher annualized returns (~12.3%) compared to the VN-Index
(~10.5% returns), supporting their role in speculative strategies. VN30 options, with
lower returns (~3.0%), align with their use as hedging instruments. The Sharpe ratios
(0.47 for futures, 0.41 for VN-Index, and -0.029 for options) indicate modest risk-
adjusted performance, consistent with the early stage of Vietnam’s derivatives market.
Regression analysis, using OLS, shows a weak relationship between VN-Index returns
and derivatives (R² = 0.003, p > 0.05), likely due to low liquidity and the short history
of VN30 options. However, the negative coefficients for futures and options suggest
potential stabilizing effects, which may strengthen as the market matures. These findings
align with studies in other emerging markets, where derivatives initially have limited
impact but gain significance over time. Graphical analyses, such as time-series plots and
rolling Sharpe ratios, show that volatility is clustering and risk-adjusted returns are
getting better after July 2024. This suggests that the market is becoming more mature.
These results show that VN30 futures and options can improve the performance of a
portfolio by hedging and speculating, especially as trading volumes increase.
