Random walk and unbiasedness in emerging derivatives markets: The risk governance approach

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Abstract

This study examines the efficiency of the VN30 futures market in Vietnam, an emerging derivatives market, focusing on the random walk hypothesis and the unbiasedness hypothesis. Using daily opening and closing price data from August 17, 2017, to April 1, 2025 (1,905 observations), the study employs econometric methods, including autocorrelation test (Ljung-Box Q-statistics), unit root test (augmented Dickey-Fuller (ADF) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) tests), runs test, variance ratio test (Lo & MacKinlay, 1988), and Johansen cointegration test (Johansen, 1988; Johansen & Juselius, 1990) to test the above two hypotheses. The results show that VN30 futures prices follow a random walk, with negligible autocorrelation, non-stationary prices but stationary returns, and variance ratios close to 1, supporting weak-form efficiency. The Johansen test confirms cointegration between futures and spot prices, with trace statistics exceeding critical values, demonstrating the Unbiasedness Hypothesis and the price discovery role of the market. These results suggest that the Vietnamese futures market demonstrates weak-form efficiency and plays a crucial role in price discovery. The findings add to the limited literature on Vietnam’s derivatives market and offer practical insights for investors, traders, and policymakers in developing effective investment and hedging strategies.

Keywords: Derivatives Market, Efficiency, Random Walk Hypothesis, Unbiasedness Hypothesis, Risk Governance, Vietnam

Authors’ individual contribution: Conceptualization — N.A.P.; Methodology — T.A.D.; Validation — T.A.D.; Investigation — T.A.D.; Writing — Original Draft — T.H.T.N. and T.A.D.; Writing — Review & Editing — N.A.P.; Supervision — T.H.T.N. and N.A.P.; Funding Acquisition — T.H.T.N.

Declaration of conflicting interests: The Authors declare that there is no conflict of interest.

JEL Classification: C22, C58, G13, G14, G15

Received: 22.08.2025
Revised: 30.11.2025; 25.12.2025
Accepted: 12.01.2026
Published online: 15.01.2026

How to cite this paper: Nguyen, T. H. T., Pham, N. A., & Do, T. A. (2026). Random walk and unbiasedness in emerging derivatives markets: The risk governance approach. Risk Governance and Control: Financial Markets & Institutions, 16(1), 58–66. https://doi.org/10.22495/rgcv16i1p5