This study investigates the impact of Index future expiration-day on market returns and volatility in Vietnam. Data used in this study is a daily series of VN30-Index over the period from August 10th, 2017 to June 30th, 2020. To test for the presence of Index future expiration-day effects on market returns and volatility, a set of regression models are employed. The results derived from GARCH(1,1) and EGARCH(1,1) models consistently confirm that the Index future expiration-day effect on the market return is present in Ho Chi Minh stock exchange (HOSE). Specifically, the average market return for expiration-days is significantly lower than other trading days. However, the results obtained from the regression models indicate that the Index future expiration-day has no impact on the market volatility.