Study the Optimal Hedge Ratio in Exchange Rate and gold in developing and newfound financial Markets: Case Study of Tehran Stock Exchange and Istanbul
The main aim of this study is to investigate the possibility of hedging the risk of exchange rate fluctuations by using the gold future market and comparing the risk hedge in Tehran Exchange Stock as a developing financial market with the Istanbul Exchange stock as a newfound financial market. In or...
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| Format: | Article |
| Language: | fas |
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Semnan University
2018-03-01
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| Series: | مدلسازی اقتصادسنجی |
| Subjects: | |
| Online Access: | https://jem.semnan.ac.ir/article_3680_97c42a81507d975560acc0dbb366d790.pdf |
| _version_ | 1827342560410992640 |
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| author | Mohsen Mehrara Naser Elahi saeed Eslami Bidgoli Atefeh Shahabadi Farahani |
| author_facet | Mohsen Mehrara Naser Elahi saeed Eslami Bidgoli Atefeh Shahabadi Farahani |
| author_sort | Mohsen Mehrara |
| collection | DOAJ |
| description | The main aim of this study is to investigate the possibility of hedging the risk of exchange rate fluctuations by using the gold future market and comparing the risk hedge in Tehran Exchange Stock as a developing financial market with the Istanbul Exchange stock as a newfound financial market. In order to access the research goal, daily data from December 13, 2007 to April 30, 2018 was used for Iran and March 18,2013 to August 17,2018 used for turkey and the Markov-Switching Model was used. The results of this study showed that the coefficient of the future price of gold coins for zero regime (low swing) was 0/0013. For regime one (much swing), the future gold price coefficient was 0/0046. On the other hand, the results of this study showed that the coefficient for future changes in gold prices for the Istanbul Exchange in zero regime (low swing) was 0/00061 and for regime one (much swing), the coefficient of future price changes of gold was 0/0075 . |
| first_indexed | 2024-03-07T22:08:19Z |
| format | Article |
| id | doaj.art-91589a0def264a68bc5d6f4b2ed93ebd |
| institution | Directory Open Access Journal |
| issn | 2345-654X 2821-2150 |
| language | fas |
| last_indexed | 2024-03-07T22:08:19Z |
| publishDate | 2018-03-01 |
| publisher | Semnan University |
| record_format | Article |
| series | مدلسازی اقتصادسنجی |
| spelling | doaj.art-91589a0def264a68bc5d6f4b2ed93ebd2024-02-23T18:37:42ZfasSemnan Universityمدلسازی اقتصادسنجی2345-654X2821-21502018-03-013212110.22075/jem.2018.16015.12143680Study the Optimal Hedge Ratio in Exchange Rate and gold in developing and newfound financial Markets: Case Study of Tehran Stock Exchange and IstanbulMohsen Mehrara0Naser Elahi1saeed Eslami Bidgoli2Atefeh Shahabadi Farahani3Economic Department, University of TehranAssociate Professor, Mofid University Faculty MemberAssistant Professor, Faculty Member in Alame University saeed@eslamibidgoli.comStudent in PhD in economicsThe main aim of this study is to investigate the possibility of hedging the risk of exchange rate fluctuations by using the gold future market and comparing the risk hedge in Tehran Exchange Stock as a developing financial market with the Istanbul Exchange stock as a newfound financial market. In order to access the research goal, daily data from December 13, 2007 to April 30, 2018 was used for Iran and March 18,2013 to August 17,2018 used for turkey and the Markov-Switching Model was used. The results of this study showed that the coefficient of the future price of gold coins for zero regime (low swing) was 0/0013. For regime one (much swing), the future gold price coefficient was 0/0046. On the other hand, the results of this study showed that the coefficient for future changes in gold prices for the Istanbul Exchange in zero regime (low swing) was 0/00061 and for regime one (much swing), the coefficient of future price changes of gold was 0/0075 .https://jem.semnan.ac.ir/article_3680_97c42a81507d975560acc0dbb366d790.pdfthe optimal hedge ratiocash exchange ratefutures marketcross hedging markov-switching model |
| spellingShingle | Mohsen Mehrara Naser Elahi saeed Eslami Bidgoli Atefeh Shahabadi Farahani Study the Optimal Hedge Ratio in Exchange Rate and gold in developing and newfound financial Markets: Case Study of Tehran Stock Exchange and Istanbul مدلسازی اقتصادسنجی the optimal hedge ratio cash exchange rate futures market cross hedging markov-switching model |
| title | Study the Optimal Hedge Ratio in Exchange Rate and gold in developing and newfound financial Markets: Case Study of Tehran Stock Exchange and Istanbul |
| title_full | Study the Optimal Hedge Ratio in Exchange Rate and gold in developing and newfound financial Markets: Case Study of Tehran Stock Exchange and Istanbul |
| title_fullStr | Study the Optimal Hedge Ratio in Exchange Rate and gold in developing and newfound financial Markets: Case Study of Tehran Stock Exchange and Istanbul |
| title_full_unstemmed | Study the Optimal Hedge Ratio in Exchange Rate and gold in developing and newfound financial Markets: Case Study of Tehran Stock Exchange and Istanbul |
| title_short | Study the Optimal Hedge Ratio in Exchange Rate and gold in developing and newfound financial Markets: Case Study of Tehran Stock Exchange and Istanbul |
| title_sort | study the optimal hedge ratio in exchange rate and gold in developing and newfound financial markets case study of tehran stock exchange and istanbul |
| topic | the optimal hedge ratio cash exchange rate futures market cross hedging markov-switching model |
| url | https://jem.semnan.ac.ir/article_3680_97c42a81507d975560acc0dbb366d790.pdf |
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