Margin Variations Effect on Gold Coin Futures Market in Iran Mercantile Exchange
<strong>Objective</strong>: Margin in derivatives markets, such as futures markets, is used as a means of controlling the risk of future prospective obligations. On the other hand, margin is regarded as trading expenses and as one of the factors influencing futures market. <br />&l...
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| Format: | Article |
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University of Tehran
2018-06-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_67699_8f108ad3eccac682d92b77e39548d3f2.pdf |
| _version_ | 1818544907705384960 |
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| author | Moslem Pymani Amirhossein Erzae Farnaz Seifi |
| author_facet | Moslem Pymani Amirhossein Erzae Farnaz Seifi |
| author_sort | Moslem Pymani |
| collection | DOAJ |
| description | <strong>Objective</strong>: Margin in derivatives markets, such as futures markets, is used as a means of controlling the risk of future prospective obligations. On the other hand, margin is regarded as trading expenses and as one of the factors influencing futures market. <br /><strong>Methods</strong>: Accordingly, in this paper, the effect of margin changes on futures contracts has been studied regarding Iran mercantile exchange in terms of return, risk and liquidity from 2016 to 2017. To do so, three approaches were used: estimating separate equations, seemingly unrelated equations and vector auto regression along with impulse response analysis. <br /><strong>Results</strong>:Based on the results, margin changes had a significant effect on returns and liquidity, but no significant effect on volatility. Also, the effects of margin change shocks on all three variables of return, volatility and liquidity were not stable, and more specifically the rate of damping of this effect on liquidity is less than the effect on the other variables. <br /><strong>Conclusion</strong>: In other word, margin changes affect futures market return and liquidity, yet this is not a stable effect. These results can be helpful for futures market policy makers and investors. |
| first_indexed | 2024-12-11T22:54:35Z |
| format | Article |
| id | doaj.art-9e54fc6abe1943f690f0b0d65bf62b0d |
| institution | Directory Open Access Journal |
| issn | 1024-8153 2423-5377 |
| language | fas |
| last_indexed | 2024-12-11T22:54:35Z |
| publishDate | 2018-06-01 |
| publisher | University of Tehran |
| record_format | Article |
| series | تحقیقات مالی |
| spelling | doaj.art-9e54fc6abe1943f690f0b0d65bf62b0d2022-12-22T00:47:17ZfasUniversity of Tehranتحقیقات مالی1024-81532423-53772018-06-0120221122610.22059/frj.2018.259452.100667267699Margin Variations Effect on Gold Coin Futures Market in Iran Mercantile ExchangeMoslem Pymani0Amirhossein Erzae1Farnaz Seifi2Assistant Prof., Finance and Banking Department, Faculty of Management and Accounting, University of Allameh Tabataba'i, Tehran, IranAssistant Prof, Finance and Banking Department, Faculty of Management and Accounting, University of Allameh Tabataba'i, Tehran, IranMSc. Student of Finance, Faculty of Management and Accounting, University of Allameh Tabataba'i, Tehran, Iran<strong>Objective</strong>: Margin in derivatives markets, such as futures markets, is used as a means of controlling the risk of future prospective obligations. On the other hand, margin is regarded as trading expenses and as one of the factors influencing futures market. <br /><strong>Methods</strong>: Accordingly, in this paper, the effect of margin changes on futures contracts has been studied regarding Iran mercantile exchange in terms of return, risk and liquidity from 2016 to 2017. To do so, three approaches were used: estimating separate equations, seemingly unrelated equations and vector auto regression along with impulse response analysis. <br /><strong>Results</strong>:Based on the results, margin changes had a significant effect on returns and liquidity, but no significant effect on volatility. Also, the effects of margin change shocks on all three variables of return, volatility and liquidity were not stable, and more specifically the rate of damping of this effect on liquidity is less than the effect on the other variables. <br /><strong>Conclusion</strong>: In other word, margin changes affect futures market return and liquidity, yet this is not a stable effect. These results can be helpful for futures market policy makers and investors.https://jfr.ut.ac.ir/article_67699_8f108ad3eccac682d92b77e39548d3f2.pdffutures contractgold coinsmargin |
| spellingShingle | Moslem Pymani Amirhossein Erzae Farnaz Seifi Margin Variations Effect on Gold Coin Futures Market in Iran Mercantile Exchange تحقیقات مالی futures contract gold coins margin |
| title | Margin Variations Effect on Gold Coin Futures Market in Iran Mercantile Exchange |
| title_full | Margin Variations Effect on Gold Coin Futures Market in Iran Mercantile Exchange |
| title_fullStr | Margin Variations Effect on Gold Coin Futures Market in Iran Mercantile Exchange |
| title_full_unstemmed | Margin Variations Effect on Gold Coin Futures Market in Iran Mercantile Exchange |
| title_short | Margin Variations Effect on Gold Coin Futures Market in Iran Mercantile Exchange |
| title_sort | margin variations effect on gold coin futures market in iran mercantile exchange |
| topic | futures contract gold coins margin |
| url | https://jfr.ut.ac.ir/article_67699_8f108ad3eccac682d92b77e39548d3f2.pdf |
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