The Effect of Gold Coin Futures on the Spot Market Volatility in Iran
After the unprecedented volatility of gold coin prices over the past years in Iran, there has been a growing concern among academic and policy makers about the potential role of gold coin futures contract in this regard. This paper investigates the impact of gold futures contract on the respective s...
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2018-03-01
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| Series: | فصلنامه پژوهشهای اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_8826_0c778369ca022bba27e4b7a4b1d98597.pdf |
| _version_ | 1797369344506724352 |
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| author | Ahmad Mohammadi Zeinab Savari |
| author_facet | Ahmad Mohammadi Zeinab Savari |
| author_sort | Ahmad Mohammadi |
| collection | DOAJ |
| description | After the unprecedented volatility of gold coin prices over the past years in Iran, there has been a growing concern among academic and policy makers about the potential role of gold coin futures contract in this regard. This paper investigates the impact of gold futures contract on the respective spot market in Iran. For this purpose, two approaches have been used. In the first approach (volatility spillovers approach), a DCC-GARCH-VECM model has been employed for studying the volatility spillovers between gold coin spot and futures markets over the period November 2013- June 2015. In the second approach (dummy variable approach), the impact of the introduction of gold coin futures contract on the spot market has been analyzed using a simple GARCH model. The model is estimated by using daily spot and futures prices of gold coin in the period June 2006- June 2015. The results show that the introduction of futures contact has not affected the volatility of the spot market. Moreover, the volatility transmission is from the spot market to the futures market meaning that spot market shocks increase futures market volatility, not vice versa. Furthermore, the results show that economic sanctions against Iran have had a significant effect on the volatility of the spot market. The results are consistent with basic characteristics of the futures market in Iran: it is in the early stages of its development and its size, in comparison to the spot market, is small. Therefore it is acceptable to see that the volatility is transmitted from the spot market to the futures market. |
| first_indexed | 2024-03-08T17:45:24Z |
| format | Article |
| id | doaj.art-e2865633ca4847d7a418f742fabaf58e |
| institution | Directory Open Access Journal |
| issn | 1726-0728 2476-6445 |
| language | fas |
| last_indexed | 2024-03-08T17:45:24Z |
| publishDate | 2018-03-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | فصلنامه پژوهشهای اقتصادی ایران |
| spelling | doaj.art-e2865633ca4847d7a418f742fabaf58e2024-01-02T10:29:27ZfasAllameh Tabataba'i University Pressفصلنامه پژوهشهای اقتصادی ایران1726-07282476-64452018-03-012374599510.22054/ijer.2018.88268826The Effect of Gold Coin Futures on the Spot Market Volatility in IranAhmad Mohammadi0Zeinab Savari1Assistant Professor of Economics, University of Kurdistan, Sanandaj, Kurdistan, IranM.A. in Economics, University of Kurdistan, Sanandaj, Kurdistan, Iran.After the unprecedented volatility of gold coin prices over the past years in Iran, there has been a growing concern among academic and policy makers about the potential role of gold coin futures contract in this regard. This paper investigates the impact of gold futures contract on the respective spot market in Iran. For this purpose, two approaches have been used. In the first approach (volatility spillovers approach), a DCC-GARCH-VECM model has been employed for studying the volatility spillovers between gold coin spot and futures markets over the period November 2013- June 2015. In the second approach (dummy variable approach), the impact of the introduction of gold coin futures contract on the spot market has been analyzed using a simple GARCH model. The model is estimated by using daily spot and futures prices of gold coin in the period June 2006- June 2015. The results show that the introduction of futures contact has not affected the volatility of the spot market. Moreover, the volatility transmission is from the spot market to the futures market meaning that spot market shocks increase futures market volatility, not vice versa. Furthermore, the results show that economic sanctions against Iran have had a significant effect on the volatility of the spot market. The results are consistent with basic characteristics of the futures market in Iran: it is in the early stages of its development and its size, in comparison to the spot market, is small. Therefore it is acceptable to see that the volatility is transmitted from the spot market to the futures market.https://ijer.atu.ac.ir/article_8826_0c778369ca022bba27e4b7a4b1d98597.pdffutures contract marketspot marketvolatility spilloversdynamic conditional correlation model |
| spellingShingle | Ahmad Mohammadi Zeinab Savari The Effect of Gold Coin Futures on the Spot Market Volatility in Iran فصلنامه پژوهشهای اقتصادی ایران futures contract market spot market volatility spillovers dynamic conditional correlation model |
| title | The Effect of Gold Coin Futures on the Spot Market Volatility in Iran |
| title_full | The Effect of Gold Coin Futures on the Spot Market Volatility in Iran |
| title_fullStr | The Effect of Gold Coin Futures on the Spot Market Volatility in Iran |
| title_full_unstemmed | The Effect of Gold Coin Futures on the Spot Market Volatility in Iran |
| title_short | The Effect of Gold Coin Futures on the Spot Market Volatility in Iran |
| title_sort | effect of gold coin futures on the spot market volatility in iran |
| topic | futures contract market spot market volatility spillovers dynamic conditional correlation model |
| url | https://ijer.atu.ac.ir/article_8826_0c778369ca022bba27e4b7a4b1d98597.pdf |
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