DETERMINATION OF AGRICULTURAL FUTURES CONTRACTS SPECIFICATIONS IN IRAN

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HOSSEINI YEKANI A.; ZIBAEI M.

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Paper Information

Journal: AGRICULTURAL ECONOMICS: IRANIAN JOURNAL OF AGRICULTURAL ECONOMICS (ECONOMICS AND AGRICULTURE JOURNAL) Year:2007 | Volume:1 | Issue:3 (SELECTED PAPERS OF THE 6TH IRANIAN CONFERENCE ON AGRICULTURAL ECONOMICS) Page(s): 125-138

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Title

DETERMINATION OF AGRICULTURAL FUTURES CONTRACTS SPECIFICATIONS IN IRAN

Author(s)

HOSSEINI YEKANI A. | ZIBAEI M. | Issue Writer Certificate

Keywords

FUTURES CONTRACTS SPECIFICATIONSQ3

CASH SETTLEMENT INDEXQ3

EXPIRATION INTERVALQ3

GARCH MODELQ2

AGRICULTURAL COMMODITY EXCHANGEQ2

IRANQ2

Abstract

Optimal design of agricultural FUTURES CONTRACTS SPECIFICATIONS has an undeniable role in success or failure of these contracts. This paper investigates the effects of the changing EXPIRATION INTERVAL on the behavior of the futures prices of the agricultural products, for determining the best length of the averaging period for futures contract's settlement. In this study, the choice of EXPIRATION INTERVAL of com futures contracts has been concerned, because of high level of traded spot contracts in IRAN AGRICULTURAL COMMODITY EXCHANGE (IACE). By this purpose, first, a CASH SETTLEMENT INDEX has been introduced and identified in order to calculating the futures prices. The com trading data on IACE and traditional market in the period of 9/11/2005 to 19/3/2007 are used to calculating this index. Next, in order to determining the best EXPIRATION INTERVAL, a GARCH (1, 1) model has been applied to estimate the conditional volatility structure of calculated futures prices, in different scenarios. The results show that increasing the EXPIRATION INTERVAL leads to decreasing the volatility and increasing the level of com futures prices. Therefore, the choice of lengthy EXPIRATION INTERVALs causes to increasing hedging performance and hence induces com producers and speculators to contribute in the futures market.

Cites

DETERMINATION OF FEASIBLE COMMODITIES FOR FUTURES TRADING (A STUDY OF IRANIAN AGRICULTURAL COMMODITIES)

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APA: Copy

HOSSEINI YEKANI, A., & ZIBAEI, M.. (2007). DETERMINATION OF AGRICULTURAL FUTURES CONTRACTS SPECIFICATIONS IN IRAN. AGRICULTURAL ECONOMICS: IRANIAN JOURNAL OF AGRICULTURAL ECONOMICS (ECONOMICS AND AGRICULTURE JOURNAL), 1(3 (SELECTED PAPERS OF THE 6TH IRANIAN CONFERENCE ON AGRICULTURAL ECONOMICS)), 125-138. SID. https://sid.ir/paper/124555/en

Vancouver: Copy

HOSSEINI YEKANI A., ZIBAEI M.. DETERMINATION OF AGRICULTURAL FUTURES CONTRACTS SPECIFICATIONS IN IRAN. AGRICULTURAL ECONOMICS: IRANIAN JOURNAL OF AGRICULTURAL ECONOMICS (ECONOMICS AND AGRICULTURE JOURNAL)[Internet]. 2007;1(3 (SELECTED PAPERS OF THE 6TH IRANIAN CONFERENCE ON AGRICULTURAL ECONOMICS)):125-138. Available from: https://sid.ir/paper/124555/en

IEEE: Copy

A. HOSSEINI YEKANI, and M. ZIBAEI, “DETERMINATION OF AGRICULTURAL FUTURES CONTRACTS SPECIFICATIONS IN IRAN,” AGRICULTURAL ECONOMICS: IRANIAN JOURNAL OF AGRICULTURAL ECONOMICS (ECONOMICS AND AGRICULTURE JOURNAL), vol. 1, no. 3 (SELECTED PAPERS OF THE 6TH IRANIAN CONFERENCE ON AGRICULTURAL ECONOMICS), pp. 125–138, 2007, [Online]. Available: https://sid.ir/paper/124555/en

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