THE RELATIONSHIP BETWEEN FUTURES AND CASH MARKET PRICE OF GOLD COINS

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FAKARI B.; MIRZAPOUR A.; SIAMI A.; KOJOURI M.

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Journal Paper

Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2014 | Volume:7 | Issue:22 Page(s): 93-107

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Information Journal Paper

Title

THE RELATIONSHIP BETWEEN FUTURES AND CASH MARKET PRICE OF GOLD COINS

Author(s)

FAKARI B. | MIRZAPOUR A. | SIAMI A. | KOJOURI M. | Issue Writer Certificate

Keywords

FUTURES MARKETQ3

GARCHQ3

GOLD COINSQ3

MULTIPLE REGRESSIONQ3

VARQ3

Abstract

The aim of this study is to investigate the relationship between spot and futures price of GOLD COINS in Iran and how market information spread between these markets, and analysis between changes in cash and futures price volatility is the daily GOLD COINS. Daily data for the future price of GOLD COINS collected in 2012 from Iran Mercantile Exchange, has been used. To examine the relationship between spot price and futures price of GOLD COINS MULTIPLE REGRESSION models, vector Autoregressive, GARCH and Granger causality test is used. The results showed that changes in futures and spot coin price does not have a significant relation in the VAR model and MULTIPLE REGRESSION, But the spot and futures price volatility have an effective relationship. Granger causality tests also showed there is a relation from the spot price to the futures price changes. But the spot price and futures price volatility results indicate that this is Duplex relationship between markets, there is information flow between the two markets as a perfect.

Cites

THE EFFECT OF GOLD COIN FUTURES ON THE SPOT MARKET VOLATILITY IN IRAN

References

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APA: Copy

FAKARI, B., MIRZAPOUR, A., SIAMI, A., & KOJOURI, M.. (2014). THE RELATIONSHIP BETWEEN FUTURES AND CASH MARKET PRICE OF GOLD COINS. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 7(22), 93-107. SID. https://sid.ir/paper/200145/en

Vancouver: Copy

FAKARI B., MIRZAPOUR A., SIAMI A., KOJOURI M.. THE RELATIONSHIP BETWEEN FUTURES AND CASH MARKET PRICE OF GOLD COINS. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2014;7(22):93-107. Available from: https://sid.ir/paper/200145/en

IEEE: Copy

B. FAKARI, A. MIRZAPOUR, A. SIAMI, and M. KOJOURI, “THE RELATIONSHIP BETWEEN FUTURES AND CASH MARKET PRICE OF GOLD COINS,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 7, no. 22, pp. 93–107, 2014, [Online]. Available: https://sid.ir/paper/200145/en

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