THE RELATIONSHIP BETWEEN SPOT AND FUTURE GOLD COIN PRICES IN IRAN

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MEHRARA MOHSEN; NAEBI FATEMEH

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: Financial Economics Year:2014 | Volume:8 | Issue:29 Page(s): 71-87

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Information Journal Paper

Title

THE RELATIONSHIP BETWEEN SPOT AND FUTURE GOLD COIN PRICES IN IRAN

Author(s)

MEHRARA MOHSEN | NAEBI FATEMEH | Issue Writer Certificate

Keywords

CAUSAL RELATIONSHIPQ3

BAYESIANQ2

VAR APPROACHQ2

FUTURESQ2

WEIGHTED AVERAGE OF CONTRACT PRICES WITH DIFFERENT MATURITIESQ2

Abstract

In this paper we evaluate the relationship between spot and future gold coin prices, by using various econometric methods, which is covered by daily data from 11/25/2008 to 10/17/2012. Method which has been used to build the time series of future prices is WEIGHTED AVERAGE OF CONTRACT PRICES WITH DIFFERENT MATURITIES. This method allows maintaining a continuity of data.The results show that there is a bilateral CAUSAL RELATIONSHIP between spot and future gold coin prices in short- run and long-run. Moreover, instantaneous CAUSAL RELATIONSHIP between these two markets is confirmed. Impulse- Response function, based on ECM and BAYESIAN – VAR APPROACH, shows that each market shock affects other market. Results of this study are of interest for different groups of market participant: market makers, speculators and regulatory athority.

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APA: Copy

MEHRARA, MOHSEN, & NAEBI, FATEMEH. (2014). THE RELATIONSHIP BETWEEN SPOT AND FUTURE GOLD COIN PRICES IN IRAN. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 8(29), 71-87. SID. https://sid.ir/paper/229028/en

Vancouver: Copy

MEHRARA MOHSEN, NAEBI FATEMEH. THE RELATIONSHIP BETWEEN SPOT AND FUTURE GOLD COIN PRICES IN IRAN. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2014;8(29):71-87. Available from: https://sid.ir/paper/229028/en

IEEE: Copy

MOHSEN MEHRARA, and FATEMEH NAEBI, “THE RELATIONSHIP BETWEEN SPOT AND FUTURE GOLD COIN PRICES IN IRAN,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 8, no. 29, pp. 71–87, 2014, [Online]. Available: https://sid.ir/paper/229028/en

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