The Effect of Trade Volume, Time-to-Maturity and Open Interest on the Return of Gold Coid Future Trades

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Mirzadeh Fatemeh; Heidarzadeh Hanzaee Alireza; SAEEDI ALI

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Journal Paper

Paper Information

Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2020 | Volume:4 | Issue:4 (27) Page(s): 49-62

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Title

The Effect of Trade Volume, Time-to-Maturity and Open Interest on the Return of Gold Coid Future Trades

Author(s)

Mirzadeh Fatemeh | Heidarzadeh Hanzaee Alireza | SAEEDI ALI | Issue Writer Certificate

Keywords

Futures contracts Contract VolumesQ1

Open InterestQ1

Time-to-MaturityQ2

Future Trading ReturnsQ1

Abstract

Objectives: The main purpose of this research is to study the effect of trade volumes, Open positions and Time to maturity on Future Trading Returns of Gold Coin in Iran Mercantile Exchange. In this research, contract volumes, open positions and time to maturity are the independent variables and the return of contracts is the dependent variable. Method: Considering the subject, statistical population includes 15 samples of future contracts on Gold coin in Iran Mercantile Exchange. The research data has been gathered among the listed future contracts on with maturity data of 2013 and 2014. The linear Regression with fixed effects has been used to test the assumptions. Results: The results have revealed that there is a leaner relationship between the effects of Time-to-Maturity and the returns of future contracts, and there is no significant linear relationship between the volume and number of Open positions and the return of future contracts.

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APA: Copy

Mirzadeh, Fatemeh, Heidarzadeh Hanzaee, Alireza, & SAEEDI, ALI. (2020). The Effect of Trade Volume, Time-to-Maturity and Open Interest on the Return of Gold Coid Future Trades. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 4(4 (27) ), 49-62. SID. https://sid.ir/paper/245726/en

Vancouver: Copy

Mirzadeh Fatemeh, Heidarzadeh Hanzaee Alireza, SAEEDI ALI. The Effect of Trade Volume, Time-to-Maturity and Open Interest on the Return of Gold Coid Future Trades. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2020;4(4 (27) ):49-62. Available from: https://sid.ir/paper/245726/en

IEEE: Copy

Fatemeh Mirzadeh, Alireza Heidarzadeh Hanzaee, and ALI SAEEDI, “The Effect of Trade Volume, Time-to-Maturity and Open Interest on the Return of Gold Coid Future Trades,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 4, no. 4 (27) , pp. 49–62, 2020, [Online]. Available: https://sid.ir/paper/245726/en

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