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

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

MOHAMMADI AHMAD; SAVARI ZEINAB

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

Journal Paper

Paper Information

Journal: Iranian Journal of Economic Research Year:2018 | Volume:23 | Issue:74 Page(s): 59-95

Download Full-Text

Persian Verion

View:

711

Download:

Cites:

Information Journal Paper

Title

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

Author(s)

MOHAMMADI AHMAD | SAVARI ZEINAB | Issue Writer Certificate

Keywords

FUTURES CONTRACT MARKETQ1

SPOT MARKETQ1

VOLATILITY SPILLOVERSQ2

DYNAMIC CONDITIONAL CORRELATION MODELQ1

Abstract

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.

Cites

No record.

References

Cite

APA: Copy

MOHAMMADI, AHMAD, & SAVARI, ZEINAB. (2018). THE EFFECT OF GOLD COIN FUTURES ON THE SPOT MARKET VOLATILITY IN IRAN. IRANIAN ECONOMIC RESEARCH, 23(74 ), 59-95. SID. https://sid.ir/paper/2673/en

Vancouver: Copy

MOHAMMADI AHMAD, SAVARI ZEINAB. THE EFFECT OF GOLD COIN FUTURES ON THE SPOT MARKET VOLATILITY IN IRAN. IRANIAN ECONOMIC RESEARCH[Internet]. 2018;23(74 ):59-95. Available from: https://sid.ir/paper/2673/en

IEEE: Copy

AHMAD MOHAMMADI, and ZEINAB SAVARI, “THE EFFECT OF GOLD COIN FUTURES ON THE SPOT MARKET VOLATILITY IN IRAN,” IRANIAN ECONOMIC RESEARCH, vol. 23, no. 74 , pp. 59–95, 2018, [Online]. Available: https://sid.ir/paper/2673/en

Related Journal Papers