Study the Optimal Hedge Ratio in Exchange Rate and gold in developing and developed financial Markets: Case Study of Tehran Stock Exchange and Europe

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Shahabadi Farahani Atefeh; Khodaverdi Omid; Molabeigi Jalal

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Journal: Financial Economics Year:2020 | Volume:14 | Issue:52 Page(s): 129-151

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Title

Study the Optimal Hedge Ratio in Exchange Rate and gold in developing and developed financial Markets: Case Study of Tehran Stock Exchange and Europe

Author(s)

Shahabadi Farahani Atefeh | Khodaverdi Omid | Molabeigi Jalal | Issue Writer Certificate

Keywords

Optimal Hedge RatioQ2

Cash Exchange RateQ1

Futures MarketQ1

Abstract

The main aim of this study is to investigate the possibility of hedging the risk of exchange rate fluctuations by using the gold future market and comparing the risk hedge in Tehran Exchange Stock as a developing financial market with the Istanbul Exchange stock as a newfound financial market. In order to access the research goal, daily data from December 13, 2007 to April 30, 2018 was used for Iran, Europe and the Markov-Switching Model was used. The results of this study showed that the coefficient of the future price of gold coins for zero regime (low swing) was 0/0013. For regime one (much swing), the future gold price coefficient was 0/0046. On the other hand, the results of this study showed that the coefficient for future changes in gold prices for the Europe Exchange in zero regime was meaningless and for regime one0. 00039 was obtained.

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APA: Copy

Shahabadi Farahani, Atefeh, Khodaverdi, Omid, & Molabeigi, Jalal. (2020). Study the Optimal Hedge Ratio in Exchange Rate and gold in developing and developed financial Markets: Case Study of Tehran Stock Exchange and Europe. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 14(52 ), 129-151. SID. https://sid.ir/paper/372126/en

Vancouver: Copy

Shahabadi Farahani Atefeh, Khodaverdi Omid, Molabeigi Jalal. Study the Optimal Hedge Ratio in Exchange Rate and gold in developing and developed financial Markets: Case Study of Tehran Stock Exchange and Europe. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2020;14(52 ):129-151. Available from: https://sid.ir/paper/372126/en

IEEE: Copy

Atefeh Shahabadi Farahani, Omid Khodaverdi, and Jalal Molabeigi, “Study the Optimal Hedge Ratio in Exchange Rate and gold in developing and developed financial Markets: Case Study of Tehran Stock Exchange and Europe,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 14, no. 52 , pp. 129–151, 2020, [Online]. Available: https://sid.ir/paper/372126/en

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