THE EFFECTS OF MARGIN CHANGES ON THE FUTURES PRICES, TRADING VOLUME AND PRICE VOLATILITY IN IRAN MERCANTILE EXCHANGE GOLD COIN FUTURES CONTRACTS

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FALLAH JAVAD; GHAFARI FARHAD

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Journal: Journal of Economic Research and Policies Year:2015 | Volume:23 | Issue:73 Page(s): 25-52

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Title

THE EFFECTS OF MARGIN CHANGES ON THE FUTURES PRICES, TRADING VOLUME AND PRICE VOLATILITY IN IRAN MERCANTILE EXCHANGE GOLD COIN FUTURES CONTRACTS

Author(s)

FALLAH JAVAD | GHAFARI FARHAD | Issue Writer Certificate

Keywords

FUTURES CONTRACTQ2

MARGINSQ2

PRICEQ3

PRICE VOLATILITYQ2

TRADING VOLUMEQ2

Abstract

Supervisory institutes have paid a great attention to the use of margin as a control tool of excessive speculation in FUTURES CONTRACTs. This paper studied effects of margin changes on the futures PRICEs, TRADING VOLUME and PRICE volatility in Iran Mercantile Exchange (IME) using gold coin FUTURES CONTRACTs data from November 2008 to December 2014. We estimated a bivariate GARCH-M model to take account of the inter-relationships. According to our research and based on information of FUTURES CONTRACTs market of Bahar-e-Azadi gold coin in IME, we concluded that any increase in margin leads to PRICE decrease. Our estimated model showed that any increase of margin resulted to the more volatility of futures PRICEs. Also, more amount of margin leads to reduction of TRADING VOLUME.

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APA: Copy

FALLAH, JAVAD, & GHAFARI, FARHAD. (2015). THE EFFECTS OF MARGIN CHANGES ON THE FUTURES PRICES, TRADING VOLUME AND PRICE VOLATILITY IN IRAN MERCANTILE EXCHANGE GOLD COIN FUTURES CONTRACTS. JOURNAL OF ECONOMIC RESEARCH AND POLICIES, 23(73), 25-52. SID. https://sid.ir/paper/89550/en

Vancouver: Copy

FALLAH JAVAD, GHAFARI FARHAD. THE EFFECTS OF MARGIN CHANGES ON THE FUTURES PRICES, TRADING VOLUME AND PRICE VOLATILITY IN IRAN MERCANTILE EXCHANGE GOLD COIN FUTURES CONTRACTS. JOURNAL OF ECONOMIC RESEARCH AND POLICIES[Internet]. 2015;23(73):25-52. Available from: https://sid.ir/paper/89550/en

IEEE: Copy

JAVAD FALLAH, and FARHAD GHAFARI, “THE EFFECTS OF MARGIN CHANGES ON THE FUTURES PRICES, TRADING VOLUME AND PRICE VOLATILITY IN IRAN MERCANTILE EXCHANGE GOLD COIN FUTURES CONTRACTS,” JOURNAL OF ECONOMIC RESEARCH AND POLICIES, vol. 23, no. 73, pp. 25–52, 2015, [Online]. Available: https://sid.ir/paper/89550/en

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