Structural Modeling of the Factors Affecting the Formation of a Currency Derivatives Market in the Iran Mercantile Exchange
Subject Areas :Hooman Samadzadeh 1 , Parviz Saeedi 2 , مریم بخارائیان 3
1 -
2 - Professor, Department of Management and Accounting, Aliabad Katoul Branch, Islamic AzadUniversity, Aliabad Katoul, Iran.
3 - دکترای حسابداری،واحد گرگان، دانشگاه آزاد اسلامی ،گرگان،ایران
Keywords: Currency Derivatives Market, Currency Risk Hedging, Financial Derivative Instruments, Iran Mercantile Exchange, Structural Equation Modeling (SEM),
Abstract :
The present study aims to structurally model the factors affecting the formation of a currency derivatives market in the Iran Mercantile Exchange. This research is applied-descriptive in nature and follows a quantitative approach, seeking to design an empirical model based on field data analysis. The statistical population consisted of 384 capital market participants—including traders, portfolio managers, financial analysts, and market regulators—selected through simple random sampling. The data collection instrument was a researcher-made questionnaire, developed based on the initial conceptual framework and qualitative findings. Its validity was assessed through face validity, convergent validity, and discriminant validity. Furthermore, its reliability was confirmed using Cronbach’s alpha and internal consistency indicators.
Data were analyzed using Partial Least Squares Structural Equation Modeling (PLS-SEM) with the SmartPLS software. The final model structure included six core categories—causal conditions, central category, contextual factors, intervening factors, strategies, and outcomes—comprising 19 constructs and 67 measurement items. The results of the path analysis indicated that all relationships between the main variables of the model were statistically significant, and model fit indices were within acceptable ranges. The findings suggest that factors such as strengthening institutional market infrastructure, enhancing investors' financial literacy, developing financial derivative instruments, and establishing supportive legal frameworks play a key role in the formation of a currency derivatives market in Iran.
BIS. (2021). Annual Economic Report 2021. B. f. I. Settlements. https://www.bis.org/publ/arpdf/ar2021e.pdf
Chance, D., & Brooks, R. (2021). An Introduction to Derivatives and Risk Management (10 ed.). Cengage Learning. https://www.cengage.com/c/an-introduction-to-derivatives-and-risk-management-10e-chance/9780357130692/
Doshni Nezhad, M., Imani Barandagh, M., Rostami, V., & Mohammadi, A. (2023). Evaluation of the limitations of integrated use of financial derivatives instruments in Iran’s capital market. . Tose'e va Sarmayeh, 8(2), 131-150. https://doi.org/10.22103/jdc.2022.19831.1271 [In Persian]
Ferrari, M., Kearns, J., & Schrimpf, A. (2021). Monetary policy’s rising FX impact in the era of ultra-low rates. Journal of Banking & Finance, 129, 106142. https://doi.org/https://doi.org/10.1016/j.jbankfin.2021.106142
Foroushany, M. P., Amiri, M., & Rajabloo, A. (2024). Futures Valuation Beased on Stochastic Interest Rate in Iran Mercantile Exchange. Financial Engineering and Portfolio Management, 15(61), 40-62. http://sanad.iau.ir/fa/Article/1105590 [In Persian]
Hair, J. F., Hult, G. T. M., Ringle, C. M., & Sarstedt, M. (2022). A primer on partial least squares structural equation modeling (PLS‑SEM). SAGE Publications. https://doi.org/10.1007/978-3-030-80519-7
Henseler, J., Ringle, C. M., & Sarstedt, M. (2015). A new criterion for assessing discriminant validity in variance-based structural equation modeling. Journal of the Academy of Marketing Science, 43(1), 115-135. https://doi.org/10.1007/s11747-014-0403-8
Hull, J. C., & Basu, S. (2022). Options, futures, and other derivatives. Pearson Education India. https://lib.ysu.am/disciplines_bk/2b66030e0dd4c77b2bda437f6c1e5e66.pdf
Kazemi, M. M., H.; Khansari, M. (2022). Institutional prerequisites for launching the currency futures market in Iran. Economic Journal of Economic Research and Policies, 29(95), 115–140. https://doi.org/https://doi.org/10.52547/qjerp.29.95.115 [In Persian]
Menkhoff, L., Rieth, M., & Stöhr, T. (2021). The Dynamic Impact of FX Interventions on Financial Markets. The Review of Economics and Statistics, 103(5), 939-953. https://doi.org/10.1162/rest_a_00928
Mihaljek, D. P., F. (2010). Derivatives in emerging markets. BIS Quarterly Review, 87–104. https://www.bis.org/publ/qtrpdf/r_qt1012f.pdf
Miranda-Agrippino, S., & Rey, H. (2020). U.S. Monetary Policy and the Global Financial Cycle. The Review of Economic Studies, 87(6), 2754-2776. https://doi.org/10.1093/restud/rdaa019
Mohaghegh, A. H. A., E. (2023, January 2023). The role of financial instruments in managing risk in derivatives markets 6th International Conference on Management, Accounting, and Economics in Sustainable Development, Mashhad, Iran. https://civilica.com/doc/1904778 [In Persian]
Mousavi, E., Rahmani, T., & Taiebnia, A. (2022). The Political Economy of Exchange Rate Regime Determination: A Comparison of Developing and Developed Countries [Research]. Quarterly Journal of Economic Research and Policies, 30(101), 237-270. https://doi.org/10.52547/qjerp.30.101.237 [In Persian]
Pawlowski, J. (2025). Evolution of value and structure of currency derivatives market. European Research Studies Journal, 28(1), 861–873. https://doi.org/http://dx.doi.org/10.35808/ersj/3942
Pinter, G. W., D. (2023). Hedging, market concentration and monetary policy: A joint analysis of gilt and derivatives exposures (SSRN Working Paper No. 4521537).
Qezelbash, M., & Zamani, M. A. (2022). Pathology of the currency market management mechanisms by the Central Bank of the Islamic Republic of Iran in currency crises, emphasizing on the 2018 currency crisis. Quarterly of Economic Strategy, 11(4), 79-114. https://doi.org/10.22034/es.2023.338702.1575 [In Persian]
Ringle, C. M. S., M. (2016). Gain more insight from your PLS‑SEM results: The importance–performance map analysis. Industrial Management & Data Systems, 116(9), 1865–1886. https://doi.org/https://doi.org/10.1108/IMDS-10-2015-0449
Rostamipour, A., ghavam, m., Shojaei zarghani, a. h., & Hasanzadeh Sarvestani, H. (2024). Identifying the Mechanisms of Commercial Banks in the Currency Crises of the Islamic Republic of Iran, Emphasizing on the 2018 (1397) Currency Crisis. Economic Strategy, 13(49), 337-376. https://doi.org/10.22034/es.2024.457488.1761 [In Persian]
Schrimpf, A., Shim, I., & Shin, H. S. . (2021). FX derivatives markets: Structure and developments. BIS Quarterly Review. https://www.bis.org/publ/qtrpdf/r_qt2112f.htm
Sepehri, A. A., F. (2023, January 2023). The impact of derivative instruments on investment and risk 7th National Interdisciplinary Engineering Research Conference in Science and Management, Tehran, Iran. https://civilica.com/doc/1921101/ [In Persian]
Tenenhaus, M., Vinzi, V. E., Chatelin, Y.-M., & Lauro, C. (2005). PLS path modeling. Computational Statistics & Data Analysis, 48(1), 159-205. https://doi.org/https://doi.org/10.1016/j.csda.2004.03.005
Wetzels, M., Odekerken-Schr�der, G., & van Oppen, C. (2009). Using PLS Path Modeling for Assessing Hierarchical Construct Models: Guidelines and Empirical Illustration. MIS Quarterly, 33(1), 177-195. https://doi.org/10.2307/20650284
Zamani, M. A., Qezelbash, Mohammad. (2021). Creating a Currency Derivatives Market as a Strategy for Hedging Exchange Rate Fluctuation Risk. Proceedings of the National Conference on Financial Challenges and Solutions of International Trade with the Approach of Supporting National Production. https://civilica.com/doc/1870326/ [In Persian]
