The relationship between futures and cash market price of gold coins

Subject Areas : Financial Knowledge of Securities Analysis

بهزاد فکاری سردهایی ¹ , اکبر میرزاپور ² , علی صیامی ³ , مصطفی کجوری ⁴

1 - مسئول مکاتبات
2 - ندارد
3 - ندارد
4 - ندارد

Received: 2013-05-11 Accepted : 2013-06-10 Published : 2014-06-15

Keywords: Keywords: Futures Market, GARCH, gold coins, Multiple Regression, VAR,

Abstract :

AbstractThe aim of this study is to investigate the relationship between spot and futures priceof gold coins in Iran and how market information spread between these markets, andanalysis between changes in cash and futures price volatility is the daily gold coins. Dailydata for the future price of gold coins collected in 2012 from Iran Mercantile Exchange,has been used. To examine the relationship between spot price and futures price of goldcoins multiple regression models, vector Autoregressive , GARCH and Granger causalitytest is used. The results showed that changes in futures and spot coin price does not havea significant relation in the VAR model and multiple regression , But the spot and futuresprice volatility have an effective relationship. Granger causality tests also showed there isa relation from the spot price to the futures price changes. But the spot price and futuresprice volatility results indicate that this is Duplex relationship between markets, there isinformation flow between the two markets as a perfect.