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Open Access Article
1 - Jurisprudence-legal feasibility of using futures contracts in the international currency market
Omid tavakolikia Mohsen Aghasi Syed AhmadAli Ali HashemiA futures contract is an agreement to simultaneously buy and sell a certain amount of one currency against another currency at a certain time and at a certain rate in the future. In fact, the futures contract is a type of forward contract, with the difference that the b MoreA futures contract is an agreement to simultaneously buy and sell a certain amount of one currency against another currency at a certain time and at a certain rate in the future. In fact, the futures contract is a type of forward contract, with the difference that the buyer and the seller are not known to each other and only transact with each other through banks or brokers active in the currency market. The foreign exchange market is a virtual market where interested people around the world can buy and sell existing currencies through the Internet and selecting the desired broker. The distinguishing feature of this market compared to other markets is the limited selection of investment options, and the major forex transactions are carried out only on seven currencies and three currency pairs, and by examining the macroeconomic variables of the countries and the news available at the international level, you can choose your desired currency. Islamic jurists believe that it is possible to trade the currencies of different countries in cash or at different rates because the inherent price and purchasing power of the currencies of different countries are independent and the general agreement is about the inaccuracy of using futures contracts and currency advances in the state of delaying obligations and rights. There are parties to some time in the future, which in this article has been examined in jurisprudential and legal doubts related to the authenticity of these contracts. Manuscript profile -
Open Access Article
2 - Legal Analysis of Futures Contracts in Energy Exchange
Alireza MashhadizadehRecently financial instruments designed and produced to oil market. The main objective of designing these instruments is to improve portfolio risk management and also increasing efficiency of capital markets for making more efficient the Stock Exchange Which the financi MoreRecently financial instruments designed and produced to oil market. The main objective of designing these instruments is to improve portfolio risk management and also increasing efficiency of capital markets for making more efficient the Stock Exchange Which the financial instruments called Derivatives. It is require to issue different securities with diverse risk and return. Issuing new securities it must be considered that dealing such securities should not be in conflict with Islamic regulations. In this article, content and mechanism of dealing Options, Futures contracts discussed first and answering to some criticisms raised in respect of this kind of transaction being such transactions as Ghrry Sale, being such transactions as a kali be kali (as named in Islamic Law) and being such transactions non-recognition of the sale right the Sale may be noted as this article s result. Manuscript profile -
Open Access Article
3 - Exchange Rate Optimal Hedge Ratio by Gold Futures in Iran
Rasool Sajad Adena TorosianIn this article, the exchange rate (USD/RLS) minimum variance optimal hedge ratio by gold futures have been estimated and compared by different econometric approaches. For estimating this rate three domains, daily, two days and weekly domain for spot and futures prices MoreIn this article, the exchange rate (USD/RLS) minimum variance optimal hedge ratio by gold futures have been estimated and compared by different econometric approaches. For estimating this rate three domains, daily, two days and weekly domain for spot and futures prices are used due to increase futures and spot correlation by increasing return domain. The static optimal hedge ratio estimated by OLS, corrected OLS and univariate GARCH models and dynamic one by CCC and DCC multivariate GARCH models. In term of in sample efficiency weekly return DCC and out of sample one, weekly return CCC, has the highest efficiency. In all models, the estimated rate of weekly returns is more efficient than the estimated rates of daily and two days return. Manuscript profile -
Open Access Article
4 - Algorithmic Trading System for future contract of gold coin based on intra-day data
Mohammad Ali Rastegar Amin SedaghatipourToday, with the prevalence of online trading and algorithmic trading, it is required that the trading data of financial markets be analyzed faster and become profitable decision. The purpose of this paper is to develop an automated and algorithmic trading system on gold MoreToday, with the prevalence of online trading and algorithmic trading, it is required that the trading data of financial markets be analyzed faster and become profitable decision. The purpose of this paper is to develop an automated and algorithmic trading system on gold coin future contracts in Iran Mercantile Exchange. According to the suitableness of technical analysis for two-sided markets (long and short position), 8 technical tool signals has been used for trading system. In order to develop the trading system, MOPSO algorithm is used with the aim of optimizing the efficiency function and Conditional Value at Risk (CVaR). Besides for completing the risk management system, optimized take profit and stop loss has been specified for future contract. The results show that the designed trading system has a more favorable ratio of return to risk than other competitor strategies such as buy & hold and sell & hold. Also the time frame of 30 minutes seems appropriate for designing a trading system based on gold futures contract. Manuscript profile -
Open Access Article
5 - Feasibility of Currency hedging for exporter and importer companies by Using the Iran Mercantile Exchange Coin futures contract
Ali Rostami Gholamreza Zomorodian Meysam AlimohammadiOne of the most important applications of futures, hedging is that this application is also evident in the futures coins and various stakeholders can use it. In this paper, using time series dollar in free market and price of futures contracts coin during the period 139 MoreOne of the most important applications of futures, hedging is that this application is also evident in the futures coins and various stakeholders can use it. In this paper, using time series dollar in free market and price of futures contracts coin during the period 1390 to 1393 to assess the risk of cross hedging exchange rate using futures contracts coin. First, the correlation between the exchange rate and price time series econometric model for future Coin vector regression (VAR) found. After the confirmation of residual autocorrelation and heteroscedasticity conditional on the VAR, the model BEEK (which is a multivariate GARCH model), conditional variance Currency and coins was estimated future prices and then by minimum variance hedge ratio was calculated for different maturities and the profit or loss resulting from currency risk hedging gain or loss resulting from exchange rate fluctuations were real. The results show that there is a high correlation with the price of the coin exchange rate (US Dollar), possibility of covering cross-currency risk using futures contracts provide for gold coins. Also, due to long-term memory between exchange rate fluctuations and price estimation of future coins hedge ratio through BEEK-GARCH model, and using this model include more than 70 percent to compensate losses from currency risk. Manuscript profile -
Open Access Article
6 - Examining the Relationship Between Spot Price of an Underlying Asset and Cost of Carry of Gold Coin Futures in Iran Mercantile Exchange (IME)
Majid Shariatpanahi Hadi Mohammadzadegan Safoora ShahiniAn asset can be maintained for consumption or investment incentives. If a futures contract's market exist for an asset, the relationship between spot price of an underlying asset and cost of carry would be considered. Investigating this relationship is important in term MoreAn asset can be maintained for consumption or investment incentives. If a futures contract's market exist for an asset, the relationship between spot price of an underlying asset and cost of carry would be considered. Investigating this relationship is important in term of being beneficial for arbitrager and hedger. This study aims to examine the relationship between these two variable by investigating spot price of gold coins futures contract's during 3 years. This test will be performed by using GARCH method and based on BCSS's group model (1996). The results indicate the negative relationship between spot price of gold coin and net cost of carry for majority of maturity. Manuscript profile -
Open Access Article
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مصطفی یوسف زاده گندوانی javad niknejad behnam ghanbarpor -
Open Access Article
8 - رابطه بین قیمتهای نقدی و آتی سکه طلا در ایران
محسن مهرآرا فاطمه نائبی -
Open Access Article
9 - Investigate the effectiveness of gold coin dealing to hedge the risk of stock price volatility
Soheila Hoghooghi Mohammad Ebrahim AghababaeiInvestors often aim to reduce the risks associated with traditional assets such as investing in equities. The risk of stock price volatility is one of the concerns that always active investors are trying to manage it. Therefore, this research tries to investigate the ef MoreInvestors often aim to reduce the risks associated with traditional assets such as investing in equities. The risk of stock price volatility is one of the concerns that always active investors are trying to manage it. Therefore, this research tries to investigate the effectiveness of the hedging stock price volatility methods and its diversification using the gold coin futures. In this study, using monthly data on stock index returns and gold coin future returns between 2008 and 2018, we compare the result’s effectiveness of dynamic hedge ratios using multivariate generalized auto- regressive heteroskedasticity (BEKK-GARCH) and recursive ordinary least square (OLS) methods. The results indicate that the use of the gold coin future is suitable instrument to hedging stock portfolio and the multivariate GARCH method is more effective than the rolling regression method in 5 conditional effectiveness indices, including percentage reduction in variance, percentage reduction in semi-variance, percentage reduction in hedged losses, percentage increase in portfolio excess returns and percentage increase in positive returns. Manuscript profile -
Open Access Article
10 - Convergence of Futures Contracts For Iranian Stock Exchange
Fatemeh mirzadeh ali saeedi Alireza Heidarzadeh Hanzaei Mohammad Khodaei valezaghardThe data used in this study, the daily cash and future prices with 71 contracts from 25 November 2008 to 23 Septamber 2018,and and the price and future of saffron, with 29 contracts from 22 May 2018 to the end of 19 March 2020, is in the statistical community of iranian MoreThe data used in this study, the daily cash and future prices with 71 contracts from 25 November 2008 to 23 Septamber 2018,and and the price and future of saffron, with 29 contracts from 22 May 2018 to the end of 19 March 2020, is in the statistical community of iranian stock exchange. In this study, using the regression coefficient model to investigate the changes in the spot price and the future price, from time to maturity of the futurt contract and to evaluate the point of convergence of price, from the approach of accumulation and paired sample mean comparisons are used, also from the Granger causality test, the existence or nonexistence of causal relation between spot and future price was investigated. The results showed that there is a convergence of price in the coin, but in the case of saffron contracts, prices don 't go to convergence. also in the point convergence , by using of the integrated approach and paired average tests show that convergence in both cargo has been studied. Also, the results of causality tests, The assumption of the cause - effect relationship in saffron has not been confirmed. Manuscript profile -
Open Access Article
11 - بررسی عوامل مؤثر بر تغییرات قیمت قراردادهای آتی در بورس کالای ایران
علی سعیدی شهریار علیمحمدی -
Open Access Article
12 - Risk hedging by use of Hybrid future contracts index (Case: Iran financial market)
Hamid Eskandari Ali Asghar Anvary Rostamy Ali Husseinzadeh KashanFormer local and foreign researches in risk hedging area have investigated optimum delivery month and optimum risk hedging ratio. In this research risk hedging by use of all delivery months by use of weekly data is discussed because of low number of transactions and con MoreFormer local and foreign researches in risk hedging area have investigated optimum delivery month and optimum risk hedging ratio. In this research risk hedging by use of all delivery months by use of weekly data is discussed because of low number of transactions and contract's volumes in Iran Mercantile Exchange. Three scenarios are defined. For this purpose three scenarios is defined. In the first scenario the number of positions on each delivery month is equal with the number of trades on each delivery month in previous week. In the second scenario positions are taken based on number of trades in previous trading day and in the third scenario positions are taken base on average number of trades in the last week. However, optimum hedge ratio should be considered in each delivery month. Static hedging ratio by use of minimum variance method and different econometrics models for in the sample and out of sample tests is calculated. Results show that three scenario has the ability to reduce risk. In the sample tests indicate that the first scenario with use of VAR model has the best efficiency and in the out of sample tests second scenario with Tarch model has the best efficiency. Manuscript profile -
Open Access Article
13 - Juridical feasibility of weather derivatives using multi-stage ijtihad research method
mohammad talebi mohsen sayar hanieh fadaei wahedThe agricultural industry, which is referred to as a mothers industry, faces many risks, which has reduced investors' willingness to invest in this industry. Some of these risks, including disaster risk, are considered to be the specific risks of this industry. Develope MoreThe agricultural industry, which is referred to as a mothers industry, faces many risks, which has reduced investors' willingness to invest in this industry. Some of these risks, including disaster risk, are considered to be the specific risks of this industry. Developed countries use a variety of instruments, such as weather derivatives, to cover these risks. Weather derivatives, like other derivatives used in financial markets, are based on their base assets, with the difference that the base asset in weather derivatives is the temperature index, rainfall, snowfall, and etc. This research, while reviewing the nature of the weather derivatives, has provided a juridical feasibility study for the implementation of this financial instrument. The research method used in this research is a multi-stage Ijtihadi model. The results of this research indicate that the lack of legal permission to use this instrument is due to the conflict with the principle of the prohibition of fake money and the existence of a dilemma of the underlying asset ineligibility. However fixing the drawbacks and develop Islamic financial instruments in accordance with the Imam's jurisprudence is not far from mind. Manuscript profile -
Open Access Article
14 - Feasibility of Currency hedging for exporter and importer companies by Using the Iran Mercantile Exchange Coin futures contract
ali rostami Gholamreza Zomordian Meysam AlimohammadiOne of the most important applications of futures, hedging is that this application is also evident in the futures coins and various stakeholders can use it. In this paper, using time series dollar in free market and price of futures contracts coin during the period 139 MoreOne of the most important applications of futures, hedging is that this application is also evident in the futures coins and various stakeholders can use it. In this paper, using time series dollar in free market and price of futures contracts coin during the period 1390 to 1393 to assess the risk of cross hedging exchange rate using futures contracts coin. First, the correlation between the exchange rate and price time series econometric model for future Coin vector regression (VAR) found. After the confirmation of residual autocorrelation and heteroscedasticity conditional on the VAR, the model BEEK (which is a multivariate GARCH model), conditional variance Currency and coins was estimated future prices and then by minimum variance hedge ratio was calculated for different maturities and the profit or loss resulting from currency risk hedging gain or loss resulting from exchange rate fluctuations were real. The results show that there is a high correlation with the price of the coin exchange rate (US Dollar), possibility of covering cross-currency risk using futures contracts provide for gold coins. Also, due to long-term memory between exchange rate fluctuations and price estimation of future coins hedge ratio through BEEK-GARCH model, and using this model include more than 70 percent to compensate losses from currency risk. Manuscript profile -
Open Access Article
15 - Optimal hedging of quantitative risk based on Markov regime change in coin futures contract
Sayyed Mohammad Reza Davoodi Marzieh Karami Chamgordani Sayyed AmirReza HashemiObjective: One of the key roles of futures markets is to provide risk hedging tools. The optimal strategy for risk hedging is determined by estimating the risk hedging ratio. Calculating the risk hedging ratio and the effectiveness of hedging explicitly depend on the re MoreObjective: One of the key roles of futures markets is to provide risk hedging tools. The optimal strategy for risk hedging is determined by estimating the risk hedging ratio. Calculating the risk hedging ratio and the effectiveness of hedging explicitly depend on the relationship between futures prices and spot prices. Therefore, the aim of this study is to estimate the optimal risk hedging ratio in various timeframes under low and high volatility conditions using a Markov regime-switching multivariate regression model.Methodology: The slope obtained from the Markov regime-switching multivariate regression, representing the optimal risk hedging ratio, is chosen, which is dependent on the choice of timeframes and two cases for the multivariate regression model are adopted according to the level of volatility considered.Findings: The research results on 5 futures contracts in the period from 2014 to 2018 indicate that in three markets, normal (composite), low volatility, and high volatility, risk hedging has been able to reduce risk by at least 20%. In the high volatility market, the optimal risk hedging ratio has reduced volatility by at least 23% in all timeframes (with the mean square error criterion), and the 0/95 timeframe performs the best in terms of the highest reduction in volatility and the lowest risk hedging ratio. In the low volatility market, the optimal risk hedging ratio has reduced volatility by at least 58% in all timeframes, and the 0/05 timeframe performs the best in terms of the highest reduction in volatility and the lowest risk hedging ratio. In the composite market, the optimal risk hedging ratio has also reduced volatility by 21%.Originality / Value: The results of this study not only contribute to the literature on risk hedging but also assist all stakeholders and users in evaluating the level of attention to the risk hedging topic. Manuscript profile
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