Ahmad Mohammadi; zeinab savari; Khaled Ahmadzadeh
Abstract
This paper deals with the question of whether gold coin futures contract in Iran performs expected function of price discovery or not. We investigate this question by using three distinct approaches: linear and nonlinear causality tests between gold coin futures and spot market, volatility spillovers ...
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This paper deals with the question of whether gold coin futures contract in Iran performs expected function of price discovery or not. We investigate this question by using three distinct approaches: linear and nonlinear causality tests between gold coin futures and spot market, volatility spillovers between those markets and share of each market in the process of price discovery. The data cover two periods: 1 August 2011 - 24 November 2013 and 25 November 2013 - 16 July 2015, with the former period corresponding to the unprecedented volatility of gold coin market in Iran and the latter period corresponding to stability of this market. In general, the results show that causality runs from spot prices to futures prices, volatility transmits from spot market to futures market and price discovery takes place mainly in spot market. Overall, the results of this paper reveal that futures market does not perform the expected function of price discovery. The results are consistent with the basic characteristics of futures market in Iran: it is in the early stages of its development and its size, in comparison to the spot market, is small.
Khalil Jahangiri; Samad Hekmati Farid
Volume 15, Issue 56 , April 2015, , Pages 161-194
Abstract
The aim of this paper is to investigate the relationship between Stock, gold coin and currency markets (as domestic markets), as well as, oil and gold markets and the U.S.A and European stock markets (as international markets) over the period of April 2001 to September 2013 using the Markov ...
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The aim of this paper is to investigate the relationship between Stock, gold coin and currency markets (as domestic markets), as well as, oil and gold markets and the U.S.A and European stock markets (as international markets) over the period of April 2001 to September 2013 using the Markov Regime Switching model and volatility spillover analysis. The empirical results in domestic markets showed that in low return regime, there is no significant spillover between markets so; the estimated value of spillover index is about 7.8 percent. In contrast, the value of spillover index in high return states is about 42 percent. Also, the results showed that when the world equity markets are in regime zero (low return regime), the gold market acts as an intermediary for the transmission of shocks from global markets to asset markets in Iran. In contrast, when the world equity markets are in regime one (high return regime), the oil market acts as a transmission channel of shocks.
