نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشیار دانشکده مدیریت دانشگاه تهران
2 کارشناس ارشد مدیریت مالی دانشگاه تهران (مسئول مکاتبات)
3 کارشناس ارشد اقتصاد انرژی دانشگاه شهید عباسپور
4 دانشجوی دکتری مدیریت مالی دانشگاه آزاد اسلامی
چکیده
کلیدواژه‌ها
عنوان مقاله [English]
نویسندگان [English]
In this research, the effect of maturity, trade volume and open interests on gold coin future price volatility in Iran commodity market have been studied since Dey 1387 to Shahrivar 1391.For doing that we can utilize two approach. In first approach, by considering 27 contracts separately, we perceived that the effect of trade volume is meaningful and positive. As we expected, the effect of maturity and open interests are negative, but it’s not meaningful. In second approach, by using time series observation during sample period, the effect of trade volume and open interests on future price volatility have been studied. As a result, we find that the effect of trade volume and open interests on future price volatility is positive and negative respectively. Both of these effects are meaningful, but,the former is substantially more than the latter.
کلیدواژه‌ها [English]
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