The effect of maturity date, trade volume and open interests on gold coin future price volatility

Document Type : Original Article

Authors
Reza Raei 1
Azam Honardoost 2
Yunes Salmani 3
Peyman Tataei 4
1 Associate Prof. in Financial Management, University of Tehran, Tehran, Iran
2 MSc. in Financial Management, University of Tehran, Tehran, Iran
3 MSc. in Energy Economic, Power and Water University of Technology, Tehran, Iran
4 Ph.D Student in Financial Management, Islamic Azad University, Tehran, Iran
Abstract
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.
Keywords
Gold Coin Future Contracts
Futures Prices Volatility
Maturity Effect
Trade Volume
Open Interests