Speculators, Arbitrageurs and hedgers are the main participants in futures market in which every one does special activity based on their needs and goals. The difference between spot price and futures price and the type of relationship between the two markets are important issues for these market participants. To get access to such information, we should embark on an entire survey on the price trends in the spot market as well as futures market and the due relationship of these two marketplaces which enables us eventually to make the best price forecast on the basis of the evaluated model.
In this due, the nature of the relationship between the spot and futures prices of gold coin in the Iranian markets was studied as the single active futures contract in futures market of Iran. However, with respect to the nature of the data, the bivariate GARCH model and Johansson Test were employed and the relationship between the spot and futures prices of gold coin was analyzed. Finally, as per Johansson Test results the existence of a long-term relation between spot and futures prices of gold coin in Iran were confirmed and it was also confirmed that the futures market can lead the spot price.
Ahmadpour,A and Nikzad,M . (2011). Lead-lag Relationship between Spot and Futures Price of Gold Coins at Iran Mercantile Exchange. Quarterly Journal of Securities Exchange, 4(13), 175-190.
MLA
Ahmadpour,A , and Nikzad,M . "Lead-lag Relationship between Spot and Futures Price of Gold Coins at Iran Mercantile Exchange", Quarterly Journal of Securities Exchange, 4, 13, 2011, 175-190.
HARVARD
Ahmadpour A, Nikzad M. (2011). 'Lead-lag Relationship between Spot and Futures Price of Gold Coins at Iran Mercantile Exchange', Quarterly Journal of Securities Exchange, 4(13), pp. 175-190.
CHICAGO
A Ahmadpour and M Nikzad, "Lead-lag Relationship between Spot and Futures Price of Gold Coins at Iran Mercantile Exchange," Quarterly Journal of Securities Exchange, 4 13 (2011): 175-190,
VANCOUVER
Ahmadpour A, Nikzad M. Lead-lag Relationship between Spot and Futures Price of Gold Coins at Iran Mercantile Exchange. Quarterly Journal of Securities Exchange. 2011;4(13):175-190 (In Persian).