The impact of the volume of cash and future transactions on the price of future contracts in Stock Exchange in Iran
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

The impact of the volume of cash and future transactions on the price of future contracts in Stock Exchange in Iran

Document Type : Original Article

Authors
1 PhD student- Financial Engineering, Faculty of Management and Social Sciences of Azad University of Tehran, Tehran, Iran.
2 Assistant Professor of Scientific Research and Social Sciences Department of the Faculty of Management and Social Sciences of the Islamic Azad University of Tehran, Tehran, Iran.
3 Assistant Professor and Scientific Director of the Financial Management Department of the Faculty of Management and Social Sciences, Azad University of Tehran, Tehran, Iran
4 Assistant Professor and Scientific Director of the Financial Management Department of the Faculty of Management and Social Sciences, Azad University of Tehran, Tehran, Iran.
Abstract
ABSTRACT
The present study examined the effect of time to maturity of future contract on the price of cash and the future of coin and saffron , It also examines the effect of transaction volume on the price of future contracts using regression coefficient model . The data used in this study is The volume of deals and daily cash prices and the future contract of coin with 71 contracts in return from november 2008 to September 2018 and the future contract of saffron with 29 contracts return from May 2018 to the end of march 2020 in the statistical community of iran stock exchange.
The results of the estimation of the regression coefficient were shown that over time and approaching maturity of the future contract of the coin , the price difference and the future price are reduced and prices to converge .But in the case of saffron contracts , prices don 't go to convergence .The results also showed that of time to maturity of future contract the coin and saffron ,with changes in volume of transactions. the price differential have been changed , which indicates the direct effect of the volume of cash transactions and the future , on the cost of both basic
Keywords

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