Do Futures Contracts Have Predictive Power for Future Spot Prices? Evidence from Gold Coin Futures Contracts in Iran

Mohammadi, Ahmad; Nazari, Asrin; Javaheri, Bakhtiar

doi:10.22034/jse.2026.12482.2301

Do Futures Contracts Have Predictive Power for Future Spot Prices? Evidence from Gold Coin Futures Contracts in Iran

Document Type : Original Article

Authors

ahmad mohammadi ¹

asrin nazari ²

Bakhtiar Javaheri ³

¹ economics department, faculty of humanity and social sciences, University of Kurdistan, Sanandaj, Iran,

² Master of economics, economics department, faculty of humanity and social sciences, University of Kurdistan, Sanandaj, Iran

³ Assistant Professor of Economics, University of Kurdistan

10.22034/jse.2026.12482.2301

Abstract

This study examines the ability of gold coin futures contracts to predict future spot prices. The results indicate that futures contracts do not provide reliable information for predicting future price changes. In other words, the information reflected in futures prices has limited ability to explain future spot price movements, and the predictive performance of futures contracts is not statistically different from that of the random walk model. In particular, futures contracts perform poorly in predicting declines in gold coin prices and explain only a small proportion of subsequent changes in spot prices. In addition, the results suggest that no reliable conclusion can be drawn regarding the efficiency of the gold coin futures market because of the low statistical power of the efficiency test. A robustness analysis based on the 2012 exchange rate shock also indicates that the relationship between the basis component and subsequent spot price changes remained stable over the sample period. Overall, the findings suggest that market participants and policymakers should avoid placing excessive reliance on futures prices when predicting future gold coin price movements and should interpret such information with greater caution.

Keywords

gold coin futures contract

spot price

market efficiency

Subjects

Securities Exchange

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