Margin Variations Effect on Gold Coin Futures Market in Iran Mercantile Exchange

Moslem Pymani, Amirhossein Erzae, Farnaz Seifi
2018 Taḥqīqāt-i mālī  
Objective: Margin in derivatives markets, such as futures markets, is used as a means of controlling the risk of future prospective obligations. On the other hand, margin is regarded as trading expenses and as one of the factors influencing futures market. Methods: Accordingly, in this paper, the effect of margin changes on futures contracts has been studied regarding Iran mercantile exchange in terms of return, risk and liquidity from 2016 to 2017. To do so, three approaches were used:
more » ... were used: estimating separate equations, seemingly unrelated equations and vector auto regression along with impulse response analysis. Results:Based on the results, margin changes had a significant effect on returns and liquidity, but no significant effect on volatility. Also, the effects of margin change shocks on all three variables of return, volatility and liquidity were not stable, and more specifically the rate of damping of this effect on liquidity is less than the effect on the other variables. Conclusion: In other word, margin changes affect futures market return and liquidity, yet this is not a stable effect. These results can be helpful for futures market policy makers and investors.
doi:10.22059/frj.2018.259452.1006672 doaj:9e54fc6abe1943f690f0b0d65bf62b0d fatcat:dfz757l76begrgvkuamgle6dze