The Effects of Gold Coin's Futures Market on the Volatility of Gold Coin's Cash Market in Iran

This paper investigates the impact of introduction of gold coin futures market on the volatility of the underlying gold coin cash market in Iran. The data used in this analysis incorporates the time period starting from 2 years prior to, until 5 years after the introduction of gold coin futures market (i.e. - 2006 to 2013) with a total number of 1.846 observations. The GARCH Model is used in order to investigate the impact of gold coin’s futures trading on the volatility of gold coin’s cash market in Iran. The empirical results suggest that the introduction of gold coin’s futures market has increased the volatility of gold coin’s cash market in Iran.