جستجوی مقالات مرتبط با کلیدواژه « همگرایی قیمت » در نشریات گروه « مالی »

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

The data used in this study, the daily cash and future prices with 71 contracts from 25 November 2008 to 23 Septamber 2018,and and the price and future of saffron, with 29 contracts from 22 May 2018 to the end of 19 March 2020, is in the statistical community of iranian stock exchange. In this study, using the regression coefficient model to investigate the changes in the spot price and the future price, from time to maturity of the futurt contract and to evaluate the point of convergence of price, from the approach of accumulation and paired sample mean comparisons are used, also from the Granger causality test, the existence or nonexistence of causal relation between spot and future price was investigated. The results showed that there is a convergence of price in the coin, but in the case of saffron contracts, prices don 't go to convergence. also in the point convergence , by using of the integrated approach and paired average tests show that convergence in both cargo has been studied. Also, the results of causality tests, The assumption of the cause - effect relationship in saffron has not been confirmed.