One of the key functions of financial markets is price discovery that refers to the use of assets prices for pricing other markets transactions. Since the introduction of exchange-traded funds and their increasing popularity, the use of these tools has led to discussions regarding the transfer of the price discovery process in related markets. Saffron ETF is one of the types of commodity ETF that have recently been traded in the Iran's capital market. Considering the importance of saffron among agricultural products, in this article, the issue of price discovery in relation to this product has been investigated. In order to investigate this issue, the daily data of Saharkhiz saffron certificate and tradable fund from 2021/10/26 to 2020/04/09 was studied using the time-varying price discovery model. Johansen's test shows the existence of a long-term relationship between these two variables. The Granger causality test showed that the causality is from the Spot to the ETF market, so that changes in the Spot are the cause of changes in the ETF market. Finally, the use of time-varying price discovery, in addition to verifying the causality test, showed that more than 85% of the price discovery process takes place in the Spot market and only 15% of price discovery takes place in the ETF market, which shows that it is not realized, which shows the non-fulfillment of the ETF price discovery function in Iran's capital market.