Convergence of Futures Contracts For Iranian Stock Exchange

Subject Areas : Financial engineering

Fatemeh mirzadeh ¹ (Department of Financial Management, Tehran North Branch, Islamic Azad University, Tehran, Iran)
ali saeedi ² (Department of Financial Management, Tehran North Branch, Islamic Azad University, Tehran, Iran)
Alireza Heidarzadeh Hanzaei ³ (Assistant Prof. Dr. , Department of Financial Management, Tehran North Branch, Islamic Azad University, Tehran-Iran)
Mohammad Khodaei valezaghard ⁴ (Department of Financial Management, Tehran North Branch, Islamic Azad University, Tehran, Iran)

Received: 2020-10-04 Accepted : 2020-12-13 Published : 2021-06-22

Keywords: "Futures Contracts", "Convergence of price", "Maturity Date",

Abstract :

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.