The Predictive Content of Futures Prices in Iran Gold Coin Market
Ali Khabiri

Abstract
The present paper studies gold coin futures market in Iran in terms of three concepts that determine how well futures markets may perform their price discovery function. First, the martingale hypothesis is tested. The results from linear models show that current changes in futures prices cannot be predicted by past changes in futures prices. However, when nonlinearities are accounted for, we obtain evidence that reject the martingale hypothesis. The second issue is the unbiased expectations hypothesis. The findings show that futures prices are unbiased estimators of termination cash prices in the normal market condition. But when spot prices fall or rise sharply, futures traders demand risk premia although the one-for-one relationship between futures prices and termination spot prices still holds. Finally, power of the basis to predict subsequent changes in spot prices is examined. The results indicate that the basis fails unbiasedness tests when cash market enters bearish or bullish territory.

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