Sharif Digital Repository

The increasing trend of gold prices over the last years, also a remarkable inflation in the prices level of Iran, attracted Iran households’ financial resources to the market of this precious metal. Although there are a sensible risk in the value of this asset, gold coin futures contracts is considered as an effective risk management lever of financial investors. This research intends to estimate the optimal rate of futures over spot contracts in the gold coins market of Iran. To this end, we use spot and futures prices over the 2008 Dec through 2011 Dec, which all the time series are sourced from the Iran’s mercantile exchange website. Among the existing procedures of optimal hedge ratio...