Iranian Journal of Agricultural Economics and Development Research

Iranian Journal of Agricultural Economics and Development Research

Investigating the efficiency of Negin saffron futures contract in Iran Mercantile Exchange

Document Type : Research Paper

Authors
Seyed Abolghasem Miremadi 1
AmirHossein Chizari 2
Saeid Yazdani 3
Hamed Rafiee 2
Toktam Mohtashami 4
1 Ph.D. students Department of Agricultural Economics, Faculty of Agricultural Economics and Development, University of Tehran, Karaj, Iran
2 Assistant professor of Agricultural Economics, Faculty of Agricultural Economics and Development, University of Tehran, Karaj, Iran
3 Professor of Agricultural Economics, Faculty of Agricultural Economics and Development, University of Tehran, Karaj, Iran
4 Assistant professor, Department of Agricultural Economics, University of Torbat-e -Heydarieh, Khorasan razavi, Iran
10.22059/ijaedr.2021.317027.669001
Abstract
Over the past few decades, economic policymakers and planners have sought to find new ways of trading agricultural products that maximize efficiency for market participants. To this end, a variety of trading contracts, including futures were developed. A futures contract is a contract under which the seller undertakes to sell a certain quantity of a certain good at a certain price at the present time, and on the other hand, the buyer of the contract undertakes to sell that good with Purchase the specified specifications. The purpose of this study is to investigate the efficiency of Negin saffron futures contracts in Iran Mercantile Exchange by examining the relationship between cash and future prices of this product. To achieve this goal, the Engle and Granger vector error correction model approach and the daily settlement prices of Negin saffron futures and cash contracts have been used. The results of this study indicate a short-term and long-term relationship between future prices and cash prices. Therefore, the efficiency of Negin saffron futures trading tools has been confirmed as a guide to cash prices of Negin saffron and also as an influential factor in discovering cash prices, which is consistent with the results of previous studies.
Keywords
Efficiency
Futures contract
Vector Error Correction Model
Negin saffron
Mercantile exchange
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Iranian Journal of Agricultural Economics and Development Research
Volume 52, Issue 4
Autumn 2021
Pages 851-862