TY - JOUR ID - 67699 TI - Margin Variations Effect on Gold Coin Futures Market in Iran Mercantile Exchange JO - Financial Research Journal JA - FRJ LA - en SN - 1024-8153 AU - Pymani, Moslem AU - Erzae, Amirhossein AU - Seifi, Farnaz AD - Assistant Prof., Finance and Banking Department, Faculty of Management and Accounting, University of Allameh Tabataba'i, Tehran, Iran AD - Assistant Prof, Finance and Banking Department, Faculty of Management and Accounting, University of Allameh Tabataba'i, Tehran, Iran AD - MSc. Student of Finance, Faculty of Management and Accounting, University of Allameh Tabataba'i, Tehran, Iran Y1 - 2018 PY - 2018 VL - 20 IS - 2 SP - 211 EP - 226 KW - Futures Contract KW - Gold Coins KW - Margin DO - 10.22059/frj.2018.259452.1006672 N2 - Objective: Margin in derivatives markets, such as futures markets, is used as a means of controlling the risk of future prospective obligations. On the other hand, margin is regarded as trading expenses and as one of the factors influencing futures market. Methods: Accordingly, in this paper, the effect of margin changes on futures contracts has been studied regarding Iran mercantile exchange in terms of return, risk and liquidity from 2016 to 2017. To do so, three approaches were used: estimating separate equations, seemingly unrelated equations and vector auto regression along with impulse response analysis. Results:Based on the results, margin changes had a significant effect on returns and liquidity, but no significant effect on volatility. Also, the effects of margin change shocks on all three variables of return, volatility and liquidity were not stable, and more specifically the rate of damping of this effect on liquidity is less than the effect on the other variables. Conclusion: In other word, margin changes affect futures market return and liquidity, yet this is not a stable effect. These results can be helpful for futures market policy makers and investors. UR - https://jfr.ut.ac.ir/article_67699.html L1 - https://jfr.ut.ac.ir/article_67699_8f108ad3eccac682d92b77e39548d3f2.pdf ER -