The Impact of Fluctuations in both Exchange Rate and Stock Market Index on Gold Coin Price

With regard to the fact that gold is sensitive and strategic asset, and its ounce price during past years had an ascending trend, this study is to examine the effective factors on gold price. Among the most important effective factors on gold price in Iran, we can refer to the gold price per ounce, the existence of inflation expectations, exchange rate fluctuations, stock index fluctuations and international sanctions. The investigation of these factors can, also, culminated in effective results for investors and planners.Due to the importance of both exchange market and stock market, this study tries to examine the impact of fluctuations in both exchange rate and stock index on gold coin price in Iran from April 2001 to September 2011 as well as the gold price per ounce. In so doing, in this study, Auto Regressive Conditional Heteroskedasticity (ARCH) model is used to measure fluctuations, because these models can explain conditional variance trend based on their past information, and afterwards by using ARDL model, the effectiveness of these fluctuations is evaluated in the long term and short term. Results show that among the effective factors on gold coin price fluctuations, exchange rate (equality rate of Dollar and Rial) is the most effective factor both in the long term and short term. The coefficient of the gold price per ounce is also positive and significant both in the long term and short term. It is necessary to be noted that long-term coefficients are larger than short- term coefficients, and this indicates that in the long term, gold coin price reacts more to exchange rate fluctuations and the change in the gold price per ounce.