The Effects of Margin Changes on the Futures Prices, Trading Volume and Price Volatility in Iran Mercantile Exchange Gold Coin Futures Contracts

Supervisory institutes have paid a great attention to the use of margin as a control tool of excessive speculation in futures contracts. This paper studied effects of margin changes on the futures prices، trading volume and price volatility in Iran Mercantile Exchange (IME) using gold coin futures contracts data from November 2008 to December 2014. We estimated a bivariate GARCH-M model to take account of the inter-relationships. According to our research and based on information of futures contracts market of Bahar-e-Azadi gold coin in IME، we concluded that any increase in margin leads to price decrease. Our estimated model showed that any increase of margin resulted to the more volatility of futures prices. Also، more amount of margin leads to reduction of trading volume.