The Impact of Investors Sentiments on the Gold Coin Futures Market

This paper examines the effect of investors sentiments on the gold coin futures marketand presents a clear description of psychological effects of investors behavior in futures market. Sentimental factors have an essential role in individual decision making in financial markets. Within the behavioral finance paradigm, it is argued that numerous factors affect the behavior of investors and cause they do not have rational decision making. The investor sentiment is the most important of them. We use daily data from the gold coin futures in the Iran mercantile exchange covering the period from 1388/1/6 to 1392/3/6. We use different symmetric and asymmetric GARCH models including GARCH، GARCH-M، GJR-GARCH، GJR-GARCH with GARCH-M. These models are useful methods of discriminating between the volatility arising from investor sentiment in the futures market. we find that volatilities of sentiments have significant positive effect on the volatilities of gold coin futures market in Iran.