Paper Information

Journal:   THE IRANIAN ACCOUNTING AND AUDITING REVIEW   SPRING 2010 , Volume 17 , Number 59; Page(s) 63 To 78.
 
Paper:  SURVEY OF THE FACTORS AFFECTING LIQUIDITY OF FUTURES CONTRACTS IN IRAN MERCANTILE EXCHANGE
 
Author(s):  FARTOKZADEH H.R., MOHEBALI S., DAVALLOU M.
 
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Abstract: 

Liquidity is regarded as one of the key elements while discussing about failure and success of futures markets, so there has been great focus on analyzing its determinants in previous researches. In earlier studies different dimensions have been stated for liquidity and also various measures have been suggested to assess each of those dimensions. In this paper, we have investigated about determinants of liquidity in gold futures market of Iran mercantile exchange with utilizing regression analysis and regarding bid-ask spread and depth as measures for evaluating two different aspects of this phenomenon. The research indicates that trading volume and price volatility are main determinants of bid-ask spread. In addition, we found that trading time interval has a great impact on this spread. The results of depth analysis proves the positive impacts of trading volume and price levels on depth measure and also, this analysis indicates that price volatility has no impact on this measure of liquidity.

 
Keyword(s): MARKET DEPTH, LIQUIDITY, FUTURES CONTRACTS, BID-ASK SPREAD
 
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