Price Discovery In Iran Gold Coin Market During Different Trading Phases

This paper examines the price discovery process of the gold coin futures contracts in Iran Mercantile Exchange during different trading phases. The results support the presence of inverted asymmetric reaction of Gold market to the positive and negative innovations. Interestingly, findings show different price discovery process of gold coin futures market during different trading phases in equity market due to the price limit imposed on futures market. During the bull stock market, therefore, low volatility period in Gold market, new information will be reflected more rapidly in futures market. Investors might enhance potential returns by tracking the Gold futures market in this time period to predict the cash market. However, during bear stock market and accordingly higher volatility in Gold market, there are bidirectional relationships between two markets. Therefore, investors might not consider information in neither of these two markets to predict the prices in the other market