تعيين مشخصات قراردادهاي آتي محصوالت كشاورزي در ايران‌

Determination of Agricultural Futures Contracts Specifications in Iran

Optimal design of agricultural futures contracts specifications has an undeniable role in success or failure of these contracts. This paper investigates the effects of the changing expiration interval on the behavior of the futures prices of the agricultural products, for determining the best length of the averaging period for futures contractʹs settlement. In this study, the choice of expiration interval of corn futures contracts has been concerned, because of high level of traded spot contracts in Iran Agricultural Commodity Exchange (IACE). By this purpose, first, a cash settlement index has been introduced and identified in order to calculating the futures prices. The corn trading data on IACE and traditional market in the period of 9/1/2005 to 19/3/2007 are used to calculating this index. Next, in order to determining the best expiration interval, a GARCH(1,1) model has been applied to estimate the conditional volatility structure of calculated futures prices, in different scenarios. The results show that increasing the expiration interval leads to decreasing the volatility and increasing the level of corn futures prices. Therefore, the choice of lengthy expiration intervals causes to increasing hedging performance and hence induces corn producers and speculators to contribute in the futures market.