Risk Analysis of Round Fandoghi Pistachio Contracts in the Iran Mercantile Exchange Market (مقاله علمی وزارت علوم)

چکیده

Iran Mercantile Exchange is striving to become a regional hub for price discovery of essential commodities and raw materials, providing producers with financial instruments and risk management tools. This study investigates the optimal hedge ratio in future and commodity deposit receipts (spot) contracts for Round Fandoghi pistachios. Using the BEKK-VAR-TARCH model, the impact of seasonal and daily volatility on returns and hedge ratios was assessed over the period from 19 October 2018 to 18 January 2022. The results showed that volatility on specific days of the week and during different seasons affect speculative and investment decisions in the commodity exchange. Particularly, sharp volatility during certain periods can lead to significant changes in returns and hedge ratios. These findings suggest that investors should update their investment strategies based on seasonal and daily volatilities. Additionally, the importance of utilizing financial instruments suited to market conditions for managing existing risks was confirmed. Ultimately, investors, speculators, and policymakers in the commodity exchange are advised to pay special attention to temporal changes and existing volatilities when composing their investment portfolios and adjusting hedge strategies. Furthermore, the use of futures contracts and derivative instruments is recommended as risk management approaches. This study contributes to a better understanding of volatility behavior and offers strategies for improved risk management in the Round Fandoghi pistachio market.