Can the Gold Coin Futures Prices Forecast the Gold Coin Spot Prices at the Maturity Date?

This paper examines whether the gold coin futures prices in the Iran Mercantile Exchange can forecast accurately the gold coin spot prices at the maturity date. For this, it uses daily data of both futures and spot prices from Azar 1387 to Tir 1397. A cointegration analysis shows that in horizons shorter than 100 days, there is a significant one-to-one relation between these two prices which implies that the future prices contain some information about the spot prices at the maturity date. In addition, the future prices are compared with forecasts generated by the standard time series models to see which one is more accurate in forecasting the spot prices. The results show that in short horizons, the performance of the futures is better than the time series models, but this outperformance wanes as the horizon increases.