Evaluation Iran Capital Market Hedging using World Capital Market (Simultaneous Investment in Iran Stock Exchange Market & World Gold Market)

Hedging is one of the most important topics in investment field, which could be noticed from different points of view. We evaluate the role of gold relative to different indices in Tehran Security Exchange (TSE) as a representative of Iran Capital Market .In this topic gold charecterristics of “save haven” and “hedge” versus TSE are studided. Daily Price Returns of 21 TSE stock indices and daily price returns of world gold (ons) are used as research data. Utilizing these data and GARCH model, two charecteristics of “safe haven” and “hedge” related to long position and short position of world gold for each stock indice is determined. This way it provide us with deciding on proper position in world gold, whether long or short position, to hedge downfall of a certain stock. In accordance with outcomes, we find long position in gold is not a strong hedge for non of the studied groups except for transportation indice. In addition, short position in gold is a weak hedge for two groups of non-metalic minerals and metals. Regarding safe haven, long position of gold played as a strong safe haven role for all groups in 10% quantile but not in non of 5% & 1% quantiles. Long position of gold is a safe haven for most of indices. However, there are little groups for which short position of gold is a safe haven.