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تحلیل رابطه نوسانات بیت‌کوین و نوسانات بورس اوراق بهادار تهران در خلال اپیدمی کروناویروس (رویکرد مارکف سویچینگ بیزین ور) | ||
| راهبرد مدیریت مالی | ||
| مقاله 5، دوره 11، شماره 1 - شماره پیاپی 40، فروردین 1402، صفحه 101-120 اصل مقاله (606.59 K) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22051/jfm.2023.40085.2675 | ||
| نویسندگان | ||
| محمدعلی یوسفی بهزاد فرخی1؛ ثمینه قاسمی فر* 2 | ||
| 1دانشجوی دکتری علوم اقتصادی، دانشگاه باهنر، کرمان | ||
| 2پژوهشگر پسادکتری، دانشگاه الزهرا، تهران | ||
| چکیده | ||
| با ورود رمزارزها به بازارهای مالی بین‌المللی، مطالعه مسائل جدید پیرامون سبد دارایی افراد و ارتباط ریسک بخش‌های مختلف بازار مالی با یکدیگر را در میان سرمایه‌گذاران و محققان برجسته ساخته است. در این مطالعه به کمک داده‌های ماهانه از آبان ماه سال 1392 تا دی ماه 1400و با هدف بررسی اثرات متقابل نوسانات (ریسک) بیت‌کوین و نرخ ارز بر نوسانات شاخص بازار سهام ایران در سبد دارایی از رویکرد MSBVAR دو رژیم رفتاری (منطبق با قبل و بعد از وقوع اپیدمی کرونا) برای نوسانات قیمتی بیت‌کوین شناسایی شده و سپس اثرات تکانه بیت‌کوین بر شاخص بازار سهام را در خلال دو رژیم رفتاری مورد سنجش قرار داده است. نتایج پژوهش ضمن تأیید انطباق رژیم‌های رفتاریی بیت‌کوین با شیوع اپیدمی کرونا، نشان می‌دهد که در زمان اپیدمی کرونا شاخص بازار سهام با شدت بیشتری به تکانه‌های بیت‌کوین و نرخ ارز واکنش نشان می‌دهد و ریسک کلی سبد دارایی را افزایش می‌دهد. | ||
| کلیدواژه‌ها | ||
| نوسانات بیت‌کوین؛ اپیدمی کرونا؛ سبد دارایی؛ شاخص بازار سهام؛ رویکرد MSBVAR | ||
| عنوان مقاله [English] | ||
| Analysis of the Relationship between Bitcoin Fluctuations and Tehran Stock Exchange Fluctuations During the Coronavirus Epidemic (Markov Switching Baysian VAR) | ||
| نویسندگان [English] | ||
| Mohammad Ali Yousefi Behzad Farokhi1؛ Samineh Qasemifar2 | ||
| 1Phd student of economic sciences, Bahnar University, Kerman | ||
| 2Postdoctoral Researcher, AlZahra University, Tehran | ||
| چکیده [English] | ||
| With the advent of cryptocurrencies in international financial markets, the study of new issues around the portfolio of individuals and the risk relationship of different segments of the financial market with each other has become prominent among investors and researchers. In this study, with the help of monthly data from 2013-to 2021 and to investigate the interaction effects of bitcoin fluctuations (risk) and exchange rate on fluctuations in the Iranian stock market index in the portfolio of the M SBVAR approach, two behavioral regimes (consistent with before and After the corona epidemic) has been identified for bitcoin price fluctuations and then the effects of bitcoin innovation on the stock market index during the two behavioral regimes. The results of the study, while confirming the adaptation of bitcoin behavioral regimes to the prevalence of the corona epidemic, show that during the corona epidemic, the stock market index reacts more strongly to bitcoin shocks and exchange rates, and the overall risk Increases the portfolio. | ||
| کلیدواژه‌ها [English] | ||
| Bitcoin Fluctuations, Corona Epidemic, Portfolio, Stock Market Index, MSBVAR Approach | ||
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