Analysis of the Relationship between Bitcoin Fluctuations and Tehran Stock Exchange Fluctuations During the Coronavirus Epidemic (Markov Switching Baysian VAR)
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 he...
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| Format: | Article |
| Language: | fas |
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Alzahra University
2023-03-01
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| Series: | راهبرد مدیریت مالی |
| Subjects: | |
| Online Access: | https://jfm.alzahra.ac.ir/article_6930_7e1809a666ea49d02201c7a1d56dad4c.pdf |
| _version_ | 1811154260112441344 |
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| author | Mohammad Ali Yousefi Behzad Farokhi Samineh Qasemifar |
| author_facet | Mohammad Ali Yousefi Behzad Farokhi Samineh Qasemifar |
| author_sort | Mohammad Ali Yousefi Behzad Farokhi |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-10T04:13:45Z |
| format | Article |
| id | doaj.art-5bdac80745fa42d4ada5a39aae26d736 |
| institution | Directory Open Access Journal |
| issn | 2345-3214 2538-1962 |
| language | fas |
| last_indexed | 2024-04-10T04:13:45Z |
| publishDate | 2023-03-01 |
| publisher | Alzahra University |
| record_format | Article |
| series | راهبرد مدیریت مالی |
| spelling | doaj.art-5bdac80745fa42d4ada5a39aae26d7362023-03-12T10:16:36ZfasAlzahra Universityراهبرد مدیریت مالی2345-32142538-19622023-03-0111110112010.22051/jfm.2023.40085.26756930Analysis of the Relationship between Bitcoin Fluctuations and Tehran Stock Exchange Fluctuations During the Coronavirus Epidemic (Markov Switching Baysian VAR)Mohammad Ali Yousefi Behzad Farokhi0Samineh Qasemifar1Phd student of economic sciences, Bahnar University, KermanPostdoctoral Researcher, AlZahra University, TehranWith 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.https://jfm.alzahra.ac.ir/article_6930_7e1809a666ea49d02201c7a1d56dad4c.pdfbitcoin fluctuationscorona epidemicportfoliostock market indexmsbvar approach |
| spellingShingle | Mohammad Ali Yousefi Behzad Farokhi Samineh Qasemifar Analysis of the Relationship between Bitcoin Fluctuations and Tehran Stock Exchange Fluctuations During the Coronavirus Epidemic (Markov Switching Baysian VAR) راهبرد مدیریت مالی bitcoin fluctuations corona epidemic portfolio stock market index msbvar approach |
| title | Analysis of the Relationship between Bitcoin Fluctuations and Tehran Stock Exchange Fluctuations During the Coronavirus Epidemic (Markov Switching Baysian VAR) |
| title_full | Analysis of the Relationship between Bitcoin Fluctuations and Tehran Stock Exchange Fluctuations During the Coronavirus Epidemic (Markov Switching Baysian VAR) |
| title_fullStr | Analysis of the Relationship between Bitcoin Fluctuations and Tehran Stock Exchange Fluctuations During the Coronavirus Epidemic (Markov Switching Baysian VAR) |
| title_full_unstemmed | Analysis of the Relationship between Bitcoin Fluctuations and Tehran Stock Exchange Fluctuations During the Coronavirus Epidemic (Markov Switching Baysian VAR) |
| title_short | Analysis of the Relationship between Bitcoin Fluctuations and Tehran Stock Exchange Fluctuations During the Coronavirus Epidemic (Markov Switching Baysian VAR) |
| title_sort | analysis of the relationship between bitcoin fluctuations and tehran stock exchange fluctuations during the coronavirus epidemic markov switching baysian var |
| topic | bitcoin fluctuations corona epidemic portfolio stock market index msbvar approach |
| url | https://jfm.alzahra.ac.ir/article_6930_7e1809a666ea49d02201c7a1d56dad4c.pdf |
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