بررسی سرریز نوسان و بازدهی بین بازارهای فرامرزی (فارکس و رمزارزها) و بازار سهام در ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشیار گروه اقتصاد دانشکده علوم اقتصادی و اداری دانشگاه مازندران، بابلسر، ایران

2 کارشناس‌ارشد گروه اقتصاد دانشکده علوم اقتصادی و اداری دانشگاه مازندران، بابلسر، ایران

10.48308/jem.2024.234768.1896

چکیده

گسترش تکنولوژی و توسعه هر چه بیشتر بازارهای مالی جهانی، بازارهای فرامرزی (فارکس و رمزارزها) را  به یکی از بازارهای مورد توجه سرمایه‌گذاران و معامله گران در ایران تبدیل کرده است. با توجه به اقبال روزافزون سرمایه‌گذاران و معامله گران به بازارهای فرامرزی، در این پژوهش به بررسی ارتباط بین این بازارها و بازار سهام و سرریز نوسانات و بازدهی بین آنها در ایران طی دوره زمانی بهمن ماه 1397 تا اسفند 1401 با استفاده از داده‌های روزانه و روش ای-گارچ پرداخته شده است. نتایج حاکی از این است که بازارهای فارکس، رمزارزها و سهام، متقارن، حساس به بحران و تحت تأثیر اخبار بد قرار دارند ولی بازار ارز (دلار آمریکا)، نامتقارن و تحت تأثیر اخبار خوب قرار دارد. بر اساس نتایج، بازارهای فارکس، رمزارزها و ارز با بازار سهام دارای همبستگی هستند و رشد یک بازار، رشد بازار دیگر را در پی خواهد داشت. نتایج حاصل از بررسی سرریز بازدهی‌ها و نوسانات بین بازارها بر اساس دو شاخص دایبلود-یلماز و بارنیک و کرهلیک، نشان‌دهنده تأیید سرریز بازدهی‌ها و نوسانات از بازارهای فارکس، رمزارزها و بازار ارز به بازار سهام طی دوره مورد بررسی است. همچنین، بازار سهام تهران بزرگ‌ترین گیرنده سرریز بازدهی و نوسان و بازار رمزارزها نیز کوچک‌ترین گیرنده سرریز نوسان هستند. نتایج حاصل از سرریز فرکانسی بر اساس شاخص بارنیک و کرهلیک، نیز حاکی از این‌است که بازار فارکس بزرگترین فرستنده سرریز بازدهی و بازار ارز بزرگترین فرستنده سرریز نوسان به بازار سهام هستند. نتایج برآوردی حاصل از تخمین این شاخص به غالب بودن سرریز بازدهی‌ از بازارهای مورد مطالعه به بازار سهام در کوتاه‌مدت اشاره دارد.

کلیدواژه‌ها

عنوان مقاله [English]

Investigation the Spillover of Volatility and Return Between Cross-Border Markets (Forex and Cryptocurrencies) and Stock Market in Iran

نویسندگان [English]

  • Majid Aghaei 1
  • Mahdieh Rezagholizadeh 1
  • Samira Chawshany 2
1 Associate Professor of Economics, Faculty of Economics and Administrative Sciences, University of Mazandaran, Babolsar, Iran
2 MA in Economics, Faculty of Economics and Administrative Sciences, University of Mazandaran, Babolsar, Iran
چکیده [English]

The expansion of technology and the increasing development of global financial markets have transformed cross-border markets (Forex and cryptocurrencies) into one of the preferred markets for investors and traders in Iran. Given the growing interest of investors and traders in cross-border markets, this study examines the relationship between these markets and the stock market, as well as the spillovers of volatility and return among them in Iran during the period from February 2019 to March 2023 using daily data and the DCC-AR-EGARCH method. The results indicate that Forex, cryptocurrencies, and the Tehran Stock Exchange are symmetric, sensitive to crises, and affected by negative news, while the currency market (US dollar) is asymmetric and influenced by positive news. Also, Forex, cryptocurrencies, and currency markets have a correlation with the Tehran stock exchange, suggesting that the growth of one market leads to the growth of another. The results of investigating spillovers of return and volatility between markets under study based on the Diebold & Yilmaz and Barunik & Krehlik indices indicate that there is a spillover of return and volatility from the Forex, cryptocurrency, and currency markets to the Tehran stock exchange during the period under study. The Tehran stock exchange market is the largest return and volatility spillover recipient, while the cryptocurrency market is the smallest recipient of volatility spillover. The results of the Barunik & Krehlik frequency spillover index also suggest that the Forex market is the largest sender of return spillover, and the currency market is the largest sender of volatility spillover to the stock market in Iran. The estimated results of this index indicate the predominance of return spillover from the markets under study to the Tehran stock exchange in the short term.

کلیدواژه‌ها [English]

  • Forex
  • Cryptocurrencies
  • Bitcoin
  • Euro/Dollar
  • Cross-Border Markets
  • Stock Market
  • DCC-AR-EGARCH

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