بررسی اثرات سرریز نوسانات مالی میان ارزهای دیجیتالی (کاربرد رهیافت گارچ چند متغیره (BEKK-GARCH))

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد سلامت، دانشگاه تربیت مدرس، تهران، ایران .

2 استادیار، گروه اقتصاد، دانشگاه رازی، کرمانشاه، ایران.

3 کارشناسی ارشد اقتصاد، گروه علوم اقتصادی، دانشگاه تربیت مدرس، تهران، ایران.

چکیده

پول مجازی یکی از پدیده‌های نوظهور است که می‌توان آن را یکی از نتایج نفوذ و گسترش فضای مجازی در زندگی بشر دانست. در واقع، تسهیل در انجام امور مالی بدون حضور واسطه‌هایی مانند بانک‌ها و مؤسسات مالی را می‌توان یکی از اهداف پیدایش پول مجازی دانست. هدف پژوهش حاضر، بررسی اثرات سرریز نوسانات از سمت بیت‌کوین به عنوان بزرگ‌ترین ارز دیجیتالی بر سایر ارزهای دیجیتالی می‌باشد. در این مطالعه متغیرها به واحد پولی ریال تبدیل شدند تا نوسانات ریال نیز بصورت همزمان منعکس گردد. یکی از اجزای این تحلیل شناسایی ارزهای دیجیتالی است که بیشترین تأثیر را از حباب‌های قیمتی و سقوط آزادهای قیمتی بیت‌کوین داشته‌اند. یافته‎های پژوهش حاضر نشان می‎دهد که بیت‌کوین در بین ارزهای دیجیتال به ترتیب بیشترین سرریز نوسانات را بر دوج‌کوین و دش داشته است و از سایر ارزهای دیجیتالی که ارزش معامله‌ای بالا دارند، دریافت کننده سرریز نوسان است. بر اساس نتایج پژوهش حاضر، حباب‎های موجود در بازار ارزهای دیجیتالی غیرعقلایی بودن بازار ارزهای دیجیتال را نشان می‌دهد و با توجه به اثرات سرریز موجود، ممکن است به بازارهای مالی داخل نیز سرایت کرده و نوسانات زیادی را به وجود آورد.

کلیدواژه‌ها

عنوان مقاله [English]

Investigating the effects of financial volatility spillover between digital currencies (application of multivariate GARCH approach)

نویسندگان [English]

  • Naeim Shokri 1
  • Morteza Sahab Khodamoradi 2
  • Amir hossein Hajiloo moghadam 3
1 Ph.D. Candidate in Health Economics, Tarbiat Modares University, Tehran, Iran.
2 Assistant Prof, Department of Economics, Razi University, Kermanshah, Iran.
3 MSc Economics, Tarbiat Modares University, Tehran, Iran.
چکیده [English]

Virtual money is one of the emerging phenomena that can be considered as one of the results of the penetration and expansion of cyberspace in human life. Facilitating financial transactions without the presence of intermediaries such as banks and financial institutions can be considered as one of the goals of creating virtual money. The purpose of this study is to investigate the effects of volatility spillover from Bitcoin as the largest digital currency on other digital currencies. In this study, the variables were converted into Rial currency to reflect Rial fluctuations simultaneously. One component of this analysis is identifying the digital currencies that have been most affected by the price bubbles and the free fall of bitcoin prices. The findings of the present study show that Bitcoin has the highest fluctuations on Dogecoin and dash among digital currencies, respectively, and it receives overflow from other digital currencies that have high transaction value. According to the results of the present study, the bubbles in the digital currency market show that the market is irrational and due to the effects of the existing overflow, it may spread to domestic financial markets and cause a lot of fluctuations.

کلیدواژه‌ها [English]

  • Financial volatility spillover
  • digital currencies
  • multivariate GARCH approach

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چشم انداز مدیریت مالی
دوره 11، شماره 35
آذر 1400
صفحه 143-172

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