Financial Management Perspective

Financial Management Perspective

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

Document Type : Original Article

Authors
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.
10.52547/jfmp.11.35.143
Abstract
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.
Keywords
Financial volatility spillover
digital currencies
multivariate GARCH approach
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Financial Management Perspective
Volume 11, Issue 35
Autumn 2021
Pages 143-172