بررسی پویایی روابط نوسانی میان رمزارزهای منتخب

نوع مقاله : مقاله پژوهشی

نویسندگان

1 کارشناسی ارشد مهندسی صنایع، گروه سیستم‌های مالی، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی، تهران،

2 استادیار، گروه مهندسی صنایع، دانشگاه صنعتی خواجه نصیرالدین طوسی، تهران، ایران.

چکیده

تحلیل پویایی روابط میان دارایی‌های مالی از جمله موارد با اهمیت در مباحث مدیریت ریسک و راهبردهای تشکیل سبد سرمایه‌گذاری است. سرمایه‌گذاران به جهت پوشش ریسک یا بهینه‌سازی سبدشان سعی در متنوع‌سازی دارایی‌های خود در بازارهای مختلف داشته و در این راستا به تعامل میان بازارها توجه می‌نمایند. در این پژوهش به تحلیل روابط همبستگی شرطی پویا و سرریز نوسانات در بازده چهار رمزارز شامل بیت‌کوین، اتریوم، ریپل و لایت‌کوین از  16/08/2015 الی 14/07/2022 پرداخته شده است. هدف این پژوهش درک و شناسایی سرریزهای نوسانی میان بازار رمزارزها و همچنین برآورد همبستگی متغیر طی زمان میان این دارایی‌ها با مدل‌ گارچ چندمتغیره شرطی پویا به صورت زوجی است. نتایج حاصل از این تحقیق نشان‌دهنده وجود اثرات سرریزی نوسان دوطرفه میان تمام رمزارزهای مورد بررسی است. همچنین باتوجه به اینکه در مقاطع بحران، همبستگی میان رمزارزهای مورد بررسی افزایش قابل توجه داشته است، می‌توان شواهدی از وجود اثرات نامتقارن میان رمزارزها را تأیید نمود.

کلیدواژه‌ها

عنوان مقاله [English]

Investigating the dynamics of Volatility relationships in the selected cryptocurrencies

نویسندگان [English]

  • Saeed Moein Namini 1
  • Hossein Mohseni 2
1 M.sc Industrial Engineering, Department of Financial Systems, Science and Research Branch, Islamic Azad University, Tehran, Iran
2 Assistant Prof., Department of Industrial Engineering, Khajeh Nasir al-Din Toosi University of Technology, Tehran, Iran.
چکیده [English]

Analysis of Dynamic Relationships between Financial assets is important in risk management and investment portfolio strategies. Investors try to diversify their assets in different markets in order to cover risk or optimize, and in this regard, they pay attention to the interaction between markets. In this research, the analysis of dynamic conditional correlation and Spillover of  Volatility in the return of four cryptocurrencies including Bitcoin, Ethereum, Ripple and Litecoin from 16 Aug 2015 to 14 Jul 2022 has been done. The purpose of this research is to understand and identify the Volatility spillovers between the cryptocurrency market Coins and also to estimate the variable correlation over time between this category of assets with the pairwise dynamic conditional multivariate GARCH model. The results of this research show the existence of the two-way Spillovers effects among all investigated cryptocurrencies. Also, due to the fact that during the crisis, the correlation between the examined cryptocurrencies has increased significantly, evidence of the existence of asymmetric effects between the investigated cryptocurrencies can be confirmed

کلیدواژه‌ها [English]

  • Dynamic Conditional Correlation model
  • Multivariate GARCH
  • Volatility Spillover

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چشم انداز مدیریت مالی
دوره 13، شماره 41
1402
صفحه 37-58

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