بررسی رابطه پویا بین بیت کوین با شاخص سهام، طلا و دلار در ایران: کاربردی از رویکرد همدوسی و تحلیل موجک (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
هدف: هدف اصلی این مطالعه بررسی تحلیل هم جهتی روند تغییرات قیمت بیت کوین، طلا، سهام و دلار در ایران است. روش: جهت تحقق این هدف، از تحلیل همدوسی و رویکرد موجک، هم حرکتی و ارتباط دوبه دوی این بازارها در اقتصاد ایران برای در دوره زمانی شهریور 1390 تا دی ماه 1400 مورد بررسی قرار گرفت. یافته ها: بر اساس نتایج حرکت مشترک میان بازار بیت کوین و سهام در ایران در دوره های مختلف در جهت های متفاوتی بوده است. هم حرکتی بین بازار بیت کوین- نرخ ارز و بیت کوین- طلا مشابه بوده و در دوره های کوتاهمدت و میان مدت بیش از دوره بلندمدت بوده است. قوی ترین همدوسی بین طلا و ارز بوده است. نتیجه گیری: در افق های کوتاه مدت در بازه زمانی 1390 تا 1392 و 1397 تا 1399 بازدهی بیت کوین نوسانات شدیدی داشته است، که نمایانگر انرژی بیشتر و در نتیجه انتروپی بالاتر بازدهی بیت کوین است. با توجه به همدوسی قوی تر بین بازارهای بیت کوین، طلا و دلار و همدوسی نسبتاً پایین بین بیت کوین و بازدهی سهام لازم است سیاست گذاران اقتصادی در سیاست های پولی خود اثرگذاری رمز ارز بیت کوین را مدنظر قرار دهند بویژه اینکه بیت کوین متغیر برونزایی است که با پدیده سرایت مالی می تواند سیاست های پولی بانک مرکزی را تحت تأثیر قرار دهد.Investigating the Dynamic Relationship between Bit coin and Stock Index, Gold and Dollar in Iran: An Application of the Wavelet Coherency Approach
Objective The main purpose of this study is to investigate the co-movement analysis of bitcoin, gold, stocks and dollars markets in the Iranian economy. The reason for focusing on this goal is high inflation in the country and the influx of investors into the financial markets. In addition, given the current state of the global economy and all the economic crises caused by Covid-19, these markets are affected. The results of this study provide new interpretations of the return of financial markets for investment in the society. Method: To achieve this goal, the analysis of the wavelet coherence analysis and perspectives in wavelet, mobility and two-way relationship of these markets in the Iranian economy in the period September 2011 to January 2022 was studied. Wavelet coherence, wavelet energy spectrum and opposite phase are some of the techniques that have been used to interpret the relationship mutually between different markets. The methodology of wavelet coherence has gained immense popularity over the last few years in the domain of finance and economics. Wavelet Coherence a bi-variate framework used to study the interaction between different time series and their evolution over a continuous time and frequency space. Some of useful wavelet coherence technical interpretations are: it indicates the direction of co-movement between variables and the right indicate perfectly phased variables. Results: The results show that the co-movement between the bitcoin market and stocks in Iran in different periods have moved in different directions. This is because the bitcoin market is a global market whose changes in performance are not very affected by changes in domestic demand, and in addition, the demand of the Iranian society for bitcoin does not have a long history. The co-movement between the Bitcoin and exchange rate and Bitcoin and gold markets is similar specially it is more in the short and medium term than in the long term. The strongest correlation between the studied markets has been between gold and foreign exchange. In this regard, gold moves after the dollar exchange rate and their relationship are direct, that is, with the increase of the dollar exchange rate, the price of gold has also increased. After these years, during the years between 2016 to 2017, the intensity of the relationship between gold coins and the dollar exchange rate has not been high, especially in the long run, but after 2016 and with the intensification of banking sanctions and severe fluctuations in the coin and gold markets, in addition to the high intensity of the coherence of these markets at all time scales, the movement of the two variables is also in phase. In other words, in the years after the sanctions, coin prices and exchange rates have had a direct and high movement with each other, and this movement and its intensity has continued in the short run, medium run and long run horizons in 2012 and 2013, which is consistent with real evidence. Iran's economy is over the years. From 2014 to 2018, after the start of negotiations and the gradual lifting of some sanctions and then the severe application of sanctions during the BARJAM agreements (Joint Comprehensive Plan of Action(, stability returned to the gold and foreign exchange markets, and then again fluctuations affect the market so the dollar has depreciated significantly. The periods of coherence between the stock market and gold have been similar to the two gold and foreign exchange markets, but with less intensity. Conclusion: The results of the study offer new interpretations of the return of financial markets for investors. In their investment decisions, economic actors need to base the type and changes between markets, knowing that investing in gold, currency and stock markets in the country is largely influenced by political changes and investments. The bitcoin market is largely influenced by the rules and regulations of the central banks of the world's top economies such as the United States and China, and the world's major policies in buying this cryptocurrency and selling our own products in return. It is suggested that when investing in the cryptocurrency market, the economic policies and programs of the central banks of the world's top economies and the position of the world's largest companies (such as Tesla) against this cryptocurrency must be taken into account. Also, it seems that due to the stronger correlation between the bitcoin, gold and dollar markets and the relatively low correlation between bitcoin and stock returns, economic policymakers need to consider the impact of the bitcoin in their monetary policy. It is an externalization that can affect the monetary policy of the central bank, especially in the medium term, due to the phenomena of financial transmission.
تبلیغات
