Investigating the spillover effect of traditional and modern currency market with the Tehran Stock Exchange index
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Investigating the spillover effect of traditional and modern currency market with the Tehran Stock Exchange index

Document Type : Original Article

Authors
1 Ph.D. Department of Islamic Financial Economics, Imam Sadiq University, Tehran, Iran
2 Associate Professor, Department of Financial Economics, Faculty of Islamic Studies & Economics, Imam Sadegh University, Tehran, Iran
Abstract
The aim of the study is to investigate The spillover effects of traditional and new financial markets (stock market, cryptocurrency and foreign exchange) by VAR model during the period of 5/2/2012 to 10/1/2023. Knowing the relationships between financial markets is a necessary issue for investors to make appropriate decisions. This knowledge can help policymakers in policy design and investors in predicting fluctuations. The results of this research show that 1) Bitcoin is not affected by the foreign exchange market and the Iranian stock exchange; Also, this market does not have a significant effect on the two foreign exchange markets and the stock market, so investors can choose the cryptocurrency market for investment in order to cover the portfolio risk. 2) The currency market and the stock market have a mutual influence on each other, although the influence of the currency on the stock market is greater and faster, but the influence of the stock market on the currency is less; According to the results of this research, it is necessary for the Two politicians in Foreign exchange and capital market to coordinate their policies so that both markets have the least turbulence, On this basis, it is necessary to coordinate capital market and currency market policies.
Keywords
Subjects

Abu Nouri, Esmail; Gol-Arzi, Gholam-Hossein; Abolfazli, Seyed Ramin; Vaisi, Hossein. (1401). Exchange Rate, Equally Weighted Stock Index, Gold ETF and Bitcoin Using the DECO-GARCH. Quarterly Journal of the Stock Exchange, 17: 25-48. (In Persian)
Anoop S. kumar, S. Anandarao, Phsica A. (2019). Volatility spillover in crypto- currency markets: some evidence from GARCH and wavelet analysis.
Ansari Samani, Habib; Heydarpour, Hadith. (2018). Studying the contagion of financial risk between Iran and selected countries. Quarterly Journal of Econometric Modeling, 4: 93-119. (In Persian)
Ashna, Malihe; Lal-Khezri, Hamid. (2019). Dynamic correlation of global economic policy uncertainty index with stock, currency and coin market volatility in Iran. Quarterly Journal of Econometric Modeling, 5(2): 147-152. (In Persian)
Azarbaijani, Karim, Mobini Dehkordi, Mustafa, Kamalian, Alireza. (2017). Analysis of the asymmetric effects of exchange rates on the stock price index of the stock exchange. Quarterly Journal of Economics and Modeling, Shahid Beheshti University, 36: 31-49. (In Persian)
Central Bank Time Series Bank Database, https://www.cbi.ir (In Persian)
Cryptocurrency Time Series Data Bank Database, https://www.investing.com (In Persian)
Dai, Z; Haoyang Zhu, Xiuhua Zhang. (2022). Dynamic spillover effects and portfolio strategics between crude oil, gold and Chinese stock markets related to new energy vehicle, Energy Econimics, 109, 105959.
Dyhrberg, A, H. (2016). Bitcoin, gold and the doller a GARCH volatility analysis. Finance Research Letters, 16, 85-92.
Eyvazlou, Reza; Bajlan, Saeed; Chaharahi, Mustafa. (2018). A dynamic study of the relationship between uncertainty in gold and crude oil prices and the return of the bank stock price index, Financial Engineering and Securities Management, 36: 31-49. (In Persian)
Ghasemifar, Samin; Farrokhi, Behzad; Yousefi, Mohammad Ali. (2023). Analysis of the relationship between Bitcoin volatility and stock market volatility during the coronavirus pandemic, Strategic Financial Management Quarterly, Alzahra University, 11(40): 101-120. (In Persian)
Gujarati, D. (2011). Econometrics by example, Palgrave Macmillan.
H MohdThas Thaker and A Ah Mand. (2020), Bitcoin and stock markets: a revisit of relationship Journal of Derivatives and Quantitative Studies:선물연구 Vol. 29 No. 3, 2021 pp. 234-256
Hassani, Eshban; Entezar, Elnaz. (2019). Investigating the impact of exchange rate fluctuations on stock price returns and investment portfolio optimization. Quarterly Journal of Investment Knowledge, 8 (31): 226-248. (In Persian)
Kang, S.H; Melver, R; Yoon, S.M; (2017). Dynamic spillover effects among crude oil, precious metal, & agricultural commodity futures markets. Energy Economics, 62, 19-32.
-Khatami, Seyyed Mohammad Reza; Zomordian, Gholam Reza; Fallah Shams Lialistani, Mirfiz; Minouei, Mehrzad. (2022). Examining the Interdependence Structure of Iran's   Stock Market and MENA Countries, Financial Economics, 16 (61): 273-310. (In Persian)
Kocaarslan, B. (2020) Volatility spillover between uncertainty in financial and commodity markets and Turkish Stock markets, Business and economics research Journal, 11,119-129.
Kordes, L. & Pritsker, M. (2002). A Rational Expectations Model of financial contagion Journal of finance, 57, 769-799.
Kordes, L. & Pritsker, M. (2002). A Rational Expectations Model of financial contagion Journal of finance, 57, 769-799.
Mohammadinejad Pashaki, Mohammad Baqer; Eqbalnia, Mohammad. (2023). Investigating And Analyzing Economic Sanction effect in Shock Spillover to Stock, Currency and Gold coin Markets, Scientific Journal of Strategic Research on Budget and Finance, 4: 149-173. (In Persian)
Pesaran, M.H; Shin, Y. (1996), “Cointegration & speed of convergence to equilibrium,” Journal of Econometrics, vol, 71, pp. 117-143.
Ranjbar, Mohammad Hossein; Fallah Shams, Mirfiz; Rezazadeh, Roohollah. (2018). Studying the effect of exchange rate uncertainty on stock price index and investment amount in Tehran Stock Exchange. Quarterly Journal of Investment Knowledge, 7(27): 1-23. (In Persian)
Rong-Gang Cong and Shaochuan Shen .(2021) “Relationships among Energy Price Shocks, Stock   "Market, and the Macroeconomy: Evidence from China، Hindawi Publishing Corporation The ScientificWorld Journal Volume 2013, Article ID 171868, 9 pages
Salisu, A, Isah, K, A, A (2019). Dynamic spillovers between stock and money markets in Nigeria: A VARMA- GARCH approach. Review of Economic Analysis 11, 255-283.
Souri, Ali. (2012). Econometrics with the use of Eviews7, Noor Alam Publication. (In Persian)
Souri, Ali. (2015). Econometrics with the use of Eviews and Stata, 2(4), Tehran, Farhangshenasi Publications. (In Persian)
Stock market data time series database, https://www.bourseview.com (In Persian)
-Taheri, Hamed, Sarem Safari, Milad. (2011). Studying the relationship between exchange rate and Tehran Stock Exchange price index. Quarterly Journal of Economic Research Trends, 80, 60-73. (In Persian)
-Tehrani, Mostafa; Baghzian, Albert; Mirlohi, Seyed Mojtaba. (2021). Spillover between Tehran Stock Exchange and International Oil Market. Quarterly Journal of Financial Research, University of Tehran, 23(3): 466-481. (In Persian)
Warshaw, E. (2020), Asymmetric Volatility Spillover between European equity and foreign exchange markets: Evidence from the frequency domain, International Review of Economics and Finance 68, 1-14.
Yarovaya, L, Brzeszczynski, J, Lau, C. (2016), Intra- and Inter-regional return and Volatility Spillovers across emerging and developed markets: Evidence from stock indices index futures. International Review of Financial Analysis, 43, 96-114.
Zare, Maryam; Zare, Hashem; Ebrahimi, Mehrzad, Haghighat, Ali. (1401). Analysis of Stock, Gold, and Foreign Exchange markets in Iran: An experimental approach to Quantum. Quarterly Journal of the Stock Exchange, 16: 91-112. (In Persian)