Analysis of the Relationship between Bitcoin Fluctuations and Tehran Stock Exchange Fluctuations During the Coronavirus Epidemic (Markov Switching Baysian VAR)

• Published in: Rāhburd-i mudīrīyat-i mālī Vol. 11; no. 1; pp. 101 - 120
• Main Authors: Mohammad Ali Yousefi Behzad Farokhi, Samineh Qasemifar
• Format: Journal Article
• Language: Persian
• Published: Alzahra University 01-03-2023
• Subjects: bitcoin fluctuations; corona epidemic; msbvar approach; portfolio; stock market index
• ISSN: 2345-3214; 2538-1962
• DOI: 10.22051/jfm.2023.40085.2675

With the advent of cryptocurrencies in international financial markets, the study of new issues around the portfolio of individuals and the risk relationship of different segments of the financial market with each other has become prominent among investors and researchers. In this study, with the help of monthly data from 2013-to 2021 and to investigate the interaction effects of bitcoin fluctuations (risk) and exchange rate on fluctuations in the Iranian stock market index in the portfolio of the M SBVAR approach, two behavioral regimes (consistent with before and After the corona epidemic) has been identified for bitcoin price fluctuations and then the effects of bitcoin innovation on the stock market index during the two behavioral regimes. The results of the study, while confirming the adaptation of bitcoin behavioral regimes to the prevalence of the corona epidemic, show that during the corona epidemic, the stock market index reacts more strongly to bitcoin shocks and exchange rates, and the overall risk Increases the portfolio.