نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشجوی دکتری مدیریت مالی، دانشگاه آزاد اسلامی واحد علوم تحقیقات
2 استاد گروه مدیریت دانشگاه آزاد اسلامی
3 استادیار گروه مدیریت دانشگاه آزاد اسلامی
چکیده
کلیدواژهها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
The purpose of this paper was to provide a dynamic model to explain how to contagion the systemic risk of cryptocurrencies in the financial markets of the world and Iran. In this regard, the statistical information of the cryptocurrency market index and the data of the Nasdaq, New York, Toronto, London, Frankfurt, Madrid, Shanghai, Hong Kong, Tokyo, Tehran and Mumbai stock market indices were used. In this research, the data related to the cryptocurrency market and financial markets from July 2012 to July 2022 have been used. In the first part of this study, using the information of the period 2012-2022, based on the frequency of monthly data for the financial markets, the comprehensive risk criterion has been calculated using the conditional value-at-risk method of the interval and the expected loss. In the second part, using multivariable conditional heteroscedastic variance autocorrelation method (MGARCH), the external effects related to systemic risk related to cryptocurrency were estimated on financial markets. The results indicate that there are spillover effects between financial markets and an increase in systemic risk in each of the financial markets leads to an increase in systemic risk in other financial markets. The results indicate that there are spillover effects between financial markets and an increase in systemic risk in each of the financial markets leads to an increase in systemic risk in other financial markets.The results indicate that there are spillover effects between financial markets and an increase in systemic risk in each of the financial markets leads to an increase in systemic risk in other financial markets.
کلیدواژهها [English]
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