نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشجوی دکترای اقتصاد، گروه اقتصاد، دانشکده علوم اداری و اقتصادی، دانشگاه فردوسی مشهد، مشهد، ایران
2 استادیار گروه اقتصاد، دانشکده علوم اداری و اقتصادی، دانشگاه فردوسی مشهد، مشهد، ایران
3 استاد اقتصاد دانشکده علوم اداری و اقتصادی دانشگاه فردوسی مشهد، مشهد، ایران
چکیده
کلیدواژه‌ها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
Extended Abstract
Purpose: A comparative analysis of the Iranian stock market and cryptocurrency markets from 2017 to 2024 highlights significant growth in both sectors. During this period, the Tehran Stock Exchange index surged over 3000%, reaching a historical peak. Globally, the cryptocurrency market witnessed a remarkable expansion, with a 2460% increase in the number of cryptocurrencies and a staggering 16000% growth in total market capitalization. Reports from Triple-A (2023) and Nobitex (2021) estimate that approximately 12 million Iranians are actively engaged in the cryptocurrency market through over 5.2 million accounts.
Existing academic literature posits that various systematic and idiosyncratic risks influence market participants' behavior, asset prices, and ultimately, asset returns. Policymakers aiming to foster stock market development, stimulate economic growth, and finance large enterprises must carefully identify and manage these risk factors to achieve their objectives.
When examining investor behavior and stock market dynamics in Iran, particular attention should be directed toward the role of alternative assets, especially cryptocurrencies. Markowitz's portfolio theory and related studies suggest that investors' portfolios are composed of assets that can serve as substitutes for one another. Therefore, investigating the relationship between the development of the cryptocurrency market and other domestic financial markets is crucial from two perspectives. First, given cryptocurrencies' independence from central banks, the increasing investor activity in decentralized cryptocurrency markets introduces uncertainty regarding the implications of a centralized monetary policy. Second, for investors and portfolio managers, cryptocurrencies offer potential benefits in terms of capital security, risk hedging, and diversification.
Methodology: This study employs a time-varying copula approach to examine the dynamic relationship between selected cryptocurrencies and the Iranian stock market over a 205-week period from early 2018 to late 2023. Following data collection and organization, preliminary tests for normality and stationarity were conducted. Subsequently, the presence of ARCH effects (autoregressive conditional heteroscedasticity) in each data panel was investigated. In the next step, tests for long-term memory in the time series data revealed that all variables exhibited long-term memory, with cryptocurrencies exhibiting a higher degree.
To model the marginal distribution of each return series, ARFIMA-FIAPARCH models were utilized, capturing volatility clustering, asymmetric shocks, and long-memory behavior. To analyze the dynamic dependence between each asset pair (cryptocurrency and stock market), a time-varying copula approach was employed.
Findings and Discussion: The results indicate that the dependence between the selected cryptocurrencies and the Iranian stock market is weak and susceptible to shocks and external events. Based on modern portfolio theory, the weak correlation with stock assets suggests that cryptocurrencies can be valuable tools for investors to manage portfolio risk and return. By incorporating cryptocurrencies into their asset mix, investors can diversify their portfolios and potentially increase the demand for digital currencies within the national economy.
Conclusions and policy implications: The findings of this study indicate that given the low correlation between the Iranian stock market and cryptocurrencies, along with the stagnation of the domestic equity market, developing cryptocurrency investment infrastructure can be a valuable tool for managing portfolio risk. Moreover, the research findings highlight the potential of cryptocurrency markets to diversify portfolios, attract foreign investment, and contribute to the development of a digital economy in Iran. However, further research is necessary to comprehend the full implications of cryptocurrency adoption and establish suitable regulatory frameworks.
The study offers policy recommendations such as creating a supportive legal and regulatory environment for cryptocurrency investments and providing the necessary infrastructure for cryptocurrency trading and custody. Additionally, it proposes research recommendations focusing on in-depth studies of concepts like ICOs, NFTs, and smart contracts, analyzing the correlation between cryptocurrency returns and other financial assets, and investigating the transmission of volatility from cryptocurrency markets to domestic markets.
کلیدواژه‌ها [English]
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