Investigating the spillover effect of traditional and modern currency market with the Tehran Stock Exchange index
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...
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Securities Exchange
2025-04-01
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| Series: | فصلنامه بورس اوراق بهادار |
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| Online Access: | https://journal.seo.ir/article_11418_b9e4b5c899b3b26b08a421b86be8ea22.pdf |
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| author | shima javaheri AHMAD Shabani |
| author_facet | shima javaheri AHMAD Shabani |
| author_sort | shima javaheri |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-dbb58c45850a4e00a5149933dd5fc10a |
| institution | DOAJ |
| issn | 2228-5431 2820-9893 |
| language | fas |
| publishDate | 2025-04-01 |
| publisher | Securities Exchange |
| record_format | Article |
| series | فصلنامه بورس اوراق بهادار |
| spelling | doaj-art-dbb58c45850a4e00a5149933dd5fc10a2025-08-20T03:10:27ZfasSecurities Exchangeفصلنامه بورس اوراق بهادار2228-54312820-98932025-04-01186911113210.22034/jse.2024.12381.223511418Investigating the spillover effect of traditional and modern currency market with the Tehran Stock Exchange indexshima javaheri0AHMAD Shabani1Ph.D. Department of Islamic Financial Economics, Imam Sadiq University, Tehran, IranAssociate Professor, Department of Financial Economics, Faculty of Islamic Studies & Economics, Imam Sadegh University, Tehran, IranThe 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.https://journal.seo.ir/article_11418_b9e4b5c899b3b26b08a421b86be8ea22.pdfstock marketvector autoregression modelspillovervariance analysis |
| spellingShingle | shima javaheri AHMAD Shabani Investigating the spillover effect of traditional and modern currency market with the Tehran Stock Exchange index فصلنامه بورس اوراق بهادار stock market vector autoregression model spillover variance analysis |
| title | Investigating the spillover effect of traditional and modern currency market with the Tehran Stock Exchange index |
| title_full | Investigating the spillover effect of traditional and modern currency market with the Tehran Stock Exchange index |
| title_fullStr | Investigating the spillover effect of traditional and modern currency market with the Tehran Stock Exchange index |
| title_full_unstemmed | Investigating the spillover effect of traditional and modern currency market with the Tehran Stock Exchange index |
| title_short | Investigating the spillover effect of traditional and modern currency market with the Tehran Stock Exchange index |
| title_sort | investigating the spillover effect of traditional and modern currency market with the tehran stock exchange index |
| topic | stock market vector autoregression model spillover variance analysis |
| url | https://journal.seo.ir/article_11418_b9e4b5c899b3b26b08a421b86be8ea22.pdf |
| work_keys_str_mv | AT shimajavaheri investigatingthespillovereffectoftraditionalandmoderncurrencymarketwiththetehranstockexchangeindex AT ahmadshabani investigatingthespillovereffectoftraditionalandmoderncurrencymarketwiththetehranstockexchangeindex |