مقایسه سهم تأثیر تکانه‌ها و حافظه تلاطم گذشته بازار بر تلاطم‌های جاری بازارهای مالی با تأکید بر رمزارزها: رویکرد MGARCH

اقتصاد پولی مالی

مقاله 1، دوره 30، بهار و تابستان 1402 - شماره پیاپی 25، مرداد 1402، صفحه 1-34   

نوع مقاله: مقاله پژوهشی

شناسه دیجیتال (DOI): 10.22067/mfe.2023.80984.1281

نویسندگان

عیسی عباسی^{* 1}؛ تیمور محمدی²؛ سیدشمس‌الدین حسینی²

¹دانشجوی دکتری اقتصاد دانشگاه علامه طباطبایی

²استاد دانشگاه علامه طباطبایی

چکیده

با توجه به افزایش روزافزون جایگاه بازار رمز پول‌ها (بیت کوین) در دنیا و اثر سرریز تلاطم آن روی سایر بازارها، این مطالعه، با استفاده از داده­های روزانه 1390 تا 1400، به بررسی اثرات سرریز تلاطم­های بازار رمز پول، طلا و نفت پرداخته است. در این مطالعه به‌منظور بررسی تکانه­ها و تلاطم بین بازارهای نفت، طلا و بیت کوین از مدل 𝑉𝐴𝑅−𝑀𝐺𝐴𝑅𝐶𝐻−𝐺𝐽𝑅–𝐵𝐸𝐾𝐾 استفاده‌ شده است. اثر اهرمی (نامتقارن) سرریز تلاطم بین بازارها نیز مورد آزمون گرفته است. با توجه به پویایی معاملات بازار دارایی‌های چند متغیره، اطلاع از چگونگی سرایت اخبار به سایر دارایی‌ها و افزایش خطر نگهداری دارایی‌های پرخطر، مهم است. اثر اهرمی شوک خود بازار و شوک­های ناشی از بازارهای دیگر با استفاده از آزمون والد (Wald Chi-square) بررسی‌شده است. نتایج حاکی از آن است که سهم حافظه تلاطم­ها در توضیح تلاطم­های جاری نسبت به تأثیر تکانه­های گذشته بیشتر است. تأثیر تکانه­های گذشته و حافظه تلاطم­های رمزارزها بر تلاطم­های این بازار بالاست؛ به‌عبارت‌دیگر ­توان گفت نوسانات در بازار رمزپول­ها به‌طور معنی­داری توسط تکانه­های گذشته خود این بازار توضیح داده می­شود. نتایج نشان می­دهد که سرریز تلاطم یک‌طرفه از بازار بیت­کوین به بازار طلا و بازار نفت وجود دارد اما عکس آن صادق نیست. نتایج مطالعه همچنین حاکی از اثرات اهرمی در بازارهاست. اثرات اهرمی شوک بازار طلا به همراه شوک­های بازار نفت و بیت کوین بر بازار طلا، معنی­دار است. اثرات اهرمی شوک بازار نفت به همراه شوک­های بازار طلا و بیت کوین نیز بر بازار نفت معنی­دار است و برای بازار بیت کوین نیز اثرات اهرمی معنی­دار است.

کلیدواژه‌ها

تکانه؛ اثرات اهرمی؛ بازار کالا؛ MGARCH

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