Evaluating the Relationship between Digital Currencies and Stock Market Indices (VAR Regression Approach)

Document Type : Original Article

Authors
behrouz shakeri, 1
jalil beytari 2
mohammadreza ghorbanian 2
roohollah javadi 3
1 PhD student, Department of Financial Engineering, Faculty of Humanities, Qods City Branch, Islamic Azad University, Tehran, Iran.
2 Assistant Professor, Islamic Azad University, Shahr-Qods Branch, Shahr-Qods, Iran.
3 Assistant Professor, Payam Noor University, Iran.
10.30495/jik.2024.23763
Abstract
Today, with the presence of digital currencies in the world, many people keep their funds and assets in the form of digital currency. Studying the research literature shows that digital currencies are related to stock market indices. Based on this, the current research was conducted with the aim of evaluating the relationship between digital currencies and stock market indices. For this purpose, the present study was evaluated by VAR regression method. The time period under study is daily from 07/08/2015 to 12/30/2020. The geographical area of this research is the Tehran Stock Exchange. In this research, 4 regression models were estimated to evaluate the relationship between digital currencies and stock market indices. Based on the results, the two-way relationship between the fluctuations of digital currencies and stock market indices was confirmed. In general, the fluctuations of stock market indices have a positive effect on the fluctuations of digital currencies, and among digital currencies, the fluctuations of Bitcoin have a great impact on the fluctuations of stock market indices.
Keywords
Digital currencies
stock market indices
VAR regression
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