اخبار و اعلانات
آمار
| تعداد نشریات | 33 |
| تعداد شماره‌ها | 776 |
| تعداد مقالات | 7,514 |
| تعداد مشاهده مقاله | 12,601,460 |
| تعداد دریافت فایل اصل مقاله | 8,522,412 |
Investigating the Impact of the Dollar Index and Gold Return Rate on Bitcoin Price: Non-linear and Asymmetric Analysis | ||
| International Journal of Business and Development Studies | ||
| دوره 15، شماره 1، تیر 2023، صفحه 5-23 اصل مقاله (654.89 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22111/ijbds.2023.46486.2054 | ||
| نویسندگان | ||
| Masoud Mohammadi1؛ MohammadReza Farzin* 2؛ Shamseddin Hosseini3؛ Teymour Mohammadi3 | ||
| 1Department of Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran. | ||
| 2Department of management, Allameh Tabataba'i University, Tehran, Iran, Corresponding Author, Email: b_farzin@yahoo.com. | ||
| 3Department of Economics, Allameh Tabataba'i University, Tehran, Iran. | ||
| چکیده | ||
| Over the past few years, Bitcoin's price has fluctuated significantly, making it a hot topic in finance research. Numerous studies have been conducted to determine whether Bitcoin is a reliable currency. This study aims to investigate how the Dollar Index and Gold Return Rate affect Bitcoin's price, using a non-linear approach with the NARDL method. The findings show that the Gold Return Rate (G) and Dollar Index Return Rate significantly negatively impact Bitcoin's return. Additionally, based on non-linear and asymmetric tests, the assumption of symmetry in the results for all variables, except nominal interest rate and commodity index return, is rejected. This indicates that the impact of the Gold Return Rate, nominal interest rate, fluctuations in the US stock market, and oil price return is asymmetric. These results confirm the non-linear nature of these relationships. They also demonstrate that Bitcoin's return has been able to protect itself to a certain degree against the US dollar or some other investments. | ||
| کلیدواژه‌ها | ||
| Dollar Index؛ Gold Return Rate؛ Bitcoin.Nardl | ||
| مراجع | ||
|
- Ali-Zadeh, Hossein; Safarzadeh, Shima. (2019). Investigating the Presence of Long-term Memory in the Digital Currency Price Index. Journal of Financial Engineering and Securities Management, Vol. 10, pp. 183-169.
- Baumohl, E., & Shahzad, S. J. H. (2019). Quantile coherency networks of international stock markets. Finance Research Letters, 31, 119-129.
- Beneki, C., Koulis, A., Kyriazis, N.A., Papadamou, S. (2019). Investigating volatility transmission and hedging properties between Bitcoin and Ethereum. Res. Int. Bus. Finance 48, 219–227.
- Bouri, E., Das, M., Gupta, R., Roubaud, D., (2018d). Spillovers between Bitcoin and other assets during bear and bull markets. Applied Economics, 50 (55), 5935-5949.
- Cheah, E. T., & Fry, J. (2015). Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters, 130, 32-36.
- Chevapatrakul, T., Mascia, D.V. (2020). Detecting overreaction in the Bitcoin market: a quantile autoregression approach. Finance Res. Lett. 30, 371–377.
- Corbet, S., Lucey, B., Urquhart, A., & Yarovaya, L. (2019). Cryptocurrencies as a financial asset: A systematic analysis. International Review of Financial Analysis, 62, 182-199.
- Das, D., Roux, C. L., Jana, R.K. and Dutta, A (2019). Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar. Finance Research Letters, Forthcoming.
- Demir, E., Gozgor, G., Lau, C. K. M., & Vigne, S. A. (2018). Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation. Finance Research Letters, 26, 145-149.
- Fallahi, Firouz; Jahangiri, Khalil. (2015). Test of Financial Contagion among Stock, Currency, and Gold Coin Markets in Iran. Journal of Monetary and Financial Economics (Knowledge and Development), Vol. 22, pp. 60-82.
- Hatfi Majumder, Majid; Jalali, Am-al-Banin; Rahimi Ghasemabadi, Mohammad. (2018). Bubble Phenomenon in the Digital Currency Market of Bitcoin. Journal of Financial Knowledge Securities Analysis, Vol. 11, pp. 204-189.
- Heybati, Nazli; Hosseini, Seyed Shams Aldin; Safavi, Bijan; Zandi, Fatemeh. (2017). The Relationship between Federal Reserve Monetary Policies and the Value of the Dollar, Oil and Gold Prices: Lessons for Monetary and Financial Policymakers in Iran. Economic Strategy Journal, No. 23, pp. 58-35.
- Huynha, T; Burggraf, T; Wang, Mei. (2020). Gold, platinum, and expected Bitcoin returns, Journal of Multinational Financial Management, Vol (56). PP: 145-164.
- Jareno, F., Gonzalez, M.O., Munera, L. (2020). Analysis of the Spanish IBEX-35 companies’ returns using extensions of the fama and French factor models. Symmetry 12 (295), 1–19.
- Jareno, F; de la, M; Tolentino, M; Sierra, K. (2020). Bitcoin and gold price returns: A quantile regression and NARDL analysis, Journal of Resources Policy, vol (67). PP: 1-14.
- Koenker, R. (2005). Quantile Regression. New York: Cambridge University Press.
- Koenker, R; and Bassett, Jr. (1978). “Regression Quantiles,” Econometrica, 46(1), 33-50.
- Koenker, R; Hallock, K. (2001). “Quantile Regression,” Journal of Economic Perspectives, 15(4), 143-156.
- Liu, M; Lia, G; Lia, J; Zhua, X; Yaoab, Y. (2020). Forecasting the price of Bitcoin using deep learning, Journal of Finance Research Letters, Vol (34), PP: 198-209.
- Nakamoto, S. (2008). Bitcoin: A Peer-to-Peer Electronic Cash System. URL: https://bitcoin.org/bitcoin.pdf.
- Pagano, M.S., Sedunov, J., 2019. Bitcoin and the demand for money: is bitcoin more than just a speculative asset? (November 13, 2019). Available at SSRN.
- Pazouki, Nima; Hamidian, Akram; Mohammadi, Shapour; Mahmoodi, Vahid. (2013). Using Wavelet Transform to Investigate the Level of Correlation between Different Exchange Rates, Oil Price, Gold Price, and Tehran Stock Exchange Equity Index in Different Time Scales. Investment Knowledge Journal, Vol. 2,
- pp. 131-148.
- Pesaran M.H., Shin, Y., & Smith, R.J. (2001). Bounds testing approaches to the analysis of level relationship. J Appl Econometrics 16:289–326.
- Powell, D. (2013). A new framework for the estimation of quantile treatment effects: No separable disturbance in the presence of covariates,” RAND Working Paper Series WR-824-1.
- Shin, Y., Yu, B., Greenwood-Nimmo, M.J., & Sickles, (2014). Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework. In: Horrace, William, C., Robin, C. (Eds.), Festschrift in Honor of Peter Schmidt. Springer Science & Business Media, New York (NY).
- Telli, S; Chen, H. (2020). Multifractal behavior in return and volatility series of Bitcoin and gold in comparison, Journal of Chaos, Solitons and Fractals, Vol (139), PP: 1-17.
- Wang, S., Vergne, J.-P. (2017). Buzz factor or innovation potential: what explains cryptocurrencies’ returns? PLoS One 12 (1), 2–7.
- Zhu, Y; Dickinson, D; Li, J. (2017). Analysis of the influence factors of Bitcoin’s price based on VEC model, Journal of Financial Innovation, Vol (3), PP: 33-52. | ||
|
آمار تعداد مشاهده مقاله: 488 تعداد دریافت فایل اصل مقاله: 434 |
||