اثر متنوع سازی ارزهای مجازی بر کاهش ریسک سیستمیک با استفاده از رویکرد مدل رگرسیون انتقال ملایم

نوع مقاله : علمی

نویسندگان

1 دانشجوی دکتری مدیریت مالی، گروه مدیریت، دانشکده مدیریت، دانشگاه آزاد اسلامی، واحد قم، قم

2 استادیار گروه اقتصاد اسلامی، دانشکده علوم اقتصادی و اداری، دانشگاه قم

3 استادیار گروه مدیریت دانشگاه آزاد اسلامی واحد قم

10.22080/mrl.2024.27081.2078

چکیده

رمزارزها مانند بیت‌کوین، اتریوم و تتر به عنوان کوین‌های شناخته می‌شوند و با استفاده از پروتکل‌های رمزنگاری و یا سیستم‌های کدگذاری بسیار پیچیده، انتقال اطلاعات حساس را رمزنگاری کرده و واحد مبادله‌ی خود را ایمن می‌سازند. تراکنش‌های این ارزها در سیستم بلاک‌چین ثبت می‌شوند و یکپارچگی آنها قابل تأیید است. یکی از مهم‌ترین مباحث و موضوعات مطرح در بازارهای مالی، آگاهی از میزان ریسک سیستمیک بازار است چرا که نقش به سزایی در تصمیم‌گیری سرمایه‌گذاران دارد. هدف این مطالعه برآورد اثر متنوع سازی ارزهای مجازی بر کاهش ریسک سیستمیک در بازه زمانی 2017 – 2024 بود. در این راستا به منظو برآورد ریسک سیستمیک از روش CoVaR استفاده شد. همچنین به منظور براورد مدل تحقیق از رگرسیون انتقال ملایم (STR) استفاده شد. جامعه آماری مطالعه حاضر بازار رمز ارزها و نمونه آماری شامل بیت کوین، اتریوم، تتر، لیت کوین و بایننس کوین بوده است. نتایج بدست آمده بیانگر این بود که ریسک سیستمیک در بیت کوین به مراتب بالاتر از سایر رمز ارزها بیشتر بوده است. علاوه بر این مشاهده گردید که اثر شاخص تنوع سازی سبد رمز ارز بر ریسک سیستمیک منفی و علاوه بر این مشاهده گردید که اثر شاخص تنوع سازی سبد رمز ارز بر ریسک سیستمیک منفی و غیرخطی بوده و با افزایش در متنوع سازی سبد دارایی

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

The effect of diversification of virtual currencies on reducing systemic risk using the soft transfer regression model approach

نویسندگان [English]

  • Vahid Mahbobi Matin 1
  • Yazdan Gudarzi Farahani 2
  • Seyedabbas Borhani 3
  • Hossein Moghadam 3
1 PhD student in financial management, Department of Management, Faculty of Management, Islamic Azad University, Qom Branch, Qom
2 Assistant Professor, Department of Islamic Economics, Faculty of Economic and Administrative Sciences, Qom University
3 استادیار گروه مدیریت دانشگاه آزاد اسلامی واحد قم
چکیده [English]

Cryptocurrencies such as Bitcoin, Ethereum, and Tether are known as coins, and by using encryption protocols or very complex coding systems, they encrypt the transfer of sensitive information and secure their exchange unit. The transactions of these currencies are recorded in the blockchain system and their integrity can be verified. One of the most important topics and issues raised in the financial markets is the awareness of the systemic risk of the market because it plays a significant role in the decision making of investors. The purpose of this study was to estimate the effect of diversification of virtual currencies on reducing systemic risk in the period of 2017-2024. In this regard, the CoVaR method was used to estimate the systemic risk. Also, in order to estimate the research model, mild transfer regression (STR) was used. The statistical population of the present study of the cryptocurrency market and the statistical sample included Bitcoin, Ethereum, Tether, Litecoin, and Binance Coin. The results showed that the systemic risk in Bitcoin was much higher than other cryptocurrencies. In addition, it was observed that the effect of cryptocurrency portfolio diversification index on systemic risk is negative and non-linear, and with an increase in the diversification of the cryptocurrency asset portfolio, it has led to a decrease in the systemic risk of all studied cryptocurrencies.

کلیدواژه‌ها [English]

  • systemic risk
  • financial crisis
  • bitcoin
  • conditional value at risk
  • smooth transition regression model
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