Investigation of turbulence Contagion and risk dynamics of real and virtual currency with DCC conditional model

Subject Areas : Financial Knowledge of Securities Analysis

ALI BAGHBAN ¹ (Department Financial Management, Qom Branch, Islamic Azad University, Qom, Iran)
HAMIDREZA KORDLOUIE ² (Department Business Adminstarion, Tehran Central Branch, Islamic Azad University, Tehran, Iran)
mirfeyz fallah ³ (Department Business Adminstarion, Tehran Central Branch, Islamic Azad University, Tehran, Iran.)
Reza Gholami Jamkarani ⁴ (Department Accounting, Qom Branch, Islamic Azad University, Qom, Iran.)

Received: 2022-06-08 Accepted : 2022-07-19 Published : 2022-11-22

Keywords: contagion, Financial volatility, cyrupticurrency,

Abstract :

The foreign exchange market has a very close relationship with other markets and exchange rate changes cause changes in other markets. Contagion means the transfer of fluctuations from one market to another, due to their close relationship. The present study has investigated the contagious risk of turbulence. In this study, the contagious effect of real and virtual currency fluctuations has been measured. The data used in this study, including the exchange rate of the dollar based on the euro and the price of bitcoin in the period 01/2015 and 2020/01, were collected and examined by the generalized multivariate conditional variance heterogeneity(MGARCH) and DCC method. The present study is based on the classification of research based on method, nature and direction, respectively descriptive survey, applied and post-event. The results of this study confirm the relationship between the volatility of real currency and virtual currency. In other words, the main hypothesis of the research on the contagion of virtual and real exchange rate fluctuations has been confirmed unilaterally from virtual exchange rate to real exchange rate.

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