Analyzing the structural breaks and the exchange market turbulence on volatility spillovers between exchange rates and Tehran Stock Exchange

Subject Areas : Financial Knowledge of Securities Analysis

Amir Yazdinejad ¹ , abdolmajid dehghan ²

1 - Master student of Financial Management, Faculty of Management and Accounting, Islamic Azad University, Imam Khomeini Memorial Branch - Shahrari, Tehran, Iran
2 - Assistant Professor, Department of Business Management, Faculty of Management and Accounting, Islamic Azad University, Imam Khomeini Memorial Branch; Shahrari, Tehran, Iran, Corresponding Author.

Received: 2021-09-25 Accepted : 2021-09-25 Published : 2021-08-23

Keywords: Market Turbulence, Volatility Spillover, Currency Exchanege Rate, Tehran Stock Exchange Performa, Multiple Structural Breaks,

Abstract :

This article has studied several fluctuations in the Iranian currency market and multiple turmoils in the economy that have not only wiped out Iranians private savings but also affected financial market activists to provide a better understanding of fluctuations' movement between markets. To doing so, we used the exchange rate in the open market (in some periods, the black market) as one variable and the Tehran Stock Exchange Index (TEDPIX) as a second in the form of multivariate conditional heterogeneity variance (MGarch) model. According to the results, the time series suggests multiple structural breaks from Dec. 2018 to Jan. 2020. Using the so-called GLS-Based unit root test, we observed five structural breaks that produced stationary problems at the level and no evidence of stationary problems at the return of the data. Also, by using DCC and FDCC models we confirm that there is a fluctuation between the two markets during the period. This overflow shows a different performance if structural failures are considered.

References:

*      D. Chaum, “Blind signatures for untraceable payments,” in Proc. 2nd Conf. Adv. Cryptol., Aug. 1982, pp. 199–203.

*      L. Law, S. Sabett, and J. Solinas, “How to make a mint: The cryptography of anonymous electronic cash,” Amer. Univ. Law Rev., vol. 46, no.4, 1996.

*      W. Dai. (1998). B-Money [Online]. URL: http://www.weidai.com/bmoney.txt

*      V. Vishnumurthy, S. Chandrakumar, and E. G. Sirer, “KARMA: A secure economic framework for peer-to-peer resource sharing,” in Proc. 1st Workshop Econ. Peer Peer Syst. (P2PEcon’03), 2003.

*      H. Finney, “Rpow [Online],” URL: http://cryptome.org/rpow.html, 2004.

*      N. Szabo, “Bit Gold [Online],” URL: http://unenumerated.blogspot.de/2005/12/bit-gold.html, 2005.

*       Nakamoto. S, “Bitcoin: A peer-to-peer electronic cash system,” 2008.

*      Florian Tschorsch and Björn Scheuermann, “Bitcoin and Beyond: A Technical Survey on Decentralized Digital Currencies,” IEEE COMMUNICATIONS SURVEYS & TUTORIALS, VOL. 18, NO. 3, 2016.

*      Joline Göttfert, “A cointegration analysis of Bitcoin, Bitcoin Cash, EOS, Ethereum, Litecoin and Ripple,” UMEA Universities, 2019.

*      V. Buterin, “Ethereum White Paper: A Next Generation Smart Contract & Decentralized Application Platform,” URL: http://blockchainlab.com/pdf/Ethereum_white_paper-a_next_generation_ smart_contract_and_decentralized_application_platform-vitalikbuterin.pdf, 2013.

*      G.Jeff, “Block size increase to 2MB,” URL: https://github.com/bitcoin/bips/blob/master/bip-0102.mediawiki, Github Repository, 2015.

*      L .Johnson, “Merkelized Abstract Syntax Tree,” URL: https://github.com/bitcoin/bips/blob/master/bip-0114.mediawiki, Github Repository, 2016.

*      L. Eric, L. Johnson, and W.Pieter, “Segregated Witness,” URL:https://github.com/bitcoin/bips/blob/master/bip-0141.mediawiki, Github Repository, 2015.

*      W. Pieter, “Dealing with malleability,” URL:https://github.com/bitcoin/bips/blob/master/bip-0062.mediawiki, Github Repository, 2014.

*      C.P.Schnorr, “Efficient signature generation by smart cards,” Journal of cryptology 4.3: 161-174, 1991.

*      J.Poon, and T.Dryja, “The bitcoin lightning network: Scalable offchain instant payments,” 2016.

*      S. D. Lerner, “Raiden Network, cheap, scalable token transfers for Ethereum,” 2018.

*      A. Back et al., “Enabling Blockchain Innovations with Pegged Sidechains,” URL: http://www.opensciencereview.com/papers/123/enablingblockchaininnovations-with-pegged-sidechains, 2014.

*      J.Poon, and V.Buterin, “Plasma: Scalable Autonomous Smart Contracts,” White paper, 2017.

*      D. Larimer, “EOS.IO technical white paper,” URL: https://github.com/EOSIO/Documentation, 2017.

*      W. Zheng et al., “XBlock-EOS: Extracting and Exploring Blockchain Data From EOSIO,” 2020.

*      D. Horn, “Telos Whitepaper: A sustainably decentralized EOSIOnetwork,” URL: https://resources.telosfoundation.io/telos_white_paper_7_17.pdf, 2018.

*      BOS FOUNDATION LTD, “BOSCore technical white paper,” URL: https://osshkbk01.oss-cn-hongkong.aliyuncs.com/bos/res/BOSCoreTechnicalWhitePaper.pdf, 2018.

*      MEET.ONE Team, “MEET.ONE: The Portal to EOS white paper,” URL: https://meet.one/MEETONE_EN.pdf, 2018.

*      W. Quigley et al., “WAX Protocol Whitepaper,” URL: https://github.com/worldwide-asset-exchange/whitepaper, 2019.

*      F. Krueger, “LynxChain Whitepaper 1.0,” URL: https://medium.com/lynxwallet/lynx-chain-whitepaper-1-0-6869fd9582c3, 2019.

*      ULTRA Team, “ULTRA: The Future of Digital Games Distribution Whitepaper,” URL: https://ultra.io/whitepaper, 2019.

*      W. Tsai et al., “A Multi-Chain Model for CBDC,” 5th International Conference on Dependable Systems and Their Applications (DSA), 2018.

*      E. A. Opare and K. Kim., “A Compendium of Practices for Central Bank Digital Currencies for Multinational Financial Infrastructures,” IEEE Access: Special Section On Blockchain Technology: Principles and Applications, 2020.

*      Committee on Payments and Market Infrastructures (CPMI), “Central Bank Digital Currencies,” Bank for International Settlements, 2018.

*      C. Barontini, H. Holden, “Proceeding with caution - a survey on central bank digital currency,” Bank for International Settlements, URL: https://www.bis.org/publ/bppdf/bispap101.pdf, 2019.

*      Madelein Gartz, Ida Linderbrandt, “Are Cryptocurrencies the Future of Money, Whether a Transition to Cryptocurrency, as National Currency of Sweden, Would be Possible and What it Would Imply for the Swedish Society,” DEGREE PROJECT IN TECHNOLOGY. STOCKHOLM, SWEDEN, 2017.

*      COSMOS CR team, “CosmosCR: A new internet build in a virtual reality metaverse,” PolkaDot Whitepaper, 2016.

*      G. Wood, “POLKADOT: VISION FOR A HETEROGENEOUS MULTI-CHAIN FRAMEWORK,” Cosmos CR Whitepaper V 1.2, 2019.

*      N. Durov, “Telegram Open Network,” TON Whitepaper Ver.3, 2018.

*      N. Szabo, “The idea of smart contracts,” 1997.

*      Y. Huang, H. Wang, L. Wu, G. Tyson, X. Luo, R. Zhang, X. Liu, G. Huang, and X. Jiang, “Characterizing eosio blockchain,” 2020.

*      L. Quan, L.Wu, and H.Wang, “EVulHunter: Detecting Fake Transfer Vulnerabilities for EOSIO’s Smart Contracts at Webassemblylevel,” 2019.

*      G. Danezis, S. Meiklejohn, “Centrally banked cryptocurrencies,” URL: https://arxiv.org/abs/1505.06895, 2015.

*      H. Sun et al., “Multi-Blockchain Model For Central Bank Digital Currency,” 18th International Conference on Parallel and Distributed Computing, Applications and Technologies (PDCAT), 2017