International Journal of Finance & Managerial Accounting

International Journal of Finance & Managerial Accounting

Relationship between financial markets with using GARCH-DCC approach

Document Type : Original Article

Authors
Yazdan Gudarzi Farahani 1
Zoleikha Morsali arzanagh 2
Ebrahim Abbasi 3
Abbas Mollaeevaneghi 4
1 Assistant Professor, Faculty of Economic and Administrative Sciences, University of Qom, Qom, Iran
2 PhD student in Economics, Aras Campus, Tehran University, Tehran, Iran
3 Professor, Department of Financial Management, Faculty of Social and Economic Sciences, Alzahra University, Tehran, Iran
4 MA in finance management, Iranian University, Tehran, Iran
10.30495/ijfma.2023.74161.2038
Abstract
The purpose of this article was to investigate the non-linear relationship between the price of Bitcoin, gold, oil and the USD in global markets. In this regard, the fluctuations of each of these variables were modeled using the GARCH model. Then, using a bivariate GARCH model, the relationship between the variables was investigated. In this study, the statistical data wase used for period of 2010-2022 based on the frequency of monthly data. Nowadays, with development of information system and interaction among financial markets across the world, downturn and boom transition in different markets is growing with a significant speed and with regard to economies in countries; contagion of crisis from global markets, slows down the development countries. The results indicated that the fluctuations of the financial markets had an effect on each other. It was also observed that the volatility was transferred between the dollar and bitcoin. In addition, fluctuations in the gold and dollar market have also been transferred to other markets. Also, the results indicated that any shock from any financial market had significant effects on other financial markets.
Keywords
Volatility
Bitcoin
Gold Price
USD
Spillover effect
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