Marzieh Sadat Sajadi; Rahman Khosh Akhlagh; Saeed Samadi; Mohammad Vaez Barzani
Abstract
With the inclusion of Bitcoin in the portfolio of individuals, it is necessary to evaluate this asset from different financial aspects. In this research, first the relationship between the Bitcoin price, S&P500 and Nasdaq Composite is evaluated using VAR model. Since in VAR models individual coefficients ...
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With the inclusion of Bitcoin in the portfolio of individuals, it is necessary to evaluate this asset from different financial aspects. In this research, first the relationship between the Bitcoin price, S&P500 and Nasdaq Composite is evaluated using VAR model. Since in VAR models individual coefficients do not lead to statistical inferences, IRFs are being evaluated. It was found that one standard deviation shock on the value of the Nasdaq Composite has a gradual incremental effect on the price of Bitcoin. Also, one standard deviation shock on the value of S&P 500 has a negative downward effect on the price of Bitcoin while one Bitcoin's standard deviation shock is ineffective on S&P500 and Nasdaq Composite. In addition, considering the Granger causality test, S&P500 and Nasdaq Composite cause bitcoin price changes, but the opposite is not true. Having concluded statistical causality of S&P500 and Nasdaq Composite in the previous steps, the price of Bitcoin based on diagnostics being done is regressed as a dependent variable and influenced by the S&P500 and Nasdaq Composite indexes and also needed dummy variable using the ARDL model. The short-term to long-term estimated adjustment coefficient in ECM model is -0.009 and is significant. The overall explanatory power of the model is 99%. Since the normality test and homoscedasticity test were not supported, considering the ability of Robust estimation method to adjust these conditions, this method was used to regress ARDL model. The explanatory power of the model is between 64% and 99%
, Behavioral Economics
Raheleh Dabiri; Mohammad Vaez Barzani; Saeed Samadi
Abstract
Decision-making on financing methods is one of the most important decisions of managers that can be affected by their behavioral biases. Behavioral biases can cause managers to make irrational decisions and select the optimal financing method with difficulty. Recognizing and evaluating biases is an important ...
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Decision-making on financing methods is one of the most important decisions of managers that can be affected by their behavioral biases. Behavioral biases can cause managers to make irrational decisions and select the optimal financing method with difficulty. Recognizing and evaluating biases is an important step to control them and improve decision making. Given the importance of this issue, the present study has analyzed the pathology of evaluation methods of behavioral biases, specifically in research on financing methods. In this study, for the first time, research onion is used to review studies on evaluation of behavioral biases by research onion. In order to select the articles, related keywords such as behavioral finance, evaluation of behavioral biases, and financing methods were searched in reliable databases and articles related to the research topic were collected. More than 200 articles have been studied and 33 related articles have been selected to examine the methods of evaluating behavioral biases. The study results showed the low variety of statistical analysis methods for evaluating behavioral biases in financing. The application of research onion shows that the methodology of these studies was mainly based on the philosophy of positivism, practical orientation, and comparative approach. Also, it was mainly conducted by the quantitative research and survey strategy, and the data was collected by the library documents.
Other
Meymanat Ebrahimi; Mohammad Vaez Barzani; leila Torki; Hassan Heydari
Abstract
In this paper, the impact of monetary shocks on asset changes and the financial liabilities of different institutional sectors were examined. Afterwards, financial and non-financial tools of the private sector’s balance sheet in the funds flow account were analyzed. For this purpose, the data from ...
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In this paper, the impact of monetary shocks on asset changes and the financial liabilities of different institutional sectors were examined. Afterwards, financial and non-financial tools of the private sector’s balance sheet in the funds flow account were analyzed. For this purpose, the data from 1973 to 2017 of the factor-augmented vector autoregressive (FAVAR) model was employed. Results show that expansionary monetary shock has led to a rise in the assets and financial liabilities belonging to institutional sectors in the first year. With regard to the private sector and the financial tools of its balance sheet, monetary shock significantly impacts this sector’s long-term deposit while it has a weak insignificant impact on the short-term deposit. The monetary shock also has a strong significant impact on the private sector’s taking long-term loans while it has a weak insignificant impact on the short-term loans taken by the same sector. Regarding the non-financial tools of this sector, the expansionary monetary shock has a positive effect on the construction and machinery investment in the short run. In the long run, however, the two variables’ responses are reversed which indicates the negative effect of monetary shock caused by an increase in oil revenues on the private sector’s investment in both the construction and the machinery sector. As a result, it can be concluded that the oil revenue reduces the private sector’s relative size in Iran economy.
