International Journal of Nonlinear Analysis and Applications
Investigating the cryptocurrency market and the investor sentiment in the Tehran Stock Exchange
Document Type : Research Paper
Authors
1 Department of Financial Engineering, University of Tehran, Kish International Campus, Iran
2 Faculty of Management and Insurance, University of Tehran, Tehran, Iran
Abstract
This research aims to investigate the cryptocurrency market and investor sentiment in the Tehran Stock Exchange. In this regard, four hypotheses were formulated. To test these hypotheses using the systematic removal sampling method, a sample consisting of 105 companies admitted to the Tehran Stock Exchange from 2017 to 2021 was selected. Multivariate regression models for panel data and quantitative regression models were used to analyze the data and test the hypotheses. The results of the research show that there is a significant relationship between the stock return and volatility of cryptocurrencies and investor sentiment in the Tehran Stock Exchange. In addition, the COVID-19 pandemic has had an impact on the relationship between stock return and volatility of cryptocurrencies and investor sentiment in the Tehran Stock Exchange.
Keywords
[1] M. Baker, J.C. Stein, and J. Wurgler, When does the market matter? stock prices and the investment of equity-dependent firms, Quart. J. Econ. 118 (2003), no. 3, 969–1005.
[2] S. Ben Khelifa, K. Guesmi, and C. Urom, Exploring the relationship between cryptocurrencies and hedge funds during the COVID-19 crisis, Int. Rev. Financ. Anal. 76 (2021), 101777.
[3] E. Bouri, R. Demirer, D. Gabauer, and R. Gupta, Financial market connectedness: The role of investors’ happiness, Finance Res. Lett. 44 (2022), 102075.
[4] T. Burggraf, T.L.D. Huynh, M. Rudolf, and M. Wang, Do fears drive bitcoin, Rev. Behav. Finance, 13 (2021), no. 3, 229–258.
[5] A. Caferra, Sentiment spillover and price dynamics: Information flow in the cryptocurrency and stock market, Phys. A: Statist. Mech. Appl. 593 (2022), no. 5, 518–532.
[6] R. Chemkha, A. Ben Sa¨ıda, A. Ghorbel, and T. Tayachi, Hedge and haven properties during COVID-19: Evidence from Bitcoin and gold, Quart. Rev. Econ. Finance 82 (2021), 71–85.
[7] T. Chen, C.K.M. Lau, S. Cheema and C.K. Koo, Economic policy uncertainty in China and bitcoin returns: Evidence from the COVID-19 period, Frontiers in Public Health, 9 (2021), 651051.
[8] C. Chen, L. Liu, and N. Zhao, Fear Sentiment, Uncertainty, and Bitcoin Price Dynamics: The Case of COVID-19, In Research on Pandemics, Routledge, 2021.
[9] K.A. Effendi, S. Ichsani, D. Hertina, and M.H. Saudi, The COVID-19 pandemic has changed investors’ financial behavior, Rev. Int. Geograph. Educ. Online 11 (2021), no. 6, 145–152.
[10] C. Eom, T. Kaizoji, S.H. Kang, and L. Pichl, Bitcoin and investor sentiment: statistical characteristics and predictability, Phys. A: Statist. Mech. Appl. 514 (2019), 511–521.
[11] A. Guzm´an, C. Pinto-Guti´errez, and M.-A. Trujillo, Trading cryptocurrencies as a pandemic pastime: COVID-19 lockdowns and bitcoin volume, Mathematics 9 (2021), 1771.
[12] A. Habibirad and A. Panahi, Explaining the relationship between bitcoin price in business financial transactions and search volume in order to identify its behavioral pattern: A comparative study between countries, Smart Bus. Manage. Stud. 10 (2022), no. 37, 347–372.
[13] M.B. Hasan, M.K. Hassan, M.M. Rashid, and Y. Alhenawi, Are haven assets really safe during the 2008 global financial crisis and COVID-19 pandemic?, Glob. Finance J. 50 (2021), 100668.
[14] Y. Huang, K. Duan, and T. Mishra, Is Bitcoin really more than a diversifier? A pre-and post-COVID-19 analysis, Finance Res. Lett. 43 (2021), , 102016.
[15] T.L.D. Huynh, M. Wang, and V.X. Vo, Economic policy uncertainty and the Bitcoin market: An investigation in the COVID-19 pandemic with transfer entropy, Singapore Econ. Rev. 66 (2021), no. 3, 1–27.
[16] H. Kinateder and V.G. Papavassiliou, Calendar effects in Bitcoin returns and volatility, Finance Res. Lett. 38 (2021), no. 1, 101420.
[17] R. Koenker and G. Bassett Jr., Regression quantiles, Econometrica 46 (1978), no. 1, 33–50.
[18] Z. Li and Q. Meng, Time and frequency connectedness and portfolio diversification between cryptocurrencies and renewable energy stock markets during COVID-19, North Amer. J. Econ. Finance 59 (2022), 101565.
[19] M.A. Lopez-Cabarcos, A.M. Perez-Pico, J. Pineiro-Chousa, and A. Sevic, Bitcoin volatility, stock market and investor sentiment. Are they connected?, Finance Res. Lett. 38 (2019), no. 1, 102021.
[20] P.E. Mandaci and E.C. Cagli, Herding intensity and volatility in cryptocurrency markets during the COVID-19, Finance Res. Lett. 46 (2022), 102382.
[21] C.D. Mariana, I.A. Ekaputra, and Z.A. Husodo, Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?, Finance Res. Lett. 38 (2021), 101798.
[22] A. Melki and N. Nefzi, Tracking safe haven properties of cryptocurrencies during the COVID-19 pandemic: A smooth transition approach, Finance Res. Lett. 46 (2022), 102243.
[23] M. Mello and R. Perrelli, Growth equations: a quantile regression exploration, Quart. Rev. Econ. Finance 43 (2003), no. 4, 643–667.
[24] H. Mohammadi Shad, A.R. Keighobadi, and M. Madanchizaj, Dynamic accounting and financial relationships between commodity markets, financial markets and cryptocurrencies with a self-correlated model approach with distributive discontinuities, J. Financ. Account. Audit Res. 12 (2021), no. 48, 203–228.
[25] K. Mokni, A. Bouteska, and M. Sahbi Nakhli, Investor sentiment and Bitcoin relationship: A quantile-based analysis, North Amer.J. Econ. Finance 60 (2022), 101657.
[26] H. Moridipour, M. Hemat Far and M.H. Janani, Explanation of the role of investors’ sentiment on the stock liquidity of firms listed on the Tehran Stock Exchange, J. Invest. Knowledge 11 (2022), no. 42, 435–453.
[27] M.A. Mozaffari, S. Bajalan, and R. Eivazlu, Analyzing the volatility behavior of Bitcoin and examining its safe haven and hedge capability for Iranian investors, J. Financ. Manag. Persp. 12 (2022), no. 37, 9–35.
[28] S.K. Oad Rajput, I.A. Soomro, and N.A. Soomro, Bitcoin sentiment index, bitcoin performance and US dollar exchange rate, J. Behav. Finance 23 (2022), no. 2, 150–165.
[29] T. Renault, Intraday online investor sentiment and return patterns in the U.S. stock market, J. Bank. Finance 84 (2017), 25–40.
[30] H. Rostami Jaz, Y. Tariverdi, and A. Yaghoobnezhad, The effect of investors’ sentiments and risk premium factors on stocks valuation, J. Financ. Eng. Secur. Manag. 10 (2020), no. 39, 91–111.
[31] L. Sun, M. Najand, and J. Shen, Stock return predictability and investor sentiment: A high-frequency perspective, J. Bank. Finance 73 (2016), 147–164.
[32] X. Wang, X. Chen, and P. Zhao, The relationship between bitcoin and stock market, Int. J. Oper. Res. Info. Syst. 11 (2020), no. 2, 102–116.
[33] H. Wang, X. Wang, S. Yin, and H. Ji, The asymmetric contagion effect between stock market and cryptocurrency market, Finance Res. Lett. 46 (2022), 102345.
[34] S. Wasiuzzaman, Determinants of liquidity in Malaysian SMEs: a quantile regression approach, Int. J. Prod. Perform. Manag. 67 (2018), no. 9, 1566–1584.
[35] B. Yan L. Stuart, A. Tu, and T. Zhang, Analysis of the effect of COVID-19 on the stock market and investing strategies, Available at SSRN: https://ssrn.com/abstract=3563380, (2020).
[36] I. Yousaf and S. Ali, Discovering interlinkages between major cryptocurrencies using high-frequency data: New evidence from COVID-19 pandemic, Financ. Innov. 6 (2020), no. 1, 45.
[37] M. Yu, Forecasting bitcoin volatility: The role of leverage effect and uncertainty, Phys. A: Statist. Mech. Appl. 533 (2019), 120707.
[38] Z. Zhang, R. Chen, and Q. Luo, Firm-specific investor sentiment, stock price synchronicity, and crash risk, Appl. Econ. Lett. 30 (2023), no. 4, 450–455.
[39] Q. Zhang and D. Zhu, Investor sentiment, managerial ownership and corporate investment: evidence from China context, Nankai Bus. Rev. 17 (2014), no. 4, 128–139.
)
Volume 16, Issue 3
March 2025Pages 331-342
- Receive Date: 01 November 2023
- Revise Date: 30 December 2023
- Accept Date: 05 January 2024