Mối quan hệ giữa Bitcoin và thị trường ngoại hối ASEAN-6=Relationship between Bitcoin and ASEAN-6 foreign exchange rate markets

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Tác giả: Ngọc Mỹ Hương Huỳnh, Thanh Thủy Lâm, Vũ Ngọc Nga Lê, Thái Hưng Ngô, Thị Ngọc Châu Nguyễn, Tiến Thảo Nguyên Trần

Ngôn ngữ: vie

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Thông tin xuất bản: Tạp chí Kinh tế - Luật và Ngân hàng (Tên cũ: Tạp chí Khoa học và Đào tạo Ngân hàng), 2024

Mô tả vật lý: tr.23-35

Bộ sưu tập: Metadata

ID: 482929

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Nghiên cứu khám phá tương quan giữa giá Bitcoin và thị trường ngoại hối các nước ASEAN-6, bao gồm: Singapore, Việt Nam, Malaysia, Thái Lan, Indonesia, và Philippines ở giai đoạn 2018 đến 2023. Chúng tôi sử dụng mô hình chỉ số lan tỏa-SPI kết hợp với kiểm định nhân quả Granger dạng phổ. Kết quả cho thấy giá Bitcoin và thị trường ngoại hối ASEAN-6 biến động theo thời gian và tồn tại mối quan hệ về giá giữa các thị trường, tăng cao trong đại dịch COVID-19, khủng hoảng năng lượng Châu Âu và lạm phát toàn cầu năm 2023. Chỉ số lan tỏa về giá tăng cao và chạm đỉnh vào thời điểm đại dịch COVID-19. Tổng chỉ số lan tỏa đạt 13,4%, nghĩa là sự tương quan giữa các thị trường tương đối thấp. Hơn nữa, Indonesia, Thái Lan, Việt Nam, với Thái Lan là thị trường Nhận, trong khi đó, Bitcoin, Malaysia, Philippines và Singapore là thị trường Truyền. Kết quả kiểm định Granger cho biết tồn tại mối quan hệ một chiều từ Bitcoin đến Malaysia, Việt Nam, Thái Lan, từ Philippines đến Bitcoin, và mối quan hệ hai chiều giữa Indonesia và Bitcoin trong trung hạn và dài hạn, Singapore và Bitcoin trong dài hạn. Kết quả nghiên cứu là kênh thông tin cần thiết cho các chuyên gia hoạch định chính sách và chủ thể tham gia đầu tư góp phần ổn định thị trường ngoại hối.This study highlights the nexus between Bitcoin and foreign exchange markets in ASEAN-6 countries, including Vietnam, Thailand, Singapore, Indonesia, Malaysia, and Philippines, from 2018 to 2023, utilizing the spillover index and the spectral Granger causality test. The findings indicate that Bitcoin and the foreign exchange markets co-moved over time, and the connectedness between the markets increased significantly during the COVID-19 pandemic, the European energy crisis, and global inflation in 2023. The total spillover index reaches 13.4%, suggesting the connection between market returns is relatively low. Indonesia, Thailand, Vietnam, and Thailand are receivers, while Bitcoin, Malaysia, the Philippines, and Singapore are transmitters. The results of the Granger test illustrate that there exists a one-way causality running from Bitcoin to Malaysia, Vietnam, Thailand, from the Philippines to Bitcoin, and a two-way association between Indonesia and Bitcoin in the medium and long term and Singapore and Bitcoin in the long term. These results are valuable information for investors, stakeholders, and policymakers to stabilize the foreign exchange market.

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