اصغر واحدی

In this research, the effect of oil price shock on the return of the Iranian stock market has been evaluated using a new quantile-on-quantile approach. To do this, first, the oil price shock has been calculated using the structural vector autoregression method, and then the effect of the oil price shock on the return of the Iranian stock market has been investigated using the quantile-on-quantile approach. The statistical population consists of the data related to oil variables and the stock price index of the Iranian stock market. The statistical sample includes 200 observations of the monthly data related to the oil variables and the stock price index of the Iranian stock market during the period of 1385: 1 -1401: 12. The results of this research show that the effect of the oil price shock on the Iranian stock market varies across different quantiles of the Iranian stock market returns. A negative oil price shock has a larger effect on stock market returns when the stock market is bullish. Also, in the normal state of the stock market, a positive oil price shock has a large negative effect on stock market returns. Based on these observations, it is concluded that the relationship between oil price and stock market returns can depend on the nature of oil price shocks and the performance of the stock market.

Capital markets are considered as strong levers in the economy of countries, serving to accelerate the process of industrial development (especially in developing countries). By providing the possibility of medium-term and long-term securities transactions, these markets provide the necessary facilities and resources to the applicants. They also provide a suitable yield for the suppliers of these resources. Stock index is one of the important components in people's investment decisions, and it is always in the center of attention of investment institutions. In oil-exporting countries, one of the most important factors affecting the efficiency of the capital market is oil price variation. For this reason, many researchers studied the effects of oil prices on stock market returns. Considering the wide impact of oil price volatility on various sectors of the economy of oil exporting countries, it is very important to evaluate the effectiveness of policies aimed at reducing the negative economic effects of oil price volatility on the stock market and, subsequently, to analyze the behavior of investor Therefore, investors need to know exactly the type and extent of the effect of oil price fluctuation on the stock market and to identify the industries that are more quickly affected by these fluctuations. Investigating this relationship can be beneficial in capital market risk management. It can also help policymakers regulate the capital market. Therefore, it is necessary to investigate the influence of the stock market on oil price fluctuations. In this research, using the quantile-by-quantile approach, we search and identify the asymmetric effect of oil price volatility on Tehran stock market returns. This method enables us to analyze the asymmetric effects of oil price fluctuations in different situations of the stock market.

The quantile-on-quantile approach is the method used in this research to identify the asymmetric effect of oil price volatility on Tehran stock market returns. This method enables us to analyze the asymmetric effects of oil price fluctuations in different situations of the stock market. The data used in this research include daily oil price data and the total stock market index in the period of 2009:4-2024:1. They include 2076 observations that were extracted from the Tehran Stock Exchange website and the Federal Reserve website. In this research, the Eviews 12 and MATLAB software packages were used for data analysis. According to the variance heterogeneity test results, the ARCH effects was confirmed. Therefore, the best GARCH model was chosen to estimate the conditional variance of the oil price. Then, in the final quantile-by-quantile model, the conditional variance of the oil price was used as the oil price volatility.

The alpha coefficient varies during different quantiles of oil price volatility and stock market returns. For example, around medium to high quantiles of oil price volatility, regardless of the stock market return quantiles, an upward page is observed. This upward trend in α indicates that a relatively large fluctuation in oil prices, regardless of the state of the stock market, has a larger origin. Also, when there is a small fluctuation in the price of oil and the stock market is booming, the width from the origin is negative and large in terms of absolute value. In other words, in the high quantiles of the stock market, stock returns strongly react to changes in the low quantiles of τ. For the beta slope, in general, the average of β coefficients is close to zero (-0.09), which indicates that oil price volatility does not seem to affect stock market returns. However, in different quantiles of stock market returns and oil price volatility, there are regions where β has values opposite to zero. When the stock market is booming; a small fluctuation in oil prices has a positive effect on stock market returns. Conversely, a large volatility in oil prices has a large negative effect on stock market returns. Another point is that the largest β coefficients in terms of absolute value are related to situations where the stock market is in a state of strong prosperity. In general, the values of beta coefficients, regardless of oil price volatility quotients. increase with the increase of stock market return quotients, moving from a state of severe recession to a state of severe prosperity.Conclusions and Policy Implications: The results of the quantile-on-quantile model show that the relationship between oil price volatility and stock market returns can depend on the size of oil price volatility and the state of the stock market. For example, in high quantiles of the stock market returns, in a state of strong market boom, the impact of oil price volatility on the stock market is greater. Also, this impact, both in terms of direction and absolute value, is different, so a small (big) oil price fluctuation has a big positive (negative) effect on Tehran stock market return. According to the results of this research, the effect of oil price volatility on stock market returns is completely dependent on the market situation. In general, the slope values in each of the oil price turbulence quantiles moves from a state of severe recession to a state of severe prosperity, thus promoting the stock market. The quantile-on-quantile model makes it possible to estimate the relationship between oil price volatility and Tehran stock market return in terms of market size and condition, so that investors can determine the optimal combination of asset portfolios, policymakers, and economic planners for policy. The limitations of this research are the lack of daily data related to the oil variable, which is due to the difference in holidays.

Financial markets in general and currencies in particular, each as a living organism has behaviors that are caused by previous similar events and other variables. Identifying probable behaviors shows the inner nature of the behavior and provides the basis for investigating its why. Bitcoin has been one of the biggest digital currencies in the past years and has attracted a lot of capital from all over the world. In addition to this, in Iran, the Tehran Stock Exchange market has seen strong ups and downs, which has led to migration between these two markets in Iran and also in Semnan province. Examining these behaviors in the whole country as well as the positive and negative effects of entering the digital currency markets in the province will lead to more mastery in this area and facilitate future planning. In this study, by comparing the probabilistic behavior of Bitcoin digital currency with the adjusted total index of the country's stock exchange by hidden Markov chains, and by using the TOPSIS technique on the findings of library studies and interviews, we tried to identify the disadvantages and advantages of using digital currencies in Semnan province. The results show that the momentum and fluctuating behavior of the Bitcoin digital currency has higher reliability and less dangerous fluctuations than the overall stock market index, and this is one of the most important reasons for the migration of investors to this market. Currency acquisition, evasion of sanctions, increase in tax and public revenues of the province, facilitating financing of terrorism, lack of codified laws and psychological problems are among the most important advantages and disadvantages identified in this study.

The entry of any type of technology into any society requires analysis, examination of advantages and disadvantages, possible problems of its acceptance and non-acceptance, which ultimately leads to national planning and decisions. Digital currencies are one of the new technologies at the global level, which has become a tool for fast and safe exchange of money and currency. Semnan province is affected by this technological field due to its geographical location and human resources. For this reason, the advantages and disadvantages of this technology should be identified in the province and finally, solutions should be proposed to solve the existing problems. For this purpose, in this research, we use the TOPSIS technique to investigate the positive and negative effects of digital currencies on the economy and public security of Semnan Province. Based on the findings from interviews, library studies, news, magazines and articles, among the most important disadvantages of digital currencies in the economic field, we can mention the dependence on the number of miners, the possibility of abusing semi-closed workshops, facilitating financial crimes and financing terrorism.. Also, in the field of public security, it points to the increase in false risk-taking, the increase in mental-psychological pressures, security problems caused by internet scams, and air pollution. Instead, among the advantages of digital currencies, we can mention the high speed of transactions, the arrival of currency, bypassing sanctions, increasing social vitality, reducing inflation and increasing the province's income. In general, the best suggestion regarding digital currency technology is systematic legislation before the occurrence of financial and social crises. If there is a delay in accepting or rejecting this technology, irreparable damage will be inflicted on the society.