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Investigating the spillover of the Bitcoin cryptocurrency market on the Iranian oil market
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Samaneh Bagheri *   |
| & دانشگاه یزد , samanehbagheri@stu.yazd.ac.ir |
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Abstract: (4 Views) |
Iran has an oil-dependent economy, with 80 percent of its export revenues and 50 percent of its government budget dependent on oil revenues, so oil research is important. The Bitcoin cryptocurrency market is one of the most important international markets. Iran has an oil-dependent economy, and oil research is important. This study aims to investigate the volatility spillover in the BTC cryptocurrency market and the markets of oil-exporting countries from 2013/5 to 2025/11 using the Diebold-Yilmaz spillover index and complex network. The results of this study show that BTC cryptocurrency is a volatility transmitter and the oil markets of volatility oil-exporting countries based on the Diebold-Yilmaz spillover index and complex network. The largest return volatility is the return from the Bitcoin cryptocurrency market to the Brent oil market. According to the Pearson correlation test, there is no correlation between oil markets and the Bitcoin cryptocurrency market. The Iranian oil market is affected by the volatility in the bitcoin market, but is not correlated with this market.
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Article number: 9 |
| Keywords: BTC, Oil Markets, return volatility, Pearson Correlation, Diebold-Yilmaz Spillover Index |
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Full-Text [PDF 549 kb]
(4 Downloads)
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Article type: Research |
Subject:
Special
Received: 2025/04/28 | Accepted: 2025/07/22 | Published: 2026/08/1
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