Unraveling the impact of Iranian currency exchange on central bank digital currency: navigating through history-oriented bias

[1] M. A. Abdelaal, Modeling and Forecasting Time Varying Stock Return Volatility in the
Egyptian Stock Market, International Research Journal of Finance and Economics, 78 (2011),
96-113.
[2] D. Abreu, and M. K. Brunnermeier, Bubbles and Crashes, Econometrica, 71(1) (2003),
173-204, https://doi.org/10.1111/1468-0262.00393.
[3] D. Andolfatto, Assessing the impact of central bank digital currency on private banks, The
Economic Journal, 131(634) (2021), 525-540.
[4] S. Allen, S. Apkun, I. Eyal, G. Fanti, B. A. Ford, J. Grimmelmann, A. Juels, K.
Kostiainen, S. Meiklejohn, A. Miller, E. Prasad, and F. Zhang, Design choices for
central bank digital currency: Policy and technical considerations, NBER Working Paper,
National Bureau of Economic Research, 27634 (2020), Cambridge, Massachusetts.
[5] R. Ball, The Global Financial Crisis and the Efficient Market Hypothesis: What
Have We Learned?, Journal of Applied Corporate Finance, 21(4) (2009), 816,
https://doi.org/10.1111/j.1745-6622.2009.00246.x.
[6] F. Black, Studies of Stock Price Volatility Changes, Proceedings of the 1976 Meeting of
the Business and Economic Statistics, American Statistical Association, Washington DC,
177-181 (1976).
[7] N. Barberis, and R. Thaler, A survey of behavioral finance (1st ed., Vol. 1), Bindseil, U.,
Fabio, P. (2020).
[8] T. Bollerslev, and R. Hodrick, Financial Market Efficiency Tests,
https://doi.org/10.3386/w4108 (1992).
[9] Castren et al ´ , Digital currencies in financial networks, Journal of Financial Stability,
https://doi.org/10.1016/j.jfs.2022.101000 (2022).
[10] F. Carapella, and J. Flemming, Central bank digital currency: A literature review,
FEDS Notes, https://www.federalreserve.gov/econres/notes/feds-notes/central-bank-digitalcurrency-a-literature-review-20201109.htm (2020).
[11] J. Chiu, S. M. Davoodalhosseini, J. Hua Jiang, and Y. Zhu, Bank market power and central bank digital currency: Theory and quantitative assessment, Available at SSRN 3331135
(2019).
[12] W. W. Curt Hunter, G. G. Kaufman, and M. Pomerleano, Asset Price Bubbles: The
Implications for Monetary, Regulatory, and International Policies, MIT Press (2002).
[13] K. D. Daniel, D. A. Hirshleifer, and A. Subrahmanyam, A Theory of Overconfidence,
Self-Attribution, and Security Market Under- and Over-reactions, SSRN Electronic Journal,
https://doi.org/10.2139/ssrn.2017 (1997).
[14] W. F. M. de Bondt, Y. G. Muradoglu, H. Shefrin, and S. Staikouras, Behavioral
Finance: Quo Vadis?, Journal of Applied Finance, 18(2) (2008).
[15] G. de Nard, O. Ledoit, and M. Wolf, Factor Models for Portfolio Selection in Large
Dimensions: The Good, the Better and the Ugly, Journal of Financial Econometrics, 19(2)
(2021), 236-257, https://doi.org/10.1093/jjfinec/nby033.
[16] C. Dritsaki, An Empirical Evaluation in GARCH Volatility Modeling: Evidence from
the Stockholm Stock Exchange, Journal of Mathematical Finance, 07(02) (2017a), 366-390,
https://doi.org/10.4236/jmf.2017.72020.
[17] C. Dritsaki, An Empirical Evaluation in GARCH Volatility Modeling: Evidence from
the Stockholm Stock Exchange, Journal of Mathematical Finance, 07(02) (2017b), 366-390,
https://doi.org/10.4236/jmf.2017.72020.
[18] S. M. Davoodalhosseini, Central bank digital currency and monetary policy, J. Econ. Dyn.
Control, 142 (2022), 104150.
[19] R. Engle, Dynamic Conditional Correlation, Journal of Business Economic Statistics, 20(3)
(2002), 339-350, https://doi.org/10.1198/073500102288618487.
[20] R. Engle, and K. Sheppard, Theoretical and Empirical properties of Dynamic Conditional
Correlation Multivariate GARCH, https://doi.org/10.3386/w8554 (2001).
[21] B. Fakhry, and C. Richter, Is the sovereign debt market efficient? Evidence from the US
and German sovereign debt markets, International Economics and Economic Policy, 12(3)
(2015), 339-357, https://doi.org/10.1007/s10368-014-0304-9.
[22] E. F. Fama, Random Walks in Stock Market Prices, Financial Analysts Journal, 51(1) (1995),
75-80, https://doi.org/10.2469/faj.v51.n1.1861.
[23] M. Farajnezhad, S. A/L Ramakrishnan, and M. Shehni Karam Zadeh, Analyses the
Effect of Monetary Policy Transmission on the Inequality in OECD Countries, Journal of
Environmental Treatment Techniques, Volume 8 , Issue 2 (2020), 589-596.
[24] A. Garct’a, B. Lands, X. Liu, and J. Slive, The potential effect of a central bank digital
currency on deposit funding in Canada, Bank of Canada, No. 2020-15 (2020).
[25] L. Glosten, R. Jagannathan, and D. Runkle, On the relation between the expected value
and the volatility of the nominal excess return on stocks, Journal of Finance, 48 (1993),
1179-801.
[26] Z.-Y. Guo, Models with Short-Term Variations and Long-Term Dynamics in Risk Management of Commodity Derivatives, EconStor Preprints from ZBW - Leibniz Information Centre
for Economics (2017a).
[27] A. George, T. Xie, and J. D. A. Alba, Central bank digital currency with adjustable
interest rate in small open economies, SSRN, 3605918 (2020).
[28] H. Hong, and M. Kacperczyk, The price of sin: The effects of social norms on markets, Journal of Financial Economics, 93(1) (2009), 15-36,
https://doi.org/10.1016/j.jfineco.2008.09.001.
[29] H. Hong, and J. C. Stein, A Unified Theory of Underreaction, Momentum Trading,
and Overreaction in Asset Markets, The Journal of Finance, 54(6) (1999), 2143-2184,
https://doi.org/10.1111/0022-1082.00184.
[30] M. Hussain, G. F. Zebende, U. Bashir, and D. Donghong, Oil price and
exchange rate co-movements in Asian countries: Detrended cross-correlation approach, Physica A: Statistical Mechanics and Its Applications, 465 (2017), 338-346,
https://doi.org/10.1016/j.physa.2016.08.056.
[31] A. Intaz, D. Subhrabaran, and R. Niranjan, Stock Market Volatility, Firm Size and
Returns: A Study of Automobile Sector of National Stock Exchange in India, International
Journal of Innovative Research and Development, 5(4) (2016), 272-281.
[32] N. Jegadeesh, and S. Titman, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, The Journal of Finance, 48(1) (1993), 65-91,
https://doi.org/10.1111/j.1540-6261.1993.tb04702.x.
[33] R. Juks, Central bank digital currencies, supply of bank loans and liquidity provision by
central banks, Service Industries Journal (UK), 2 (2020), 62-79.
[34] D. Kahneman, and A. Tversky, Prospect Theory: An Analysis of Decision under Risk,
Econometrica, 47(2) (1979), 263, https://doi.org/10.2307/1914185.
[35] Y. S. Kim, and O. Kwon, Central Bank Digital Currency, Credit Supply, and Financial
Stability, Journal of Money, Credit and Banking (2022).
[36] T. Keister, and C. Monnet, Central bank digital currency: Stability and information,
Journal of Economic Dynamics and Control, 142 (2022), 104501.
[37] T. Keister, and D. Sanches, Should Central Banks Issue Digital Currency?,
Philadelphia Fed working papers, WP 19-26, https://www.philadelphiafed.org/-
/media/frbp/assets/working-papers/2019/wp19-26.pdf (2019).
[38] S. Laurent, J. V. K. Rombouts, and F. Violante, On the forecasting accuracy of
multivariate GARCH models, Journal of Applied Econometrics, 27(6) (2012), 934-955,
https://doi.org/10.1002/jae.1248.
[39] H.-C. Liu, and J.-C. Hung, Forecasting SP-100 stock index volatility: The role of volatility
asymmetry and distributional assumption in GARCH models, Expert Systems with Applications, 37(7) (2010), 4928-4934, https://doi.org/10.1016/j.eswa.2009.12.022.
[40] A. W. Lo, and A. C. MacKinlay, The size and power of the variance ratio test in finite samples, Journal of Econometrics, 40(2) (1989), 203-238, https://doi.org/10.1016/0304-
4076(89)90083-3.
[41] C. Mackay, Memoirs of extraordinary popular delusions and the madness of crowds, Dover
Publication Inc. (2003).
[42] B. G. Malkiel, Expectations, Bond Prices, and the Term Structure of Interest Rates, The
Quarterly Journal of Economics, 76(2) (1962), 197, https://doi.org/10.2307/1880816.
[43] B. G. Malkiel, The Efficient Market Hypothesis and Its Critics, Journal of Economic Perspectives, 17(1) (2003), 59-82, https://doi.org/10.1257/089533003321164958.
[44] B. G. Malkiel, Reflections on the Efficient Market Hypothesis: 30 Years Later, The Financial Review, 40(1) (2005), 19, https://doi.org/10.1111/j.0732-8516.2005.00090.x.
[45] B. G. Malkiel, and E. F. Fama, EFFICIENT CAPITAL MARKETS: A REVIEW OF
THEORY AND EMPIRICAL WORK*, The Journal of Finance, 25(2) (1970a), 383-417,
https://doi.org/10.1111/j.1540-6261.1970.tb00518.x.
[46] B. G. Malkiel, and E. F. Fama, Efficient Capital Markets: A review of Theory and Empirical Work, The Journal of Finance, 25(2) (1970b), 383-417, https://doi.org/10.1111/j.1540-
6261.1970.tb00518.x.
[47] S. L. Na t’nez Alonso, J. Jorge-Vazquez, and R. F. Reier Forradellas, Detection of
financial inclusion vulnerable rural areas through an access to cash index: solutions based
on the pharmacy network and a CBDC. Evidence based on Avila t (Spain), Sustainability,
12 (2020), 7480, https://doi.org/10.3390/su12187480.
[48] D. B. Nelson, and C. Q. Cao, Inequality constraints in the univariate GARCH model,
Journal of Business Economic Statistics, 10(2) (1992), 229-235.
[49] E. Y. Oh, and S. Zhang, Central Bank digital currency and informal economy, University
of Portsmouth. Manuscript (2020).
[50] P. K. Ozili, Central bank digital currency research around the World: a review of literature,
Journal of Money Laundering Control (2022b).
[51] P. K. Ozili, Central bank digital currency and bank earnings management using loan loss
provisions, https://mpra.ub.uni-muenchen.de/116412/ MPRA Paper No. 116412 (2023).
[52] R. Robiyanto, Indonesian Stock Markets Dynamic Integration with Asian Stock
Markets and World Stock Markets, Jurnal Pengurusan, 52 (2018a), 181-192,
https://doi.org/10.17576/pengurusan-2018-52-15.
[53] R. Robiyanto, The Dynamic Correlation between ASEAN-5 Stock Markets and World Oil Prices, Jurnal Keuangan Dan Perbankan, 22(2) (2018b),
https://doi.org/10.26905/jkdp.v22i2.1688.
[54] M. H. Ronaghi, A contextualized study of blockchain technology adoption as a digital currency platform under sanctions, Management Decision, (ahead-of-print) (2022).
[55] P. Sadorsky, Modeling volatility and conditional correlations between socially responsible investments, gold and oil, Economic Modelling, 38 (2014), 609-618,
https://doi.org/10.1016/j.econmod.2014.02.013.
[56] S. Sarkar, and A. Banerjee, Modeling daily volatility of the Indian stock market using
intra-day data.
[57] R. J. Shiller, Do Stock Prices Move Too Much to be Justified by Subsequent Changes in
Dividends?, The American Economic Review, 71(3) (1981), 421-436.
[58] R. J. Shiller, Bubbles, Human Judgment, and Expert Opinion, Financial Analysts Journal,
58(3) (2002), 18-26, https://doi.org/10.2469/faj.v58.n3.2535.
[59] A. Shleifer, Inefficient Markets: An Introduction to Behavioral Finance (Clarendon Lectures in Economics), Oxford University Press UK (2000).
[60] M. N. Syllignakis, and G. P. Kouretas, Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets, International Review of
Economics Finance, 20(4) (2011), 717-732, https://doi.org/10.1016/j.iref.2011.01.006.
[61] S. Tajdini, A. Taibnia, and M. Mehrara, Reconsideration of behavioral biases in financial markets: comparison of the SP500 index and TEPIX index of Tehran Stock Exchange,
Journal of Financial Services Marketing (2022).
[62] A. Timmermann, and C. W. J. Granger, Efficient market hypothesis and forecasting,
International Journal of Forecasting, 20(1) (2004), 15-27, https://doi.org/10.1016/S0169-
2070(03)00012-8.
[63] Y. Tsukuda, J. Shimada, and T. Miyakoshi, Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach, International Review of
Economics Finance, 51 (2017), 193-213, https://doi.org/10.1016/j.iref.2017.05.013.
[64] Wang, Hausken, A game between central banks and households involving central bank
digital currencies, other digital currencies and negative interest rates, Cogent Economics
Finance, 10 (2022), 2114178, https://doi.org/10.1080/23322039.2022.2114178.
[65] Wu Tong, Chen Jiayou, A study of the economic impact of central bank digital
currency under global competition, China Economic Journal, 14:1 (2021), 78-101, DOI:
10.1080/17538963.2020.1870282.
[66] B. van Os, and D. J. C. van Dijk, Pooling Dynamic Conditional Correlation Models.
[67] X. Zhang, Modeling and simulation of value at risk in the finance Market area, Louisiana
Tech University (2006).