Co-movement, fractal behaviour and forecasting of exchange rates

Karataş, Cengiz; Ünal, Gazanfer

doi:10.1007/s40435-021-00763-x

Cited by 2 publications

(1 citation statement)

References 11 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Further, a recent study offers significant evidence for a nonlinear and asymmetric relationship between these two assets, especially during periods of oil crashes (Ming et al 2022). Many other studies offer different insights into the dynamic relationship between Oil prices and exchange rates (see Jammazi and Nguyen 2017;Li et al 2017;Kočenda and Moravcová 2019;Bagheri and Ebrahimi 2020;Wen et al 2020;Karatas and Unal 2021;Shang and Hamori 2021;etc. ).…”

Section: Literature Reviewmentioning

confidence: 99%

Asymmetric Information Flow between Exchange Rate, Oil, and Gold: New Evidence from Transfer Entropy Approach

Maiti¹,

Kayal

2022

JRFM

View full text Add to dashboard Cite

The present study used transfer entropy and effective transfer entropy to examine the asymmetric information flow between exchange rates, oil, and gold. The dataset is composed of daily data covering the period of 1 January 2018 to 31 December 2021. Further, the dataset is bifurcated for analysis for before and during COVID. The bidirectional information flow is observed between EUR/USD and Oil for the whole study period unlike before COVID. However, during COVID, there was a unidirectional information flow from OilàEUR/USD. The study finds a significant unidirectional information flow from GoldàEUR/USD. The study estimates also indicate that before COVID, the direction of information flow was from OilàGold. However, the direction of information flow reversed during COVID from GoldàOil. Overall, the direction of information flow among these three variables is asymmetric. The highest transfer entropy was observed for GoldàEUR/USD among all the pairs under consideration.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Asymmetric Information Flow between Exchange Rate, Oil, and Gold: New Evidence from Transfer Entropy Approach

Maiti¹,

Kayal

2022

JRFM

View full text Add to dashboard Cite

show abstract

Causality, Information Flow, and Co-Movement Analysis of Major Stock Indices

Karataş

Ünal

2022

Ann. Finan. Econ.

View full text Add to dashboard Cite

Stock indices are key indicators of the economy since they indicate the strength of a country’s stock market. For this reason, causality, information flow and co-movement analysis of stock indices gain importance in comparing countries’ economies. Here, we apply a novel approach by analyzing the results of two different methodologies; in wavelet coherence (WTC) analysis, the co-movement between stock indices provided and coherent areas can be shown, and information flow is indicated for five-year periods, especially on coherent zones by Transfer Entropy (TE), which detects cause-and-effect relations. This paper analyzed the information flow and co-movement among FTSE100 in the United Kingdom, the DAX in Germany and S&P500 Index in the United States stock indices. Three different results are obtained as follows: (1) DAX is on the leading side in general for five-year periods, (2) bidirectional information flows arise for every pair in the coherent periods and (3) TE-guided WTC analysis shows that TE sign change can be explained by phase angle direction obtained with WTC. These results indicate that both the methods yield proper outcomes in coherent time zones and during financial crisis like the COVID period, which we have faced for two years; for this reason, the results were also obtained for the COVID period, and in general, that shows DAX dominated other indices. We published this study to help researchers understand the connectedness between stock indices and investors avoiding risk in their stock portfolios, especially during financial crisis periods.

show abstract

Co-movement, fractal behaviour and forecasting of exchange rates

Cited by 2 publications

References 11 publications

Asymmetric Information Flow between Exchange Rate, Oil, and Gold: New Evidence from Transfer Entropy Approach

Asymmetric Information Flow between Exchange Rate, Oil, and Gold: New Evidence from Transfer Entropy Approach

Causality, Information Flow, and Co-Movement Analysis of Major Stock Indices

Contact Info

Product

Resources

About