Currency jumps and crises: Do developed and emerging market currencies jump together?

Chan, Kam Fong; Powell, John; Treepongkaruna, Sirimon

doi:10.1016/j.pacfin.2014.08.001

Cited by 9 publications

(11 citation statements)

References 43 publications

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“…( 2003 ), Chan et al . ( 2014 ), and Tanthanongsakkun et al . ( 2018 ), we utilise 5‐min interval returns to minimise the measurement error resulting from a decrease in microstructure biases.…”

Section: Methodsmentioning

confidence: 97%

“…( 2020 ), Chan et al . ( 2014 ) and Dungey et al . ( 2014 ), who examine the impact of crises on volatility dynamics.…”

Section: Introductionmentioning

confidence: 95%

“…These components correspond to the expected and unexpected new events. Prior research indicates that financial market jumps are responsible for the majority of market volatility, especially during crisis periods (Chan et al ., 2014 ).…”

Section: Introductionmentioning

confidence: 99%

“…Chan et al . ( 2014 ) examine whether currency jumps are more severe in emerging markets, especially during crises, while Dungey et al . ( 2014 ) use high frequency data to detect stress dates in currency markets.…”

Section: Introductionmentioning

confidence: 99%

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The effect of COVID‐19 on the global stock market

Chatjuthamard

Jindahra

Sarajoti

et al. 2021

Accounting & Finance

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This paper investigates the effect of COVID‐19 on the global stock market. Specifically, we test whether the growth in the number of confirmed cases/deaths affects market quality, measured by return, realised volatility, jumps and co‐jumps for 43 stock indices around the world. We find that an increase in the growth rate of the number of confirmed cases increases volatility and jumps while reducing return. Further, we explore whether economic, financial and political risks play any significant role in the relation between the number of confirmed cases/deaths and market quality. Overall, we find the risk from COVID‐19 overshadows these risks.

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Section: Methodsmentioning

confidence: 97%

“…( 2020 ), Chan et al . ( 2014 ) and Dungey et al . ( 2014 ), who examine the impact of crises on volatility dynamics.…”

Section: Introductionmentioning

confidence: 95%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

The effect of COVID‐19 on the global stock market

Chatjuthamard

Jindahra

Sarajoti

et al. 2021

Accounting & Finance

Self Cite

View full text Add to dashboard Cite

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“…Evidences of jumps and cojumps are abundant. Studies found jumps in stock prices [1][2][3][4], currencies [4][5][6], bond prices [4,7], interest rates [8] and even in electricity prices [9]. Cojumps are also found in stock prices [3,10] and exchange rates [5].…”

Section: Introductionmentioning

confidence: 99%

Jumps and Cojumps analyses of major and minor cryptocurrencies

et al. 2021

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This paper empirically examines jumps and cojumps of both major and minor cryptocurrencies. Understanding the nature of their jumps and cojumps plays an important role in risk management, asset allocation and pricing of derivatives. We find that all cryptocurrencies display significant jumps. Furthermore, minor cryptocurrencies appear to have significantly higher jump intensity and jump size than major cryptocurrencies. Finally, we find that cojumps of the Thai stock market index and minor cryptocurrencies have a greater intensity than that of major cryptocurrencies.

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