The multifractal properties of Euro and Pound exchange rates and comparisons

Ye, Ning; Han, Chenyu; Yi-ming, Wang

doi:10.1016/j.physa.2018.06.037

Cited by 14 publications

(6 citation statements)

References 21 publications

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“…In the context of forex market efficiency, Ning et al. (2018) investigate the multifractal properties of both British Pound (GBP) and Euro (EUR) exchange rates from 2015 to 2017 through the MF-DFA method.…”

Section: Introductionmentioning

confidence: 99%

On the efficiency of foreign exchange markets in times of the COVID-19 pandemic

Aslam

Aziz

Nguyen

et al. 2020

Technological Forecasting and Social Change

156

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Highlights The COVID-19 pandemic has jolted foreign exchange markets within a short time. We measure forex efficiency with multifractal detrended fluctuation analysis. We find varying degrees of forex market efficiency before and during COVID-19. Investors can structure their investment strategies to exploit market inefficiency. Our findings may help policymakers find responses to such forex market upheavals.

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Section: Introductionmentioning

confidence: 99%

On the efficiency of foreign exchange markets in times of the COVID-19 pandemic

Aslam

Aziz

Nguyen

et al. 2020

Technological Forecasting and Social Change

156

View full text Add to dashboard Cite

show abstract

“…In the context of forex market efficiency, Ning et al (2018) investigate the multifractal properties of both GBP and EUR exchange rates from 2015 to 2017 through the MF-DFA method.…”

Section: Introductionmentioning

confidence: 99%

On the Efficiency of Foreign Exchange Markets in Times of the COVID-19 Pandemic

et al. 2020

View full text Add to dashboard Cite

We employ multifractal detrended fluctuation analysis (MF-DFA) to provide the first look at the efficiency of forex markets during the initial period of ongoing COVID-19 pandemic, which has disrupted the financial markets globally. We use high frequency (5-min interval) data of six major currencies traded in the forex market for the period from 01 October 2019 to 31 March 2020. Prior to the application of MF-DFA, we examine the inner dynamics of multifractality using seasonaltrend decompositions using loess (STL) method. Overall, the results confirm the presence of multifractality in forex markets, which demonstrates, in particular: (i) a decline in the efficiency of forex markets during the period of COVID-19 outbreak, and (ii) the heterogeneity in the effects on the strength of multifractality of exchange rate returns under investigation. The largest effect is observed in the case of AUD as it shows the highest (lowest) efficiency before (during) COVID-19 assessed in terms of low (high) multifractality. During COVID-19 period, CAD and CHF exhibit the highest efficiency. Our findings may help policymakers in shaping a comprehensive response to improve the forex market efficiency during such a black swan event.

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“…Shuffling a series involves three steps, as outlined in prior research (Han et al. , 2019a, b; He and Wang, 2017; Ning et al ., 2018):Randomly select pairs of integers (m, n) both greater than or equal to N.Swap the values at the mth and nth positions within the series.Repeat steps 1 and 2 for more than 20N iterations.…”

Section: Empirical Analysismentioning

confidence: 99%

Examining the efficiency of stock markets using multifractal detrended fluctuation analysis. Empirical evidence from OIC (Organization of Islamic Cooperation) countries during the GFC and COVID-19 pandemic

Rehan,

Gül

2023

JRF

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PurposeThis study aimed to examine the efficient market hypothesis (EMH) for the stock markets of 12 member countries of the Organization of Islamic Cooperation (OIC), such as Egypt, Indonesia, Jordan, Kuwait, Malaysia, Morocco, Pakistan, Saudi Arabia, Tunisia, Turkey and the United Arab Emirates (UAE), during the global financial crisis (GFC) and the COVID-19 (CV-19) epidemic. The objective was to classify the effects on individual indices.Design/methodology/approachThe study employed the multifractal detrended fluctuation analysis (MF-DFA) on daily returns. After calculation and analysis, the data were then divided into two significant events: the GFC and the CV-19 pandemic. Additionally, the market deficiency measure (MDM) was utilized to assess and rank market efficiency.FindingsThe findings indicate that the average returns series exhibited persistent and non-persistent patterns during the GFC and the CV-19 pandemic, respectively. The study employed MF-DFA to analyze the sequence of normal returns. The results suggest that the average returns series displayed persistent and non-persistent patterns during the GFC and the CV-19 pandemic, respectively. Furthermore, all markets demonstrated efficiency during the two crisis periods, with Turkey and Tunisia exhibiting the highest and deepest levels of efficiency, respectively. The multifractal properties were influenced by long-range correlations and fat-tailed distributions, with the latter being the primary contributor. Moreover, the impact of the fat-tailed distribution on multifractality was found to be more pronounced for indices with lower market efficiency. In conclusion, this study categorizes indices with low market efficiency during both crisis periods, which subsequently affect the distribution of assets among shareholders in the stock markets of OIC member countries.Practical implicationsMultifractal patterns, especially the long memory property observed in stock markets, can assist investors in formulating profitable investment strategies. Additionally, this study will contribute to a better understanding of market trends during similar events should they occur in the future.Originality/valueThis research marks the initial effort to assess the impact of the GFC and the CV19 pandemic on the efficiency of stock markets in OIC countries. This undertaking is of paramount importance due to the potential destabilizing and harmful effects of these events on global financial markets and societal well-being. Furthermore, to the best of the authors’ knowledge, this study represents the first investigation utilizing the MFDFA method to analyze the primary stock markets of OIC countries, encompassing both the GFC and CV19 crises.

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The multifractal properties of Euro and Pound exchange rates and comparisons

Cited by 14 publications

References 21 publications

On the efficiency of foreign exchange markets in times of the COVID-19 pandemic

On the efficiency of foreign exchange markets in times of the COVID-19 pandemic

On the Efficiency of Foreign Exchange Markets in Times of the COVID-19 Pandemic

Examining the efficiency of stock markets using multifractal detrended fluctuation analysis. Empirical evidence from OIC (Organization of Islamic Cooperation) countries during the GFC and COVID-19 pandemic

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