ΔDMCx2: A New Approach to Measure Contagion Effect on Financial Crisis

Abstract

In this paper, we implemented a new approach of measuring contagion effect on financial crisis based on the Detrended Multiple Cross-Correlation Coefficient, [Formula: see text], with a statistical test to assess its significance. Our study is restricted to the particular case in which three stock indexes are analyzed at the same time, with the results being divided into simulated and empirical cases. The simulated case was important to present the probability distribution function of [Formula: see text] and [Formula: see text], respectively, as well as confidence intervals for [Formula: see text]. The empirical case presents [Formula: see text] and [Formula: see text] for fourteen stock market indexes in the subprime crisis. With these applications, our study defines contagion effect on the financial system where crisis effect was perceived. In general, our results show the statistical significance of [Formula: see text], while measure of contagion effect depends on the size of the series and the time scale evaluated.

Assessment the Predictability in the Price Dynamics for the Top 10 Cryptocurrencies: The Impacts of Russia–ukraine War

“…Several papers have employed different techniques to rank market efficiency in a variety of markets ( [5], [8], [9], [39], [37], [36], [22], [33], [30], and [43]). In line with these papers, our results suggest that the cryptocurrency market is constantly evolving and exogenous shocks cause changes in the dynamics of these prices.…”

Assessment the predictability in the price dynamics for top ten cryptocurrencies: The impacts of Russia-Ukraine war

“…Several papers have employed different techniques to rank market efficiency in a variety of markets ( [5], [8], [9], [39], [37], [36], [22], [33], [30], and [43]). In line with these papers, our results suggest that the cryptocurrency market is constantly evolving and exogenous shocks cause changes in the dynamics of these prices.…”