Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2020.1734852
Nonlinearity and efficiency dynamics of foreign exchange markets: evidence from multifractality and volatility of major exchange rates
Chenyu Han
Yiming Wang
Yingying Xu
Sažetak
This study investigates the efficiencies of the exchange markets
for four major currencies—the euro (EUR), the pound (GBP), the
Canadian dollar (CAD) and the Japanese yen (JPY)—from 2005 to
2019 by using multifractal detrended fluctuation analysis (MFDFA).
This study also investigates the causes of these efficiencies.
Significant multifractal properties are demonstrated by the four
markets, and long-range correlation and fat-tail distribution properties
are the main causes. We calculate and compare the multifractal
degrees in three subsamples, which are classified based on
their temporal relation to two economic events: the 2008 financial
crisis and the announcement by the Federal Reserve of its withdrawal
from the quantitative easing policy in 2014. Empirical
results suggest that multifractal properties exist at different levels
in the subsamples, thus showing that these events affect foreign
exchange market efficiencies in terms of statistics and the fractal
market. The JPY exchange market has the fewest multifractal
properties, thus indicating that this exchange market has the
highest market efficiency among these four exchange markets.
The empirical results have implications for the nonlinear mechanism
and efficiency in foreign exchange markets, which may help
investors effectively manage market risks and benefit a stable global
economy.
Ključne riječi
MF-DFA; multifractality analysis; foreign exchange market; market efficiency; exchange rates
Hrčak ID:
254415
URI
Datum izdavanja:
9.2.2021.
Posjeta: 494 *