scholarly journals THE IMPACT OF COVID-19 ON EXCHANGE RATE VOLATILITY: AN ECONOPHYSICS APPROACH

2020 ◽  
Author(s):  
Rui Dias ◽  
◽  
Hortense Santos ◽  
Keyword(s):  
Exchange Rates ◽  
Correlation Coefficient ◽  
Cross Correlation ◽  
Exchange Rate Volatility ◽  
Correlation Coefficients ◽  
Weak Form ◽  
Fluctuation Analysis ◽  
Global Pandemic ◽  
Exchange Markets ◽  
The Impact

This paper aims to analyze the efficiency, in its weak form, between exchange rates, US-RMB, US-EUR, US-JPY, US-MYR, US-PHP, US-SGD, US-THB, US-CHF, US-GBP, in the period from July 1, 2019 to October 27, 2020. To perform this analysis, different approaches were undertaken to assess whether: (i) the impact of the global pandemic created long memories in international foreign exchange markets? The results of the exponents Detrended Fluctuation Analysis (DFA) show that the exchange rates US-THB (0.60), US-MYR (0.59), US-SGD (0. 59), present long memories, to a lesser extent the exchange pairs US-GBP (0.56), US-EUR (0.53). On the other side, exchange rates US-RMB (0. 47), US-JPY (0. 43), US-CHF (0. 46), US-PHP (0. 38) show anti persistence, while the Detrended cross-correlation coefficient (𝑝𝐷𝐶𝐶𝐴) results show 19 average correlation coefficients (≌ 0.333 → ≌ 0.666), 10 weak correlation coefficient (≌ 0,000 → ≌ 0.333), 7 strong non-trend cross correlation coefficients (0.666→ ≌ 1,000). In conclusion, we show that the exchange pairs analyzed show some predictability, that is, there are levels of arbitrage that can be explored by investors; we also found that the exchange rates analyzed have characteristics of diversification, due to the low autocorrelation between markets. The objective of this study was not to analyze abnormal profitability by investors without incurring additional risk.

Testing the Random Walk Hypothesis for Real Exchange Rates

2021 ◽  
pp. 304-322
Author(s):  
Rui Teixeira Dias ◽  
Pedro Pardal ◽  
Hortense Santos ◽  
Cristina Vasco
Keyword(s):  
Exchange Rates ◽  
Detrended Fluctuation Analysis ◽  
Real Exchange Rates ◽  
Weak Form ◽  
Fluctuation Analysis ◽  
Random Walk Hypothesis ◽  
Variance Ratios ◽  
Exchange Markets ◽  
Detrended Fluctuation ◽  
Over Time

This chapter aims to analyze the efficiency, in its weak form, in the exchange rates of Brazil vs. USA, Australia, Canada, Europe (Euro Zone), Switzerland, United Kingdom, and Japan from July 1, 2019 to September 20, 2020. The results suggest that exchange rates show signs of (in)efficiency, in their weak form (i.e., the values of the variance ratios are lower than the unit), which implies that returns are autocorrelated over time, and there is reversal to the average. In corroboration, the results of detrended fluctuation analysis (DFA) show persistence in yields (i.e., the existence of long memories), thus validating the results of the Lo and Mackinlay model that show autocorrelation between the series of yields. As a conclusion, the authors show that the assumption of market efficiency may be questioned, since the forecast of market movement may be improved if the lagged movements of the other markets are taken into account, allowing the occurrence of arbitrage operations in these foreign exchange markets.

scholarly journals MARKET EFFICIENCY IN ITS WEAK FORM: THE PRE-COVID AND COVID INDONESIA ANALYSIS

2021 ◽  
Author(s):  
Rui Dias ◽  
◽  
Paula Heliodoro ◽  
Paulo Alexandre ◽  
Hortense Santos ◽  
...  
Keyword(s):  
Exchange Rates ◽  
Foreign Exchange Market ◽  
Weak Form ◽  
Portfolio Diversification ◽  
Exchange Market ◽  
Additional Risk ◽  
Random Walk Hypothesis ◽  
Global Pandemic ◽  
Diversification Strategies ◽  
Exchange Markets

This essay aims to analyze the efficiency, in its weak form, in the Exchange Markets IDR/MYR (Indonesia-Malaysia), IDR/PHP (Indonesia-Philippines), IDR/SGD (Indonesia-Singapore), IDR/THB (Indonesia-Thailand), IDR/GBP (Indonesia-UK), IDR/US (Indonesia-USA), IDR/EUR (Indonesia-Euro Zone/Europe). The sample comprises the period from September 3, 2018, to October 20, 2020, and the sample was partitioned into two subperiods: Pre-Covid and Covid. To carry out this analysis, different approaches were undertaken to assess whether: (i) the global pandemic promoted in(efficiency) in the exchange rates of Indonesia vs Malaysia, Philippines, Singapore, Thailand, UK, USA, Eurozone? The results suggest that in the Pre-Covid subperiod we can see that the random walk hypothesis is rejected, IDR/MYR (0.61), IDR/SGD (0.60), IDR/US (0.59), IDR/THB (0.56), IDR/EUR (0.55), IDR/GBP (0.54), except for the IDR/PHP pair (0.45) which evidences anti persistence. Already in the Covid period, we noticed that persistence increased significantly, like followed, IDR/EUR (0.82), IDR/PHP (0.81) IDR/SGD (0.80), IDR/US (0.80), IDR/MYR (0.78), IDR/THB (0.71), IDR/GBP (0.62). These findings show high levels of arbitrage, i.e., investors will be able to obtain abnormal profitability without incurring the additional risk, which could jeopardize the implementation of efficient portfolio diversification strategies due to market imbalance. The authors believe that these findings can help policymakers formulate a comprehensive response to improve the efficiency of the foreign exchange market during a global pandemic event.

Foreign Exchange Market Shocks in the Context of the Global Pandemic (COVID-19)

2021 ◽  
pp. 359-373
Author(s):  
Rui Teixeira Dias ◽  
Luísa Carvalho
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Weak Form ◽  
Foreign Exchange Markets ◽  
International Exchange ◽  
Fluctuation Analysis ◽  
Global Pandemic ◽  
Exchange Markets ◽  
Market Shocks ◽  
Abnormal Profits

This chapter analyzes the efficiency, in its weak form, in the international exchange markets from January 1st, 2019 to July 21st, 2020. The results show that the foreign exchange markets show very high levels of integration, which may jeopardize portfolio diversification as well as possible hedging operations. The detrended fluctuation analysis (DFA) shows that the EUR.GBP, GBP.USD, USD.REAL foreign exchange markets show some signs of (in)efficiency showing persistence in yields, while the EUR.JPY, EUR.USD, JPY.CHF, USD.CHF, USD.JPY markets show signs of anti persistence (i.e., the existence of short memories). The USD.BITCOIN, USD.CAD markets do not reject the random walk hypothesis, that is, they are in equilibrium. By way of conclusion, the authors show that the uncertainty of the 2020 pandemic crisis has affected the memory properties of the foreign exchange markets since some returns can be expected, creating opportunities for arbitrage and abnormal profits.

scholarly journals Long memory in stock returns: Evidence from the Eastern European markets

2021 ◽  
Vol 91 ◽  
pp. 01029
Author(s):  
Rui Dias ◽  
Paula Heliodoro ◽  
Paulo Alexandre ◽  
Hortense Santos ◽  
Ana Farinha
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Detrended Fluctuation Analysis ◽  
Cross Correlation ◽  
Fluctuation Analysis ◽  
Eastern European ◽  
Period Range ◽  
Global Pandemic ◽  
The Impact ◽  
Detrended Fluctuation

This essay aims to analyze the impact of the 2020 global pandemic on the memory properties of the Eastern Europe stock markets, from the period between 1 January 2016 to 2 September 2020, the sample was divided in two subperiods: 1 January 2016 to 30 August 2019 (before Covid 19) and 2 September 2019 to 2 September 2020 (after Covid 19). To perform this analysis, different approaches were undertaken to analyze whether if: (i) the global pandemic (Covid-19) accentuated the exponents Detrended Fluctuation Analysis (DFA) and the Detrended Cross-Correlation Analysis (𝑝𝐷𝐶𝐶𝐴) in the Eastern European stock markets?. The daily returns do not have normal distributions, they have negative asymmetries, leptocubtic, and also exhibit conditional heteroscedasticity. The exponents Detrended Fluctuation Analysis (DFA), during the Covid-19 period, range from 0.64 to 0.75, showing significant long memories in all markets, except for the SLOVAKIA market (0.45). When we compared the 2 subperiods, we found that 41 pairs of markets have cross-correlation coefficients without trend ( λDCCA) strong (out of 45 possible), and 4 pairs of markets decreased the 𝑟ℎ𝑜𝐷𝐶𝐶𝐴 in particular the markets ESTONIA-SLOVAKIA, LITHUANIA-SLOVAKIA, HUNGARY-SLOVAKIA, POLAND-SLOVAKIA. These findings show that the assumption of the market efficiency hypothesis may be in question, since the prediction of market movement can be improved if we consider the out-of-lag movements of the other markets, enabling the occurrence of arbitrage operations and some difficulties in portfolio diversification.

A hybrid approach to exchange rates

2016 ◽  
Vol 33 (1) ◽  
pp. 50-68 ◽  
Author(s):  
Guangfeng Zhang ◽  
Ian Marsh ◽  
Ronald MacDonald
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Time ◽  
Private Information ◽  
Hybrid Approach ◽  
Exchange Rate Volatility ◽  
Content Type ◽  
Macro News ◽  
The Impact ◽  
Exchange Rates Volatility

Purpose – This study aims to investigate the impact of information, both public macro news and private information, on exchange rate volatility in an integrated framework. Design/methodology/approach – The authors apply real-time data of macro announcements and high-frequency trading data (German Deutsche Mark to US dollar, DEM/USD, from 1 May to 31August 1996) to GARCH models and examine various model specifications. Findings – Data analysis demonstrates real-time macro news and market makers’ private information both have a significant impact on exchange rate volatility, but there is no interaction between macro and micro information in the information transmission process. Originality/value – This study contributes to empirical hybrid studies of examining exchange rates volatility, which is in line with literature that combine both macro and micro fundamentals in examining exchange rates variation. Particularly, a key element of this study is to use a microstructure fundamental variable, namely, order flow, to capture private information in an exchange rate volatility study.

scholarly journals HAS THE GLOBAL PANDEMIC OF 2020 LED TO PERSISTENCE IN THE SHARE PRICES OF LARGE GLOBAL COMPANIES?

2021 ◽  
Author(s):  
Hortense Santos ◽  
◽  
Rui Dias ◽  
Cristina Vasco ◽  
Paulo Alexandre ◽  
...  
Keyword(s):  
Stock Prices ◽  
Research Question ◽  
Correlation Coefficients ◽  
Trading Strategies ◽  
Fluctuation Analysis ◽  
Additional Risk ◽  
Share Prices ◽  
Global Pandemic ◽  
Global Companies ◽  
Detrended Fluctuation

This paper aims to analyze the predictability of the stocks of Apple, Microsoft Amazon.com, Tesla, Facebook, Samsung, Electronics, Johnson & Johnson, Walmart, in the period from October 1, 2019 to January 11, 2021. To carry out such an analysis, it is intended to answer two research questions, namely: (i) is there predictability in the stock prices of the companies under analysis? (ii) Can investors diversify risk by incorporating these companies’ shares into their portfolios? The results of the Exponents Detrended Fluctuation Analysis (DFA) show that Apple (0.51) Microsoft (0.49), Amazon.com (0.53), Samsung Electronics (0.53), Johnson & Johnson (0.53) do not have long memories in their time series, that is, investors cannot obtain abnormal profitability without incurring additional risk. Walmart (0.41) has anti-persistence, while Tesla (0.60), Facebook (0.55) indicate some predictability, meaning investors adjusting their trading strategies to the necessary missteps may have some above-average profitability, which partly rejects the first question of the research. To answer the second research question, we estimated the Detrended cross-correlation coefficient (pDCCA) model, which indicates 17 mean correlation coefficients (≈ 0.333 → ≈ 0.666), 7 strong cross-trend correlation coefficients (0.666 → ≈ 1,000), 4 weak correlation coefficients (≈ 0.000 → ≈ 0.333). These results show that investors should be careful to incorporate the shares of these companies into a single portfolio; the suggestion would be to group only the shares of companies that do not present predictability and have low rhoDCCA. The authors consider that this evidence will be important for institutional investors when carrying out trading strategies based on maximizing profitability, but also mitigating risk when diversifying.

scholarly journals Influenza and its relationship to circulatory disorders

2004 ◽  
Vol 133 (2) ◽  
pp. 255-262 ◽  
Author(s):  
D. M. FLEMING ◽  
K. W. CROSS ◽  
R. S. PANNELL
Keyword(s):  
Influenza A ◽  
Cross Correlation ◽  
Age Groups ◽  
Correlation Coefficients ◽  
Mortality Data ◽  
Time Lags ◽  
Emergency Admissions ◽  
Circulatory Disorders ◽  
Incident Cases ◽  
The Impact

Three sources of data (general practice episode data from the Weekly Returns Service of the Royal College of General Practitioners, national hospital admission data for England and national mortality data by date of death) were examined separately in each winter (1994/1995 to 1999/2000) to investigate the impact of influenza on circulatory disease. Weekly data on incidence (clinical new episodes) hospital emergency admissions and deaths certified to circulatory disorders and to respiratory diseases (chapters VII and VIII of ICD9) during influenza epidemic periods (defined from combined clinical/virological surveillance) were examined in age groups 45–64, 65–74 and [ges ]75 years. Data collected in the four winters in which there were substantial influenza A epidemics were consolidated for the period 6 weeks before to 6 weeks after each peak of the epidemic, and associations between the variables at different time lags examined by calculating cross-correlation coefficients. We also examined deaths due to ischaemic heart disease (IHD) as a proportion of all circulatory deaths and deaths due to influenza/pneumonia as a proportion of all respiratory deaths. There were no increases of GP episodes nor of emergency admissions for circulatory disorders in any of the three age groups during epidemic periods. Increased circulatory deaths occurred in all age groups and particularly in the oldest group. The large cross-correlation coefficients of deaths (circulatory and respiratory) with GP respiratory episodes at weekly lags of 0, −1 and 1 were evidence that the deaths and episode distributions were contemporaneous. The ratios of excess circulatory deaths relative to excess respiratory deaths during epidemic periods were 0·74 (age 45–64), 0·72 (65–74) and 0·57 ([ges ]75 years). Increased circulatory deaths contemporary with new incident cases of respiratory episodes but with no concomitant increase in admissions suggests rapid death during the acute phase of illness. Influenza contingency planning needs to take account of these deaths in determining policy for prophylaxis and in providing facilities for cardio-respiratory resuscitation.

scholarly journals The relationship between exchange rates and international trade: a literature review

2013 ◽  
Vol 12 (3) ◽  
pp. 577-605 ◽  
Author(s):  
MARC AUBOIN ◽  
MICHELE RUTA
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Small Firms ◽  
Exchange Rate Volatility ◽  
Production Networks ◽  
Global Production Networks ◽  
Long Run ◽  
The Impact ◽  
The Relationship

AbstractThis paper surveys a wide body of economic literature on the relationship between exchange rates and trade. Specifically, two main issues are investigated: the impact of exchange rate volatility and of currency misalignments on international trade flows. On average, exchange rate volatility has a negative (even if not large) impact on trade. The extent of this effect depends on a number of factors, including the existence of hedging instruments, the structure of production (e.g. the prevalence of small firms), and the degree of economic integration across countries. The second issue involves exchange rate misalignments, which are predicted to have short-run effects in models with price rigidities. However, the exact impact depends on a number of features, such as the pricing strategy of firms engaging in international trade and the importance of global production networks. Trade effects of currency misalignments are predicted to disappear in the long-run, unless an economy is characterized by other relevant distortions. Empirical results broadly confirm these theoretical predictions.

The Impact of Beam Broadening on the Quality of Radar Polarimetric Data

2007 ◽  
Vol 24 (5) ◽  
pp. 729-744 ◽  
Author(s):  
Alexander V. Ryzhkov
Keyword(s):  
Correlation Coefficient ◽  
Cross Correlation ◽  
Horizontal Gradients ◽  
Analytical Formulas ◽  
Radar Resolution ◽  
Differential Reflectivity ◽  
The Impact ◽  
Nonuniform Beam ◽  
Beam Broadening

Abstract The impact of beam broadening on the quality of radar polarimetric data in the presence of nonuniform beam filling (NBF) is examined both theoretically and experimentally. Cross-beam gradients of radar reflectivity Z, differential reflectivity ZDR, and differential phase ΦDP within the radar resolution volume may produce significant biases of ZDR, ΦDP, and the cross-correlation coefficient ρhv. These biases increase with range as a result of progressive broadening of the radar beam. They are also larger at shorter radar wavelengths and wider antenna beams. Simple analytical formulas are suggested for estimating the NBF-induced biases from the measured vertical and horizontal gradients of Z, ZDR, and ΦDP. Analysis of polarimetric data collected by the KOUN Weather Surveillance Radar-1988 Doppler (WSR-88D) demonstrates that frequently observed perturbations of the radial ΦDP profiles and radially oriented “valleys” of ρhv depression can be qualitatively and quantitatively explained using the suggested NBF model.

scholarly journals The Impact of Currency Exchange Rates and Canadian and U.S. Unemployment Rates on Non-Immigrant Visas from Canada to the U.S.

2009 ◽  
Vol 36 (3-4) ◽  
pp. 217
Author(s):  
W. Andrew Harrell ◽  
Jennifer A. Boisvert
Keyword(s):  
Decision Making ◽  
Exchange Rates ◽  
Cross Correlation ◽  
Matching Law ◽  
Regression Analyses ◽  
Unemployment Rates ◽  
Currency Exchange ◽  
Currency Exchange Rates ◽  
The Impact ◽  
The U.S

Changes in immigration rates by Canadians from 1989 to 2006 were examined for three non-immigrant visa categories. Cross correlation functions (CCF) were calculated relating changes in numbers of visas to changes in Canada-U.S. currency exchange and unemployment rates. Regression analyses tested Han- Ibbott’s (2005) model of immigration decision-making and a variation of Herrnstein’s (1961) matching law. CCF analysis found that currency exchange and unemployment rates were predictive of changes in immigration rates. Regression analyses indicated that a devalued Canadian dollar discouraged migration to the U.S. These findings have implications for Canada-U.S. inequities in bilateral immigration under NAFTA, with Canada experiencing a greater drain in human capital.

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