Does the “ice-breaking” of South and North Korea affect the South Korean financial market?

Wei Shao and Jian Wang

Chaos, Solitons & Fractals, 2020, vol. 132, issue C

Abstract: In this paper, we use the multifractal detrended fluctuation analysis (MF-DFA) to study the difference in financial market of South Korea before and after South and North Korean leaders’ meeting on April 27, 2018. Hurst exponent, quality index, and multifractal spectrum are used to analyze the characteristics and stability of South Korean financial markets before and after the South and North Korean leaders’ meeting. We investigate the foreign exchange and stock markets in South Korea. The results show that multifractality is existed in all time intervals for both the markets, and the multifractal characteristics after the meeting are stronger, which indicates that both the markets before the meeting have a higher market efficiency, and decreased after the meeting. The meeting of South and North Korean leaders since April 27, 2018 is a possible interpretation for changes of efficiency in South Korean financial markets. To document the major source of multifractality, we shuffle and phase-randomize both the original series of two markets. The results show that both the long-range correlation and fat-tailed distribution contribute to multifractality for the time series before the meeting, and only fat-tailed distribution contributes to the multifractality of both times series after the meeting.

Keywords: Multifractality; Market efficiency; Foreign exchange; Kospi (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:132:y:2020:i:c:s0960077919305211

DOI: 10.1016/j.chaos.2019.109564

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