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Intra-day response of foreign exchange markets after the Tohoku-Oki earthquake

Shuhei Nakano, Yoshito Hirata, Koji Iwayama and Kazuyuki Aihara

Physica A: Statistical Mechanics and its Applications, 2015, vol. 419, issue C, 203-214

Abstract: Although an economy is influenced by a natural disaster, the market response to the disaster during the first 24 hours is not clearly understood. Here we show that an earthquake quickly causes temporal changes in a foreign exchange market by examining the case of the Tohoku-Oki earthquake. Recurrence plots and statistical change point detection independently show that the United States dollar–Japanese yen market responded to the earthquake activity without delay and with the delay of about 2 minutes, respectively. These findings support that the efficient market hypothesis nearly holds now in the time scale of minutes.

Keywords: Earthquakes; Foreign exchange markets; Point processes; Recurrence plots; Binomial tests (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:419:y:2015:i:c:p:203-214

DOI: 10.1016/j.physa.2014.10.027

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Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

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