General and specific statistical properties of foreign exchange markets during a financial crash

Wei-Shen Li, Yun-Jie Tsai, Yu-Hsien Shen and Sy-Sang Liaw

Physica A: Statistical Mechanics and its Applications, 2016, vol. 451, issue C, 601-622

Abstract: We investigate minute-by-minute foreign exchange rate (FX) data of 14 currencies with different exchange-rate regimes during a financial crash, and divide these data into several stages according to their respective tendencies: depreciation stage (stage 1), fluctuating stage (stage 2), and appreciation stage (stage 3). The tail distribution of FX rate returns satisfies a power-law structure for different types of currencies. We find the absolute value of the power-law exponent is smaller in emerging markets than in developed markets, especially during the stage 1, and is greatest in pegged currencies.

Keywords: Foreign-exchange markets; Power-law tail distribution; Long-range correlation; Crash; Hedging currency (search for similar items in EconPapers)
Date: 2016
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437116001412
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:451:y:2016:i:c:p:601-622

DOI: 10.1016/j.physa.2016.01.077

Access Statistics for this article

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

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().