Effects of Synchronisation of Dynamics of Stock Indices and Currency Rates during Multifactor Analysis with the Use of Wavelet Technologies

Kravets Tetyana V. () and Berezniuk Oksana V. ()
Additional contact information
Kravets Tetyana V.: Kyiv National University named after T. Shevchenko
Berezniuk Oksana V.: Kyiv National University named after T. Shevchenko

Business Inform, 2014, issue 2, 116_121

Abstract: The article conducts analysis of behaviour of stock indices and currency rates before and after the crisis phenomena with the aim of detection of key features of the pre-crisis state, localisation and description of crisis effects by time and scale using methods of multifractal analysis and wavelet transformation. The article checks the method of allocation of intervals of self-similar behaviour of financial series in practice. For Dow Jones and S&P 500 indices the article detects in the time interval of 2001 - 2013 fractality spans and also moments of time when behaviour of series was determined with the chaotic component. The article offers the measure of synchronous behaviour of stock indices and currency rates, value of which allows assessment of the degree of propagation of crisis phenomena and forecasting them. This measure is calculated for EUR/GBP, EUR/USD, FTSE 100, S&P 500, Dow Jones, DAX and CAC 40 series. The article observes a close connection between values of the introduced measure and volume of crisis phenomena, which took place in relevant period of time. It gives a characteristics of main economic crises for the period 2001 - 2003 with the aim of comparison of real events and specific features of dynamics of the measure of synchronisation as a precursor of crisis phenomena.

Keywords: fractal analysis; stick indices; currency rates; crisis; Hurst ratio; wavelet transformation (search for similar items in EconPapers)
Date: 2014
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.business-inform.net/pdf/2014/2_0/116_121.pdf (application/pdf)

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:idp:bizinf:y:2014:i:2:p:116_121

Access Statistics for this article

Business Inform is currently edited by Ponomarenko Vladimir S.

More articles in Business Inform from RESEARCH CENTRE FOR INDUSTRIAL DEVELOPMENT PROBLEMS of NAS (KHARKIV, UKRAINE), Kharkiv National University of Economics
Bibliographic data for series maintained by Khaustova Viktoriia ().