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Risk transmitters and receivers in global currency markets

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  • Shahzad, Syed Jawad Hussain
  • Arreola-Hernandez, Jose
  • Bekiros, Stelios
  • Rehman, Mobeen Ur

Abstract

We implement a robust multi-scenario cross-quantilogram network approach to examine the strength and direction of interdependencies and spillover transmission among 25 developed, emerging, Middle Eastern and North African (MENA) FX markets. We find evidence of statistically significant risk transmission and reception between numerous FX rates that varies under different market states i.e., bearish, normal and bullish. The currencies of develop markets act mainly as spillover transmitter, while those with lower currency values are spillover receivers. Implications of the results are discussed.

Suggested Citation

  • Shahzad, Syed Jawad Hussain & Arreola-Hernandez, Jose & Bekiros, Stelios & Rehman, Mobeen Ur, 2018. "Risk transmitters and receivers in global currency markets," Finance Research Letters, Elsevier, vol. 25(C), pages 1-9.
    • Handle: RePEc:eee:finlet:v:25:y:2018:i:c:p:1-9
    DOI: 10.1016/j.frl.2017.09.018
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    Cited by:

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    4. Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2022. "Liquidity spillover in foreign exchange markets," Finance Research Letters, Elsevier, vol. 44(C).
    5. Tan T. M. Le & Franck Martin & Duc K. Nguyen, 2018. "Dynamic connectedness of global currencies: a conditional Granger-causality approach," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 2018-04, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.
    6. Jiang, Xue & Li, Sai-Ping & Mai, Yong & Tian, Tao, 2022. "Study of multinational currency co-movement and exchange rate stability base on network game," Finance Research Letters, Elsevier, vol. 47(PA).
    7. Ur Rehman, Mobeen & Al Rababa'a, Abdel Razzaq & El-Nader, Ghaith & Alkhataybeh, Ahmad & Vo, Xuan Vinh, 2022. "Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).

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    More about this item

    Keywords

    Quantile-on-quantile causality; Currency markets;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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