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

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Author Info

  • Kravets Tetyana V.

    ()
    (Kyiv National University named after T. Shevchenko)

  • Berezniuk Oksana V.

    ()
    (Kyiv National University named after T. Shevchenko)

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    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.

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    Bibliographic Info

    Article provided by RESEARCH CENTRE FOR INDUSTRIAL DEVELOPMENT PROBLEMS of NAS (KHARKIV, UKRAINE), Kharkiv National University of Economics in its journal Business Inform.

    Volume (Year): (2014)
    Issue (Month): 2 ()
    Pages: 116_121

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

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    Web page: http://www.business-inform.net

    Related research

    Keywords: fractal analysis; stick indices; currency rates; crisis; Hurst ratio; wavelet transformation;

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