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A Multifractal Analysis of Asian Foreign Exchange Markets

Author

Listed:
  • Gabjin Oh
  • Cheoljun Eom
  • Shlomo Havlin
  • Woo-Sung Jung
  • Fengzhong Wang
  • H. Eugene Stanley
  • Seunghwan Kim

Abstract

We analyze the multifractal spectra of daily foreign exchange rates for Japan, Hong-Kong, Korea, and Thailand with respect to the United States Dollar from 1991 to 2005. We find that the return time series show multifractal spectrum features for all four cases. To observe the effect of the Asian currency crisis, we also estimate the multifractal spectra of limited series before and after the crisis. We find that the Korean and Thai foreign exchange markets experienced a significant increase in multifractality compared to Hong-Kong and Japan. We also show that the multifractality is stronge related to the presence of high values of returns in the series.

Suggested Citation

  • Gabjin Oh & Cheoljun Eom & Shlomo Havlin & Woo-Sung Jung & Fengzhong Wang & H. Eugene Stanley & Seunghwan Kim, 2008. "A Multifractal Analysis of Asian Foreign Exchange Markets," Papers 0801.1475, arXiv.org, revised Jul 2019.
    • Handle: RePEc:arx:papers:0801.1475
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    Cited by:

    1. Ioannis N. Kallianiotis & Iordanis Petsas, 2020. "The Effectiveness of the Single Mandate of the ECB and the Dual of the Fed," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(4), pages 1-11.

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