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Comparison Of Currency Movement Before And After October 2008

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  • Malliaris, M.E.

Abstract

The globalization of financial markets has motivated an extensive literature that investigates issues of linkages, spillovers and contagion among financial instruments. Investment and hedging activities take place because certain fundamental relationships exist between and among currencies that persist despite the surrounding uncertainty. This paper uses the association analysis data mining technique to compare rules related to directional movements of eight major currencies before and after the financial crisis of October 2008. The currencies included in the search for rules are the Australian dollar, the Japanese yen, the euro, the Swiss franc, the British pound, the Canadian dollar, the Mexican peso, and the Brazilian real. Some of the rules that remained stable, during a seven-year period, on both sides of the 2008 financial crisis are examined and compared.

Suggested Citation

  • Malliaris, M.E., 2012. "Comparison Of Currency Movement Before And After October 2008," The Journal of Economic Asymmetries, Elsevier, vol. 9(2), pages 45-57.
    • Handle: RePEc:eee:joecas:v:9:y:2012:i:2:p:45-57
    DOI: 10.1016/j.jeca.2012.02.003
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    References listed on IDEAS

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    Cited by:

    1. Serdar Neslihanoglu & Stelios Bekiros & John McColl & Duncan Lee, 2021. "Multivariate time-varying parameter modelling for stock markets," Empirical Economics, Springer, vol. 61(2), pages 947-972, August.

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    More about this item

    Keywords

    Spillovers; Contagion; Currency markets; Global financial markets; Association analysis;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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