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The multifractal properties of Euro and Pound exchange rates and comparisons

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  • Ning, Ye
  • Han, Chenyu
  • Wang, Yiming

Abstract

The study measures the multifractal properties of the daily data of the exchange rates of pound and euro from 2005 to 2017. We proved that the exchange rate data series of pound and euro both exhibit significant nonlinear multifractal properties. The multifractal properties of the two exchange rate series call for non-linear tools, instead of conventional linear tools to further study the features of exchange markets. Furthermore, this study compares the multifractal degrees of pound and euro in five sub-samples divided by four major global events in the world economy during 2005 and 2017. Finally, the study compares the efficiency of the two exchange markets in each sub-sample and discusses the effects on investment attitudes of global investors.

Suggested Citation

  • Ning, Ye & Han, Chenyu & Wang, Yiming, 2018. "The multifractal properties of Euro and Pound exchange rates and comparisons," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 578-587.
    • Handle: RePEc:eee:phsmap:v:509:y:2018:i:c:p:578-587
    DOI: 10.1016/j.physa.2018.06.037
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    References listed on IDEAS

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    Cited by:

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    2. Dongjun Kim & Jinsung Yun & Kijung Kim & Seungil Lee, 2021. "A Comparative Study of the Robustness and Resilience of Retail Areas in Seoul, Korea before and after the COVID-19 Outbreak, Using Big Data," Sustainability, MDPI, vol. 13(6), pages 1-21, March.
    3. Azzam, Islam & El-Masry, Ahmed A. & Yamani, Ehab, 2023. "Foreign exchange market efficiency during COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 717-730.
    4. Choi, Sun-Yong, 2021. "Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    5. Shrestha, Keshab & Naysary, Babak & Philip, Sheena Sara Suresh, 2023. "Fintech market efficiency: A multifractal detrended fluctuation analysis," Finance Research Letters, Elsevier, vol. 54(C).
    6. Han, Chenyu & Wang, Yiming & Ning, Ye, 2019. "Comparative analysis of the multifractality and efficiency of exchange markets: Evidence from exchange rates dynamics of major world currencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    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

    MF-DFA; Multifractal properties; Multifractality degrees; Exchange rates;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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