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Do foreign exchange and equity markets co-move in Latin American region? Detrended cross-correlation approach

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Cited by:

  1. Ahmad, Nasir & Rehman, Mobeen Ur & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Does inter-region portfolio diversification pay more than the international diversification?," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 26-35.
  2. Tilfani, Oussama & Kristoufek, Ladislav & Ferreira, Paulo & El Boukfaoui, My Youssef, 2022. "Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 588(C).
  3. Tihana Škrinjarić, 2021. "Profiting on the Stock Market in Pandemic Times: Study of COVID-19 Effects on CESEE Stock Markets," Mathematics, MDPI, vol. 9(17), pages 1-20, August.
  4. Zhang, Yaozhong & Wu, Junfeng & Zhang, Chao, 2021. "Risk transfer between stock and open-ended equity fund markets in China based on a multi-layer network model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
  5. da Silva, L.S. Almeida & Guedes, E.F. & Ferreira, Paulo & Dionísio, Andreia & Zebende, G.F., 2019. "ρx,y between open-close stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  6. Okorie, David Iheke & Lin, Boqiang, 2023. "Cryptocurrency spectrum and 2020 pandemic: Contagion analysis," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 29-38.
  7. Ferreira, Paulo & Pereira, Éder Johson de Area Leão & Silva, Marcus Fernandes da & Pereira, Hernane Borges, 2019. "Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 86-96.
  8. Huang, Qian & Wang, Xiangning & Zhang, Shuguang, 2021. "The effects of exchange rate fluctuations on the stock market and the affecting mechanisms: Evidence from BRICS countries," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  9. Ferreira, Paulo & Pereira, Éder & Silva, Marcus, 2020. "The relationship between oil prices and the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  10. Bashir, Usman & Zebende, Gilney Figueira & Yu, Yugang & Hussain, Muntazir & Ali, Ahmed & Abbas, Ghulam, 2019. "Differential market reactions to pre and post Brexit referendum," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 151-158.
  11. Muntazir Hussain & Usman Bashir & Ramiz Ur Rehman, 2024. "Exchange Rate and Stock Prices Volatility Connectedness and Spillover during Pandemic Induced-Crises: Evidence from BRICS Countries," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(1), pages 183-203, March.
  12. Okorie, David Iheke & Lin, Boqiang, 2021. "Stock markets and the COVID-19 fractal contagion effects," Finance Research Letters, Elsevier, vol. 38(C).
  13. Zebende, G.F. & da Silva Filho, A.M., 2018. "Detrended Multiple Cross-Correlation Coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 91-97.
  14. Guedes, E.F. & Ferreira, Paulo & Dionísio, Andreia & Zebende, G.F., 2019. "An econophysics approach to study the effect of BREXIT referendum on European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1175-1182.
  15. Mansoor Alam Khan & Riaz Ahmad & Dr. Muhammad Akram & Hafiz Muhammad Ishaq, 2021. "The Effect Of Macroeconomic Indicators On Stock Market: A Study On Asian Economies," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 10(1), pages 114-127, March.
  16. Alqaralleh, Huthaifa & Canepa, Alessandra & Chini, Zanetti, 2021. "Financial Contagion During the Covid-19 Pandemic: A Wavelet-Copula-GARCH Approach," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202110, University of Turin.
  17. Mohti, Wahbeeah & Dionísio, Andreia & Vieira, Isabel & Ferreira, Paulo, 2019. "Financial contagion analysis in frontier markets: Evidence from the US subprime and the Eurozone debt crises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1388-1398.
  18. Guedes, E.F. & Brito, A.A. & Oliveira Filho, F.M. & Fernandez, B.F. & de Castro, A.P.N. & da Silva Filho, A.M. & Zebende, G.F., 2018. "Statistical test for ΔρDCCA cross-correlation coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 501(C), pages 134-140.
  19. Liu, Xueyong & Jiang, Cheng, 2020. "The dynamic volatility transmission in the multiscale spillover network of the international stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
  20. Muntazir Hussain & Ramiz Ur Rehman & Usman Bashir, 2024. "Environmental pollution, innovation, and financial development: an empirical investigation in selected industrialized countries using the panel ARDL approach," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 26(11), pages 29217-29248, November.
  21. Zebende, G.F. & Brito, A.A. & Castro, A.P., 2020. "DCCA cross-correlation analysis in time-series with removed parts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  22. Ferreira, Paulo & Kristoufek, Ladislav & Pereira, Eder Johnson de Area Leão, 2020. "DCCA and DMCA correlations of cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  23. Guedes, E. & Dionísio, A. & Ferreira, P.J. & Zebende, G.F., 2017. "DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 38-47.
  24. da Silva Filho, A.M. & Zebende, G.F. & de Castro, A.P.N. & Guedes, E.F., 2021. "Statistical test for Multiple Detrended Cross-Correlation Coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
  25. Lahmiri, Salim & Uddin, Gazi Salah & Bekiros, Stelios, 2017. "Clustering of short and long-term co-movements in international financial and commodity markets in wavelet domain," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 947-955.
  26. Wajdi Moussa & Azza Bejaoui & Nidhal Mgadmi, 2021. "Asymmetric Effect and Dynamic Relationships Between Stock Prices and Exchange Rates Volatility," Annals of Data Science, Springer, vol. 8(4), pages 837-859, December.
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