The Efficiency of the Polish Zloty Exchange Rate Market: The Uncovered Interest Parity and Fractal Analysis Approaches

Czech, Katarzyna; Pietrych, Łukasz

doi:10.3390/risks9080142

Cited by 2 publications

(1 citation statement)

References 62 publications

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“…On the other hand, if the exponent is less than 0.5, it signifies that the series exhibits anti-persistence. It implies that if the rate of the series was immense in the previous period, it is likely to step down towards the mean value in the forthcoming period (Czech and Pietrych 2021).…”

Section: Methodsmentioning

confidence: 99%

Montenegrin Stock Exchange Market on a Short-Term Perspective

Backović

Karadžić

Gričar

et al. 2023

JRFM

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The objective of this study is to analyse the constitution of the emerging Montenegrin stock exchange. Four methodological time-series econometric steps are involved: the augmented Dickey–Fuller (ADF) test, run test, autocorrelation function (ACF) test, and Hurst test. The study utilises a daily data vector from 5 January 2004 to 20 June 2023, with a specific focus on the period encompassing the growth and peak of market stocks in 2007, followed by the significant 2008 financial crisis and subsequent developments thereafter. The analysis culminates on 28 May 2018, which is considered one of the lowest points in the Montenegrin stock exchange market in a comparative time-series assessment. The results of the tests conducted in this study do not provide empirical evidence supporting the random walk theory and its returns on aggregated shocks in the Montenegrin stock exchange market. By reviewing previous empirical studies and presenting new empirical findings, this study confirms the presence of stochastic trends in co-movements in finance, contributing to a deeper understanding of emerging stock exchange markets. Study implications support greater reliance on market efficiency, risk management, and portfolio diversification.

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Section: Methodsmentioning

confidence: 99%

Montenegrin Stock Exchange Market on a Short-Term Perspective

Backović

Karadžić

Gričar

et al. 2023

JRFM

View full text Add to dashboard Cite

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Inner Multifractal Dynamics in the Jumps of Cryptocurrency and Forex Markets

Ali,

Aftab,

Aslam

et al. 2024

Fractal Fract

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Jump dynamics in financial markets exhibit significant complexity, often resulting in increased probabilities of subsequent jumps, akin to earthquake aftershocks. This study aims to understand these complexities within a multifractal framework. To do this, we employed the high-frequency intraday data from six major cryptocurrencies (Bitcoin, Ethereum, Litecoin, Dashcoin, EOS, and Ripple) and six major forex markets (Euro, British pound, Canadian dollar, Australian dollar, Swiss franc, and Japanese yen) between 4 August 2019 and 4 October 2023, at 5 min intervals. We began by extracting daily jumps from realized volatility using a MinRV-based approach and then applying Multifractal Detrended Fluctuation Analysis (MFDFA) to those jumps to explore their multifractal characteristics. The results of the MFDFA—especially the fluctuation function, the varying Hurst exponent, and the Renyi exponent—confirm that all of these jump series exhibit significant multifractal properties. However, the range of the Hurst exponent values indicates that Dashcoin has the highest and Litecoin has the lowest multifractal strength. Moreover, all of the jump series show significant persistent behavior and a positive autocorrelation, indicating a higher probability of a positive/negative jump being followed by another positive/negative jump. Additionally, the findings of rolling-window MFDFA with a window length of 250 days reveal persistent behavior most of the time. These findings are useful for market participants, investors, and policymakers in developing portfolio diversification strategies and making important investment decisions, and they could enhance market efficiency and stability.

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The Efficiency of the Polish Zloty Exchange Rate Market: The Uncovered Interest Parity and Fractal Analysis Approaches

Cited by 2 publications

References 62 publications

Montenegrin Stock Exchange Market on a Short-Term Perspective

Montenegrin Stock Exchange Market on a Short-Term Perspective

Inner Multifractal Dynamics in the Jumps of Cryptocurrency and Forex Markets

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