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Journal Articles Finance Research Letters Year : 2018

Risk transmitters and receivers in global currency markets

Abstract

We implement a robust multi-scenario cross-quantilogram network approach to examine the strength and direction of interdependencies and spillover transmission among 25 developed, emerging, Middle Eastern and North African (MENA) FX markets. We find evidence of statistically significant risk transmission and reception between numerous FX rates that varies under different market states i.e., bearish, normal and bullish. The currencies of develop markets act mainly as spillover transmitter, while those with lower currency values are spillover receivers. Implications of the results are discussed.
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hal-01814274 , version 1 (13-06-2018)

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Syed Jawad Hussain Shahzad, Jose Arreola-Hernandez, Stelios Bekiros, Mobeen Ur Rehman. Risk transmitters and receivers in global currency markets. Finance Research Letters, 2018, 25, pp.1 - 9. ⟨10.1016/j.frl.2017.09.018⟩. ⟨hal-01814274⟩
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