Contagion among financial markets

Ing. Alptekin Han Sofuoglu

Master's thesis

Abstract:

This study dives into how foreign exchange (FX) markets and cryptocurrencies are connected, especially during times when the market is in crisis. We used a method called cross-quantilogram analysis to achieve this aim. Our main goal was to see how big changes in one market affect the other. We calculated cross-quantilogram co-efficient in different quantiles and compared significance of volatility between crypto and FX markets. After looking at final data results, we were not able to find clear contagious connections between these two markets. However, we detected that the decline in one currency market can have bigger effect for the currencies within that market. At the end, our research suggested the ways to manage risks and make smart decisions about policies, especially in today's world where everything is connected internationally.

Abstract:

This study dives into how foreign exchange (FX) markets and cryptocurrencies are connected, especially during times when the market is in crisis. We used a method called cross-quantilogram analysis to achieve this aim. Our main goal was to see how big changes in one market affect the other. We calculated cross-quantilogram co-efficient in different quantiles and compared significance of volatility between crypto and FX markets. After looking at final data results, we were not able to find clear contagious connections between these two markets. However, we detected that the decline in one currency market can have bigger effect for the currencies within that market. At the end, our research suggested the ways to manage risks and make smart decisions about policies, especially in today's world where everything is connected internationally.

Keywords

FX, krypto, nákaza, volatilita, kvantil, řízení rizik, křížový kvantilogram, časové řady, měna, finanční trh FX, Crypto, Contagion, Volatility, Quantile, Risk Management, Cross-Quantilogram, Time-series, Currency, Financial market

Language used: English

Date on which the thesis was submitted / produced: 10. 5. 2024

Thesis defence

• Date of defence: 18. 6. 2024
• Supervisor: prof. Ing. Štefan Lyócsa, PhD.
• Reader: Ph.D. Axel Alejandro Araneda Barahona

Masaryk University

Faculty of Economics and Administration

Master programme / field:
Finance / Finance