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Durga Prasad Samontaray

Associate Professor

Associate Professor, Department of Finance

كلية إدارة الأعمال
College of Business Administration, Building 67, Second Floor, Office No. S36

Directional predictability in foreign exchange rates of emerging markets: New evidence using a cross-quantilogram approach

Abstract This study investigates the directional predictability of exchange rates in emerging markets. Using a cross-quantilogram model, we show that dependencies among emerging markets exchange rates are heterogeneous. Specifically, the Mexican peso, Brazilian real, and Turkish lira are leading emerging market currencies that provide hedging opportunities for currency investors. The structural dependencies across the pairs of exchange rates are evident at lag 1, and the relationships dissipate at longer lags. Secondly, the partial cross-quantilogram results indicate that oil is not a driving force of interrelationship among the exchange rates. Furthermore, the estimations of cross-quantile correlations from recursive subsamples reveal time-variant traits. If policymakers and financial regulators focus on comovements among emerging market currencies and distinguish net recipients from net transmitters in different environments, they can devise a surveillance system to adjust the market interde- pendence effects across emerging market foreign exchange rates. Therefore, they can promote the stability of emerging market currencies. Copyright © 2021 Borsa _Istanbul Anonim S ̧ irketi. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/). JEL classification: C33; F31; O24; E61 Keywords: Emerging markets; Currencies; Exchange rates; Cross-quantilogram; Directional predictability

Publication Work Type
Research Paper
Publisher Name
Borsa Istanbul Review (BIR)
Volume Number
22
Issue Number
1
Pages
145-155
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by Atul Bansal, Durga Prasad Samontaray, Rahul Kumar
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Published in:
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Underpricing of initial public offerings (IPOs) is a common phenomenon that widely studied over many periods and a broad range of countries. This paper examines the extent of underpricing of IPOs…

by Durga Prasad Samontaray, Abdullah Saud Al Zuwidi
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Published in:
Corporate Ownership and Control (VIRTUS INTERPRESS)