Munich Personal RePEc Archive

Mutual influence of exchange assets: analysis and estimation

Kozmenko, Serhiy and Plastun, Oleksiy (2011): Mutual influence of exchange assets: analysis and estimation. Published in: Banks and Bank Systems , Vol. 6, No. 2 (30. June 2011): pp. 53-58.

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Abstract

This paper examines the dynamic of prices for different exchange assets in relation to the dynamics of other exchange instruments. The analysis shows that in certain periods there exists a strong connection between the exchange assets(direct or indirect) but it is rather unstable. The understanding of such dependencies allows to predict the market price changes. The coefficient of correlation can act as a measure of convergence or divergence of two “equal” assets. For example, a strong positive correlation between the two exchange assets lead to conclusion that in the case of a big movement in one asset we can wait for equivalent changes in other exchange asset.

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