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首页> 外文期刊>Chaos, Solitons and Fractals: Applications in Science and Engineering: An Interdisciplinary Journal of Nonlinear Science >Does the 'ice-breaking' of South and North Korea affect the South Korean financial market?
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Does the 'ice-breaking' of South and North Korea affect the South Korean financial market?

机译：南部和朝鲜的“破冰”是否影响了韩国金融市场？

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摘要

In this paper, we use the multifractal detrended fluctuation analysis (MF-DFA) to study the difference in financial market of South Korea before and after South and North Korean leaders' meeting on April 27, 2018. Hurst exponent, quality index, and multifractal spectrum are used to analyze the characteristics and stability of South Korean financial markets before and after the South and North Korean leaders' meeting. We investigate the foreign exchange and stock markets in South Korea. The results show that multifractality is existed in all time intervals for both the markets, and the multifractal characteristics after the meeting are stronger, which indicates that both the markets before the meeting have a higher market efficiency, and decreased after the meeting. The meeting of South and North Korean leaders since April 27, 2018 is a possible interpretation for changes of efficiency in South Korean financial markets. To document the major source of multifractality, we shuffle and phase-randomize both the original series of two markets. The results show that both the long-range correlation and fat-tailed distribution contribute to multifractality for the time series before the meeting, and only fat-tailed distribution contributes to the multifractality of both times series after the meeting. (C) 2019 Elsevier Ltd. All rights reserved.
机译：在本文中，我们使用多重反转波动分析（MF-DFA）来研究南朝鲜在南朝鲜领导人会议之前和朝鲜领导人会议前后的金融市场差异。赫斯特指数，质量指数和多重术光谱用于分析南朝鲜领导人会议前后韩国金融市场的特点和稳定性。我们调查韩国的外汇和股票市场。结果表明，在会议更强大之后的市场和多重分手特征中的所有时间间隔都存在多重性，这表明在会议之前的市场效率更高，会议结束后下降。自2018年4月27日以来南朝鲜领导人会议是对韩国金融市场效率变化的可能解释。要记录多重性的主要来源，我们会随机播放和相位 - 随机化原始系列的两个市场。结果表明，远程相关性和脂肪尾部分布均为会议前的时间序列的多重性，并且只有脂肪尾部分布在会议后两次序列的多重性贡献。 （c）2019年elestvier有限公司保留所有权利。

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