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Azariyoon, Arash, yazdanian, narges, Mirarab, Alireza, Hemmati, Hoda. (1402). Evaluation of Parallel Market's Long-term Memory Based on DFA and ARDL-Based Detrending (case study: Stock Market and Exchange Rate). , 8(29), 173-183. doi: 10.30495/ijfma.2023.21136
Arash Azariyoon; narges yazdanian; Alireza Mirarab; Hoda Hemmati. "Evaluation of Parallel Market's Long-term Memory Based on DFA and ARDL-Based Detrending (case study: Stock Market and Exchange Rate)". , 8, 29, 1402, 173-183. doi: 10.30495/ijfma.2023.21136
Azariyoon, Arash, yazdanian, narges, Mirarab, Alireza, Hemmati, Hoda. (1402). 'Evaluation of Parallel Market's Long-term Memory Based on DFA and ARDL-Based Detrending (case study: Stock Market and Exchange Rate)', , 8(29), pp. 173-183. doi: 10.30495/ijfma.2023.21136
Azariyoon, Arash, yazdanian, narges, Mirarab, Alireza, Hemmati, Hoda. Evaluation of Parallel Market's Long-term Memory Based on DFA and ARDL-Based Detrending (case study: Stock Market and Exchange Rate). , 1402; 8(29): 173-183. doi: 10.30495/ijfma.2023.21136

Evaluation of Parallel Market's Long-term Memory Based on DFA and ARDL-Based Detrending (case study: Stock Market and Exchange Rate)

International Journal of Finance & Managerial Accounting
دوره 8، شماره 29، تیر 2023، صفحه 173-183  XML اصل مقاله (708.21 K)
نوع مقاله: Original Article
شناسه دیجیتال (DOI): 10.30495/ijfma.2023.21136
نویسندگان
Arash Azariyoon1؛ narges yazdanian email 2؛ Alireza Mirarab2؛ Hoda Hemmati2
1Ph.D. student of industrial management, Roodehen branch, Islamic azad university, Roodehen, Iran.
2Assistant professor of accounting, Accounting department, Roodehen branch, Islamic azad university, Roodehen, Iran.
چکیده
In this study, the relationship between stock market long-term memory and exchange rate was studied. For this purpose, the analysis of detrended fluctuations was used and in order to detrend the data, two common detrending methods and cross-detrending were used. The research data included daily information of the stock market index and the dollar exchange rate during the period 2014/03/25 to 2021/02/07 and the data analysis was performed using the regression models. The results showed that the cross-trending of parallel markets produces different results in estimating the long-term memory of the data. According to the research findings, the stock index has a short-term memory under the conventional detrending method, while the cross-detrending method shows long-term memory for this index. The results for the exchange rate showed that under the conventional detrending method, the long-term memory of the exchange rate cannot be estimated in all market volatilities situations, while the cross-detrending method showed that the exchange rate loses its long-term memory in the face of increasing market fluctuations. The results also showed that under the cross-trending method, there is a direct and significant relationship between the long-term memory of the stock market index and the exchange rate.
کلیدواژه‌ها
Detrended fluctuations؛ Parallel markets؛ Cross detrending؛ long-term memory
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