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Asia-Pacific currencies structure aftermath Tohoku earthquake

Atiany, Tareq A.M. and Sharif, Shamshuritawati (2015) Asia-Pacific currencies structure aftermath Tohoku earthquake. Research Journal of Applied Sciences, Engineering and Technology, 11 (2). pp. 215-220. ISSN 2040-7459

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Abstract

This study investigates the aftermath of Tohoku earthquake to the structure of Asia-Pacific currencies.The M statistic and Minimum Spanning Tree (MST) are employed to study the stability of the covariance currencies structure and its causes, respectively.To filter the information from MST, we use a degree centrality measure. The results showed that the Tohoku earthquake that struck Japan on March 2011 had increased the volatility of currencies exchange and made currencies unstable. From the control chart, it shows that the currencies are not stable from Jan 2010 until Dec 2011.Based on sample data of Nov 2011, we can conclude that LKR and HKD are the unstable currencies among the others.

Item Type: Article
Uncontrolled Keywords: Box's M ; earthquake Tohoku ; Japanese yen ; network analysis
Subjects: Q Science > QA Mathematics
Divisions: School of Quantitative Sciences
Depositing User: Dr. Shamshuritawati Sharif
Date Deposited: 20 Apr 2017 05:08
Last Modified: 20 Apr 2017 05:08
URI: https://repo.uum.edu.my/id/eprint/21563

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