%0 Journal Article %1 noauthororeditor %A Villanueva, Cleo S. %A and Jasmin DC. Niguidula, %D 2017 %J International Journal on Information Theory (IJIT) %K Shannon crisis entropy; exchange financial foreign rates; time-dependent %N 1/2 %P 01-09 %R 10.5121/ijit.2017.6201 %T The Effect of Financial Crises on the Entropy Evolution of Foreign Exchance Rates %U http://aircconline.com/ijit/V6N2/6217ijit01.pdf %V 06 %X This study investigates the possible effect of financial crises on foreign exchange markets, where entropy (using the time-dependent block entropy method) for different exchange rates is measured. Results suggest that financial crises are associated with significant increase of exchange rate entropy especially in US and Hongkong currencies, reflecting instability in FX market dynamics. Moreover, for most of the currencies studied, increase of exchange rate entropy was observed after a period of financial crisis. In addition, empirical results show that periods of economic uncertainty are led by periods of low entropy values, which might serve as indicator for anticipating the inception of financial crises.

@article{noauthororeditor, abstract = {This study investigates the possible effect of financial crises on foreign exchange markets, where entropy (using the time-dependent block entropy method) for different exchange rates is measured. Results suggest that financial crises are associated with significant increase of exchange rate entropy especially in US and Hongkong currencies, reflecting instability in FX market dynamics. Moreover, for most of the currencies studied, increase of exchange rate entropy was observed after a period of financial crisis. In addition, empirical results show that periods of economic uncertainty are led by periods of low entropy values, which might serve as indicator for anticipating the inception of financial crises. }, added-at = {2018-04-07T06:02:36.000+0200}, author = {Villanueva, Cleo S. and and Jasmin DC. Niguidula}, biburl = {https://www.bibsonomy.org/bibtex/2297c6b453adf38e7e38fc57462d309fd/ijitjournal}, doi = {10.5121/ijit.2017.6201}, interhash = {e4b34b865177e3b2bc84a0d2c434beaa}, intrahash = {297c6b453adf38e7e38fc57462d309fd}, issn = {2319 - 7609}, journal = {International Journal on Information Theory (IJIT)}, keywords = {Shannon crisis entropy; exchange financial foreign rates; time-dependent}, number = {1/2}, pages = {01-09}, timestamp = {2018-04-07T06:02:36.000+0200}, title = {The Effect of Financial Crises on the Entropy Evolution of Foreign Exchance Rates}, url = {http://aircconline.com/ijit/V6N2/6217ijit01.pdf}, volume = 06, year = 2017 }