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Intra-day response of foreign exchange markets after the Tohoku-Oki earthquake

Author

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  • Nakano, Shuhei
  • Hirata, Yoshito
  • Iwayama, Koji
  • Aihara, Kazuyuki

Abstract

Although an economy is influenced by a natural disaster, the market response to the disaster during the first 24 hours is not clearly understood. Here we show that an earthquake quickly causes temporal changes in a foreign exchange market by examining the case of the Tohoku-Oki earthquake. Recurrence plots and statistical change point detection independently show that the United States dollar–Japanese yen market responded to the earthquake activity without delay and with the delay of about 2 minutes, respectively. These findings support that the efficient market hypothesis nearly holds now in the time scale of minutes.

Suggested Citation

  • Nakano, Shuhei & Hirata, Yoshito & Iwayama, Koji & Aihara, Kazuyuki, 2015. "Intra-day response of foreign exchange markets after the Tohoku-Oki earthquake," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 203-214.
    • Handle: RePEc:eee:phsmap:v:419:y:2015:i:c:p:203-214
    DOI: 10.1016/j.physa.2014.10.027
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    References listed on IDEAS

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