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     Research Journal of Applied Sciences, Engineering and Technology


Covariance Stability Test for Exploring the Impact of Subprime Financial Crisis on the Forex

Alo Olusegun and Shamshuritawati Sharif
School of Quantitative Sciences, UUM-College of Arts and Sciences, University Utara Malaysia, 06010 UUM Sintok, Kedah, Malaysia
Research Journal of Applied Sciences, Engineering and Technology  2016  7:696-699
http://dx.doi.org/10.19026/rjaset.12.2743  |  © The Author(s) 2016
Received: May ‎3, ‎2015  |  Accepted: May ‎10, ‎2015  |  Published: April 05, 2016

Abstract

The sub-prime crisis started from November 2006 to February 2008 is a global crisis that affected almost all economy activities in the world. In this study, we used the covariance stability test for exploring its impact towards foreign exchange rate among 15 currencies. Box’s M control chart and its root causes analysis are employed to understand the behaviour and interrelationship of FOREX’s structure among America and Europe continents. From the analysis, it shows that the structures of covariance from Jan, 2006 to Dec, 2008 are not stable. To be detail, if there is any shift on USD during April-June 2007, the nearest currencies that will received the impact are Argentine Peso, Chilean Peso and Rusia Ruble.

Keywords:

Centrality measure, minimum spanning tree, multivariate statistical process control, process variability, subprime mortgage crisis,


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Competing interests

The authors have no competing interests.

Open Access Policy

This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.

Copyright

The authors have no competing interests.

ISSN (Online):  2040-7467
ISSN (Print):   2040-7459
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