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Franczak, Lucja, 2026, "Extended research methodology and findings on dynamic relationships between stock and foreign exchange markets - supplementary material", https://doi.org/10.18150/6WJ0O2, RepOD, V2
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This publication serves as supplementary information for the article entitled Dynamics of Currency–Stock Market Linkages: conditional correlations, structural changes and statistical anomalies.
The main article investigates the interrelationships between stock markets and foreign exchange markets in selected G10 economies (Germany, Japan, Canada, Sweden, Switzerland, and the United Kingdom), with particular emphasis on the impact of local and global macroeconomic shocks on market dynamics. Using daily data from the Thomson Reuters database, the study applies Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) models to estimate time-varying correlations, while structural breaks are identified using the Bai–Perron test and market anomalies are detected with the Collective and Point Anomalies (CAPA) algorithm.
This supplementary material provides additional methodological details and supporting results that complement the findings presented in the main manuscript. Specifically, it includes supplementary tables, figures, and robustness analyses that expand on the estimation procedures, structural break identification, anomaly detection, and country-specific results.
currency market, stock market, DCC–GARCH models, structural breaks, anomaly detection
CC0 Creative Commons Zero 1.0
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