Impact of the COVID-19 outbreak on the currency exchanges of selected countries
- Title
- Impact of the COVID-19 outbreak on the currency exchanges of selected countries
- Creator
- Sharma S.; Yadav M.P.; Jha B.
- Description
- The paper aims to analyse the impact of the COVID outbreak on the currency market. The study considers spot rates of seven major currencies (i.e., EUR/USD, USD/JPY, GBP/USD, AUD/USD, USD/CAD, USD/CHF, and CHF/JPY). To capture the impact of the outbreak on returns and the volatility of returns of seven currencies during pandemic, the study has segregated in two window periods (i.e., pre- [1st Jan 2019 to 31st Dec, 2019] and post-outbreak of COVID-19 [1st Jan, 2020 to 22nd Dec, 2020]). The study has applied various methods and models (i.e., econometric-based compounded annual growth rate [CAGR], dummy variable regression, and generalized autoregressive conditional heteroskedasticity [GARCH]). The result of the study captures the negative impact of the COVID-19 pandemic on three currencies-USD/JPY, AUD/USD, and USD/CHF-and positive significant impact on EUR/USD, GBP/USD, USD/CAD, and CHF/JPY. Investors can take short position in these while having long position in other currencies. The inferences drawn from the analysis are providing insight to investors and hedgers. Copyright 2022, IGI Global.
- Source
- International Journal of Sociotechnology and Knowledge Development, Vol-14, No. 2, pp. 73-91.
- Date
- 2022-01-01
- Publisher
- Information Resources Management Association
- Subject
- COVID-19; Currency Exchange; Forex Market; Investor; Liquidity; Pandemic Crisis; Spot Rate; Trend Analysis
- Coverage
- Sharma S., Fortune Institute of International Business, Delhi, India; Yadav M.P., ACCF, Amity University, Noida, India; Jha B., Christ University, Ghaziabad, India
- Rights
- Restricted Access
- Relation
- ISSN: 19416253
- Format
- Online
- Language
- English
- Type
- Article
Collection
Citation
Sharma S.; Yadav M.P.; Jha B., “Impact of the COVID-19 outbreak on the currency exchanges of selected countries,” CHRIST (Deemed To Be University) Institutional Repository, accessed February 23, 2025, https://archives.christuniversity.in/items/show/15125.