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Impact of the COVID-19 Outbreak on the Currency Exchanges of Selected Countries

Author

Listed:
  • Sudhi Sharma

    (Fortune Institute of International Business, Delhi, India)

  • Miklesh Prasad Yadav

    (ACCF, Amity University, Noida, India)

  • Babita Jha

    (Christ University, Ghaziabad, India)

Abstract

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.

Suggested Citation

  • Sudhi Sharma & Miklesh Prasad Yadav & Babita Jha, 2022. "Impact of the COVID-19 Outbreak on the Currency Exchanges of Selected Countries," International Journal of Sociotechnology and Knowledge Development (IJSKD), IGI Global, vol. 14(2), pages 73-91, April.
    • Handle: RePEc:igg:jskd00:v:14:y:2022:i:2:p:73-91
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    Cited by:

    1. Naveed, Hafiz Muhammad & HongXing, Yao & Memon, Bilal Ahmed & Ali, Shoaib & Alhussam, Mohammed Ismail & Sohu, Jan Muhammad, 2023. "Artificial neural network (ANN)-based estimation of the influence of COVID-19 pandemic on dynamic and emerging financial markets," Technological Forecasting and Social Change, Elsevier, vol. 190(C).
    2. Ngo Thai Hung & Vo Xuan Vinh, 2023. "Asymmetric impact of the COVID-19 pandemic on foreign exchange markets: Evidence from an extreme quantile approach," Economics and Business Letters, Oviedo University Press, vol. 12(1), pages 20-32.

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