Foreign exchange market efficiency during COVID-19 pandemic

The main objective of this paper is to examine the efficiency of the foreign exchange (FX) markets before and during the turbulent periods surrounding the COVID-19 pandemic. Our efficiency tests are based on the Unbiasedness Forward Rate Hypothesis (UFRH). We use a pooled sample that contains 26 dev...

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Autores principales: Azzam, Islam, El-Masry, Ahmed A., Yamani, Ehab
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10066818/
http://dx.doi.org/10.1016/j.iref.2023.03.043
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author Azzam, Islam
El-Masry, Ahmed A.
Yamani, Ehab
author_facet Azzam, Islam
El-Masry, Ahmed A.
Yamani, Ehab
author_sort Azzam, Islam
collection PubMed
description The main objective of this paper is to examine the efficiency of the foreign exchange (FX) markets before and during the turbulent periods surrounding the COVID-19 pandemic. Our efficiency tests are based on the Unbiasedness Forward Rate Hypothesis (UFRH). We use a pooled sample that contains 26 developed and emerging market currencies spanning the pre-COVID period (from November 30, 2018 to November 29, 2019), as well as the COVID period (from December 2, 2019 to November 30, 2020) as the key event which represents the time of tension. Our central finding in this paper is that FX market efficiency fails to hold during the COVID period, suggesting that the pandemic is a destabilizing event for the currency markets.
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spelling pubmed-100668182023-04-03 Foreign exchange market efficiency during COVID-19 pandemic Azzam, Islam El-Masry, Ahmed A. Yamani, Ehab International Review of Economics & Finance Article The main objective of this paper is to examine the efficiency of the foreign exchange (FX) markets before and during the turbulent periods surrounding the COVID-19 pandemic. Our efficiency tests are based on the Unbiasedness Forward Rate Hypothesis (UFRH). We use a pooled sample that contains 26 developed and emerging market currencies spanning the pre-COVID period (from November 30, 2018 to November 29, 2019), as well as the COVID period (from December 2, 2019 to November 30, 2020) as the key event which represents the time of tension. Our central finding in this paper is that FX market efficiency fails to hold during the COVID period, suggesting that the pandemic is a destabilizing event for the currency markets. Elsevier Inc. 2023-07 2023-04-02 /pmc/articles/PMC10066818/ http://dx.doi.org/10.1016/j.iref.2023.03.043 Text en © 2023 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Azzam, Islam
El-Masry, Ahmed A.
Yamani, Ehab
Foreign exchange market efficiency during COVID-19 pandemic
title Foreign exchange market efficiency during COVID-19 pandemic
title_full Foreign exchange market efficiency during COVID-19 pandemic
title_fullStr Foreign exchange market efficiency during COVID-19 pandemic
title_full_unstemmed Foreign exchange market efficiency during COVID-19 pandemic
title_short Foreign exchange market efficiency during COVID-19 pandemic
title_sort foreign exchange market efficiency during covid-19 pandemic
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10066818/
http://dx.doi.org/10.1016/j.iref.2023.03.043
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