Impact of the COVID-19 Outbreak on the Currency Exchanges of Selected Countries | IGI Global Scientific Publishing
Welcome to the InfoSci Platform
Reference Hub4
Impact of the COVID-19 Outbreak on the Currency Exchanges of Selected Countries

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

Sudhi Sharma (Fortune Institute of International Business, Delhi, India), Miklesh Prasad Yadav (ACCF, Amity University, Noida, India), and Babita Jha (Christ University, Ghaziabad, India)
Copyright: © 2022 |Volume: 14 |Issue: 2 |Pages: 19
ISSN: 1941-6253|EISSN: 1941-6261|EISBN13: 9781683180616|DOI: 10.4018/IJSKD.2022040105
Cite Article Cite Article

MLA

Sharma, Sudhi, et al. "Impact of the COVID-19 Outbreak on the Currency Exchanges of Selected Countries." IJSKD vol.14, no.2 2022: pp.73-91. https://doi.org/10.4018/IJSKD.2022040105

APA

Sharma, S., Yadav, M. P., & Jha, B. (2022). Impact of the COVID-19 Outbreak on the Currency Exchanges of Selected Countries. International Journal of Sociotechnology and Knowledge Development (IJSKD), 14(2), 73-91. https://doi.org/10.4018/IJSKD.2022040105

Chicago

Sharma, Sudhi, Miklesh Prasad Yadav, and Babita Jha. "Impact of the COVID-19 Outbreak on the Currency Exchanges of Selected Countries," International Journal of Sociotechnology and Knowledge Development (IJSKD) 14, no.2: 73-91. https://doi.org/10.4018/IJSKD.2022040105

Export Reference

Mendeley
Favorite Full-Issue Download

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.

Request Access

You do not own this content. Please login to recommend this title to your institution's librarian or purchase it from the IGI Global Scientific Publishing bookstore.