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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
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Author(s): 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
Source title: International Journal of Sociotechnology and Knowledge Development (IJSKD)
Editor(s)-in-Chief: Lincoln Christopher Wood (University of Otago, New Zealand)and Ahmad Taher Azar (College of Computer & Information Sciences, Prince Sultan University, Riyadh, Saudi Arabia & Faculty of Computers and Artificial Intelligence, Benha University, Benha, Egypt)
DOI: 10.4018/IJSKD.2022040105

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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.

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