Foreign Exchange Market Efficiency during COVID-19 pandemic

Islam Azzam, Ahmed Elmasry, Ehab Yamani

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish
Pages (from-to)717-730
Number of pages14
JournalInternational Review of Economics and Finance
Early online date2 Apr 2023
Publication statusPublished - Jul 2023


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