Foreign exchange market efficiency during COVID-19 pandemic

Islam  Azzam; Ahmed Elmasry; Ehab  Yamani

doi:10.1016/j.iref.2023.03.043

Foreign exchange market efficiency during COVID-19 pandemic

Islam Azzam
, Ahmed Elmasry
, Ehab Yamani

American University in Cairo
Mansoura University
Chicago State University
Tanta University

Research output: Contribution to journal › Article › peer-review

11 Citations (Scopus)

329 Downloads (Pure)

Abstract

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 language	English
Pages (from-to)	717-730
Number of pages	14
Journal	International Review of Economics and Finance
Volume	86
Early online date	2 Apr 2023
DOIs	https://doi.org/10.1016/j.iref.2023.03.043
Publication status	Published - Jul 2023

Bibliographical note

© 2023, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/

Copyright © and Moral Rights are retained by the author(s) and/ or other copyright owners. A copy can be downloaded for personal non-commercial research or study, without prior permission or charge. This item cannot be reproduced or quoted extensively from without first obtaining permission in writing from the copyright holder(s). The content must not be changed in any way or sold commercially in any format or medium without the formal permission of the copyright holders.

This document is the author’s post-print version, incorporating any revisions agreed during the peer-review process. Some differences between the published version and this version may remain and you are advised to consult the published version if you wish to cite from it.

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10.1016/j.iref.2023.03.043Licence: CC BY-NC-ND

Elmasry2023AAMAccepted author manuscript, 1.08 MBLicence: CC BY-NC-ND

Cite this

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Foreign exchange market efficiency during COVID-19 pandemic

Abstract

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