The behaviour of forex market during the first and second wave of COVID-19: A wavelet analysis

Arif, Ahmed; Saeed, Asif; Farooq, Umer

Abstract

This study evaluates the behaviour of the forex market during the first and the second wave of COVID-19. We have analysed the behaviour of exchange rates of CNY, JPY, CHF, and GBP in response to daily cases of COVID-19 and daily deaths, using Continuous Wavelet Transform and Wavelet Transform Coherence. The results show that the second wave has been more aggressive. The relationship of new cases and deaths has been more significant and negative with the exchange rates during the second wave of COVID-19. The currencies that are considered safe havens are severely affected by COVID-19 during the second wave.

• Journal Article Type: Article
• Acceptance Date: Jul 26, 2021
• Online Publication Date: Aug 2, 2021
• Publication Date: 2022-10
• Deposit Date: Feb 11, 2022
• Publicly Available Date: Feb 3, 2023
• Journal: Applied Economics Letters
• Print ISSN: 1350-4851
• Electronic ISSN: 1466-4291
• Publisher: Taylor & Francis (Routledge)
• Peer Reviewed: Peer Reviewed
• Volume: 29
• Issue: 19
• Pages: 1799-1803
• DOI: https://doi.org/10.1080/13504851.2021.1962508
• Keywords: Economics and Econometrics; wavelet analysis; forex market; COVID-19 waves; COVID-19
• Public URL: https://uwe-repository.worktribe.com/output/9007940
• Publisher URL: https://www.tandfonline.com/doi/abs/10.1080/13504851.2021.1962508?journalCode=rael20
• Additional Information: Peer Review Statement: The publishing and review policy for this title is described in its Aims & Scope.; Aim & Scope: http://www.tandfonline.com/action/journalInformation?show=aimsScope&journalCode=rael20; Published: 2021-08-02