About: On the Efficiency of Foreign Exchange Markets in times of the COVID-19 Pandemic

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type	Academic Article research paper schema:ScholarlyArticle
isDefinedBy	Covid-on-the-Web dataset
title	On the Efficiency of Foreign Exchange Markets in times of the COVID-19 Pandemic
Creator	Nguyen, Duc Aslam, Faheem Aziz, Saqib Khan, Maaz Mughal, Khurrum
source	Elsevier; Medline; PMC
abstract	We employ multifractal detrended fluctuation analysis (MF-DFA) to provide a first look at the efficiency of forex markets during the initial period of the ongoing coronavirus disease 2019 (COVID-19), which has disrupted the global financial markets. We use high-frequency (5-min interval) data of six major currencies traded in forex markets during the period October 1, 2019 to 31 March 31, 2020. Before applying MF-DFA, we examine the inner dynamics of multifractality through seasonal and trend decompositions using loess. Overall, the results confirm the presence of multifractality in forex markets, which demonstrates, in particular, (i) a decline in the efficiency of forex markets during the COVID-19 outbreak and (ii) heterogeneous effects on the strength of multifractality of exchange rate returns under investigation. The largest effect is observed for the Australian dollar, which shows the highest (lowest) efficiency before (during) the COVID-19 pandemic, assessed in terms of low (high) multifractality. The Canadian dollar and the Swiss Franc exhibit the highest efficiency during the COVID-19 outbreak. Our findings may help policymakers shape a comprehensive response to improve forex market efficiency during such a black swan event.
has issue date	2020-08-15(xsd:dateTime)
bibo:doi	10.1016/j.techfore.2020.120261
bibo:pmid	32836478
has license	no-cc
sha1sum (hex)	a43b90e538af1896f14586b2550fd7ecc0a5451f
schema:url	https://doi.org/10.1016/j.techfore.2020.120261
resource representing a document's title	On the Efficiency of Foreign Exchange Markets in times of the COVID-19 Pandemic
has PubMed Central identifier	PMC7428714
has PubMed identifier	32836478
schema:publication	Technol Forecast Soc Change
resource representing a document's body	covid:a43b90e538af1896f14586b2550fd7ecc0a5451f#body_text
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