Understanding exchange rate shocks during COVID-19

The effects of COVID-19 on the interrelationship among oil prices, stock prices and exchange rates in selected oil exporting economies

“…Our results are consistent with the findings documented in Thorbecke (2021) , Narayan et al (2020) , Camba and Camba (2020) , Aslam et al (2020) , Syahri and Robiyanto (2020) , Hoshikawa and Yoshimi (2021) , Prabheesh and Kumar (2021) , Amewu et al (2022) , Narayan (2022) . For example, Syahri and Robiyanto (2020) found significant relationship between exchange rate and composite stock price index during the coronavirus era; Aslam et al (2020) confirmed that the efficiency of the foreign exchange market for six major global currencies declined during the earlier part of the COVID-19 pandemic; Narayan et al (2020) recorded significant dynamic correlation between the Japanese Yen and the stock market returns, as the Yen depreciated against the US dollar, the returns on stock market improved in Japan.…”

“… Konstantakis et al (2021) also documented that the volatility in the euro to dollar exchange rate intensified during the coronavirus health crisis period. Further, Narayan (2022) find that the total exchange rate volatility spill-overs was more during the COVID-19 period (about 37.7 per cent) than the pre – COVID-19 period (about 26.1 per cent); but the exchange rate own volatility was stronger (about 56–75 per cent). Thorbecke (2021) analysed the French and South Korean exchange rates and stock market returns exposure during the coronavirus period, and documented that Korean firms are more resilient to the pandemic than French firms.…”

“… Amewu et al (2022) recently established the dynamic correlation between exchange rate and stock index, even though the intensity tends to fizzle within the medium term. Narayan (2022) documented that in the period of the COVID-19 pandemic, total fluctuation in exchange rate spill-over accounted for about 37.7% of the variations in foreign exchange market, whereas 26.1% of the variations was accounted for in the period prior to the disease outbreak. Further, Prabheesh and Kumar (2021) documented that the uncertainty occasioned the COVID-19 pandemic deteriorated the activities in the stock and crude oil markets, and because of investors’ risk aversion, the co-movement between crude oil and stock markets was distorted at the first phase of the health crisis.…”

COVID-19 Vaccinations and the Volatility of Energy Companies in International Markets

“…Several recent related studies have explored the impact that the COVID-19 pandemic had on stock returns (Ashraf 2020a;Al-Awadhi et al 2020;Mazur et al 2021;Xu 2021), stock market volatility (Zaremba et al 2020;Baek et al 2020;Albulescu 2021), and stock market liquidity (Haroon and Rizvi 2020;Zaremba et al 2021a). In addition to equities, further extensions are performed on other asset classes, such as gold (Mensi et al 2020;Corbet et al 2020a), cryptocurrencies (Demir et al 2020;Conlon et al 2020), exchange rates (Narayan 2021), bonds (Gubareva 2021;Zaremba et al 2021bZaremba et al , 2021c, real estate prices (Ling et al 2020;Milcheva 2021), and oil prices (Albulescu 2020;Atri et al 2021). Governments impose various policy responses in order to flatten the curve and to stop or limit the transmission of the virus; consequently, these stringency measures affect the financial markets (Ashraf 2020b;Kizys et al 2021;Baig et al 2021).…”

Are Spillover Effects Between Oil and Gold Prices Asymmetric? Evidence From the COVID-19 Pandemic

“…Our study therefore contributes to the literature on gold-oil spillover effects by exploring not only the asymmetric nature of the relation between the two markets, but also how the pandemic has intensified the relation between the markets. This work thus adds to the broad and growing number of studies on COVID-19 (Narayan, 2021;Padhan & Prabheesh, 2021).…”