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Applied Economics Letters Volume 29, 2022 - Issue 19
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Research Article

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

Ahmed Arifa FAST School of Management, National University of Computer and Emerging Sciences, Lahore-Campus, Lahore, PakistanCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0001-7562-1491
ORCID Icon,
Asif Saeeda FAST School of Management, National University of Computer and Emerging Sciences, Lahore-Campus, Lahore, PakistanORCID Iconhttps://orcid.org/0000-0002-6003-7871
ORCID Icon &
Umer Farooqb Lincoln International Business School, University of Lincoln, Lincoln, UKORCID Iconhttps://orcid.org/0000-0002-0118-5591
ORCID Icon
Pages 1799-1803 | Published online: 02 Aug 2021
 
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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.

JEL CLASSIFICATION:

Disclosure statement

No potential conflict of interest was reported by the author(s).

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