• Login
    View Item 
    •   Home
    • Brock Theses
    • Masters Theses
    • M.Sc. Management
    • View Item
    •   Home
    • Brock Theses
    • Masters Theses
    • M.Sc. Management
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

    All of BrockUCommunitiesPublication DateAuthorsTitlesSubjectsThis CollectionPublication DateAuthorsTitlesSubjectsProfilesView

    My Account

    LoginRegister

    Statistics

    Display statistics

    COVID-19 news announcements and the foreign exchange markets

    • CSV
    • RefMan
    • EndNote
    • BibTex
    • RefWorks
    Thumbnail
    Name:
    Brock_Gholi Panah_Pari_2022.pdf
    Size:
    2.600Mb
    Format:
    PDF
    Description:
    Thesis
    Download
    Author
    Gholi Panah, Pari
    Keyword
    COVID-19 announcements; FX market; macroeconomic news; exchange rate
    
    Metadata
    Show full item record
    URI
    http://hdl.handle.net/10464/16386
    Abstract
    This thesis entails an empirical study investigating the intraday effects of corona-virus pandemic news announcements on FX market price diffusion components, return, and volatility. The study examines explicitly the major foreign exchange market response to the COVID-19 news release, including pandemic figures related to new confirmed cases, number of deaths, progress of vaccine development and administration, government intervention measures to mitigate virus spread, and the World Health Organization senior official speech about pandemic progress. In addition, this paper investigates the context-specific effects of macroeconomic news. In other words, it examines the effects of important macroeconomic news on currency price components prior to and during the pandemic period. The reason behind this is that the literature has reached a clear consensus about macroeconomic news’s significant effects over time. The findings of this research contribute to both the empirical finance literature and the financial industry because they include insights into the behavior of foreign exchange market participants and international finance portfolio managers when analyzing the effects of unprecedented health, social and economic crises. Previous literature shows that the stability of a country’s foreign trade and its external environments impacts the exchange rate return and volatility. COVID-19 made financial markets more volatile as the pandemic increased uncertainty in foreign trade and foreign investment and intensified financial market risks. To have a clear picture of the impact of the COVID-19 pandemic on FX markets, we incorporate all the essential COVID 19 announcements in this study. Our analysis documents that COVID-19 pandemic indicators and government response policies profoundly impact FX market volatility than a return. Also, regarding vaccine development news, there is strong evidence of FX market reaction to phase 3and emergency approval news related to COVID-19 vaccine development news. There is no evidence of market reaction to WHO official speeches about the COVID-19 pandemic in FX markets. The findings reveal that the FX market reacts to fewer macroeconomic news during the COVID-19 pandemic. However, the market reaction to US macroeconomic news is still state-dependent.
    Collections
    M.Sc. Management

    entitlement

     
    DSpace software (copyright © 2002 - 2023)  DuraSpace
    Quick Guide | Contact Us
    Open Repository is a service operated by 
    Atmire NV
     

    Export search results

    The export option will allow you to export the current search results of the entered query to a file. Different formats are available for download. To export the items, click on the button corresponding with the preferred download format.

    By default, clicking on the export buttons will result in a download of the allowed maximum amount of items.

    To select a subset of the search results, click "Selective Export" button and make a selection of the items you want to export. The amount of items that can be exported at once is similarly restricted as the full export.

    After making a selection, click one of the export format buttons. The amount of items that will be exported is indicated in the bubble next to export format.