IDEAS home Printed from https://ideas.repec.org/a/taf/reroxx/v34y2021i1p2059-2084.html
   My bibliography  Save this article

Dynamic spillovers and connectedness between COVID-19 pandemic and global foreign exchange markets

Author

Listed:
  • Ismail O. Fasanya
  • Oluwatomisin Oyewole
  • Oluwasegun B. Adekoya
  • Jones Odei-Mensah

Abstract

This paper examines dynamic spillovers and connectedness between global covid-19 occurrences and the Global FX market. We specifically analyse the spillovers using six most traded currency pairs in the world utilizing daily data for the period December 31, 2019 to April 10, 2020. The paper employs the Diebold and Yilmaz (DY hereafter) (2009, 2012) approach to compute the spillover indexes. We also consider the rolling window analyses to capture the secular and cyclical movement in the financial markets over the period of consideration. Our findings indicate high degree of interdependence between the global covid-19 occurrences and returns volatility of the majorly traded currency pairs. Interestingly, both the returns and volatility spillover indexes exhibit both trend and bursts over the period of pandemic. Our results are robust to the different VAR lag structure. Policymakers are advised to monitor the effects of global COVID-19 announcement and assess the net effect of financial market volatility on the behaviour of the global FX markets in order address new and enhanced risks caused by the upsurge of the COVID-19 pandemic.

Suggested Citation

  • Ismail O. Fasanya & Oluwatomisin Oyewole & Oluwasegun B. Adekoya & Jones Odei-Mensah, 2021. "Dynamic spillovers and connectedness between COVID-19 pandemic and global foreign exchange markets," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 34(1), pages 2059-2084, January.
    • Handle: RePEc:taf:reroxx:v:34:y:2021:i:1:p:2059-2084
    DOI: 10.1080/1331677X.2020.1860796
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1331677X.2020.1860796
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1331677X.2020.1860796?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gök, Remzi & Bouri, Elie & Gemici, Eray, 2023. "Volatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic," Research in International Business and Finance, Elsevier, vol. 66(C).
    2. Hsuan Fu & Jui‐Chung Yang, 2022. "International currency markets and the COVID‐19 pandemic," Pacific Economic Review, Wiley Blackwell, vol. 27(4), pages 400-422, October.
    3. Boakye, Robert Owusu & Mensah, Lord Kwaku & Kang, Sang Hoon & Osei, Kofi Acheampong, 2023. "Foreign exchange market return spillovers and connectedness among African countries," International Review of Financial Analysis, Elsevier, vol. 86(C).
    4. Darko B. Vuković & Senanu Dekpo-Adza & Vladislav Khmelnitskiy & Mustafa Özer, 2023. "Spillovers across the Asian OPEC+ Financial Market," Mathematics, MDPI, vol. 11(18), pages 1-23, September.
    5. Ahmed, Shamima & Akhtaruzzaman, Md & Le, Van & Nath, Tamal & Rahman, Molla Ramizur, 2024. "Interconnectedness in the FOREX market during the high inflation regime: A network analysis," Research in International Business and Finance, Elsevier, vol. 71(C).
    6. Muntazir Hussain & Usman Bashir & Ramiz Ur Rehman, 2024. "Exchange Rate and Stock Prices Volatility Connectedness and Spillover during Pandemic Induced-Crises: Evidence from BRICS Countries," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(1), pages 183-203, March.
    7. Yao Xiao & Zibing Dong & Shihua Huang & Yanshuang Li & Jian Wang & Xintian Zhuang & Stefan Cristian Gherghina, 2023. "Time-Frequency Volatility Spillovers among Major International Financial Markets: Perspective from Global Extreme Events," Discrete Dynamics in Nature and Society, Hindawi, vol. 2023, pages 1-20, May.
    8. Candelon, Bertrand & Moura, Rubens, 2023. "Sovereign yield curves and the COVID-19 in emerging markets," Economic Modelling, Elsevier, vol. 127(C).
    9. Umar, Zaghum & Polat, Onur & Choi, Sun-Yong & Teplova, Tamara, 2022. "Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
    10. Mejri, Sami & Aloui, Chaker & Khan, Nasir, 2024. "The gold stock nexus: Assessing the causality dynamics based on advanced multiscale approaches," Resources Policy, Elsevier, vol. 88(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:reroxx:v:34:y:2021:i:1:p:2059-2084. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/rero .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.