On the efficiency of foreign exchange markets in times of the COVID-19 pandemic

By Faheem Aslam, Saqib Aziz, Duc Khuong Nguyen, K. Mughal, Maaz Khan. Technological forecasting & social change, 2020

195 citations recorded by the source corpus.

Highlights • The COVID-19 pandemic has jolted foreign exchange markets within a short time.• We measure forex efficiency with multifractal detrended fluctuation analysis.• We find varying degrees of forex market efficiency before and during COVID-19.• Investors can structure their investment strategies to exploit market inefficiency.• Our findings may help policymakers find responses to such forex market upheavals.

Subfields: Economics and Econometrics, Finance, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/71b7d111f09bf331b94d6d106cdaa53e24c81908