A shockwave analysis of foreign exchange markets during Brexit and Covid-19
The two recent international issues Brexit and COVID-19 pandemic caused serious shockwaves in the foreign exchange markets and other financial industries. This paper is tried to address how traditional and safe-haven currencies worked in the foreign exchange market experienced during Brexit and COVI...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2021
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| Online Access: | https://eprints.nottingham.ac.uk/66358/ |
| _version_ | 1848800320967147520 |
|---|---|
| author | Li, Shiyun |
| author_facet | Li, Shiyun |
| author_sort | Li, Shiyun |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The two recent international issues Brexit and COVID-19 pandemic caused serious shockwaves in the foreign exchange markets and other financial industries. This paper is tried to address how traditional and safe-haven currencies worked in the foreign exchange market experienced during Brexit and COVID-19. The correlation test, unit root test, VaR models, and Diebold-Yilmaz volatility spillover analysis were employed in the research. Based on the Diebold-Yilmaz volatility spillover analysis, the calculated results demonstrated that the shockwaves caused by COVID-19 are 1.2 times higher than that of Brexit, and the British pound changed from a spillover transmitter to a receiver. The Swiss franc showed less safe-haven effects during COVID-19 than Brexit. However, the Japanese yen showed a stronger ability to prevent risks and even earning profits under volatilities, which made it be a more ideal safe-haven currency. |
| first_indexed | 2025-11-14T20:49:42Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-66358 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:49:42Z |
| publishDate | 2021 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-663582023-04-20T08:43:24Z https://eprints.nottingham.ac.uk/66358/ A shockwave analysis of foreign exchange markets during Brexit and Covid-19 Li, Shiyun The two recent international issues Brexit and COVID-19 pandemic caused serious shockwaves in the foreign exchange markets and other financial industries. This paper is tried to address how traditional and safe-haven currencies worked in the foreign exchange market experienced during Brexit and COVID-19. The correlation test, unit root test, VaR models, and Diebold-Yilmaz volatility spillover analysis were employed in the research. Based on the Diebold-Yilmaz volatility spillover analysis, the calculated results demonstrated that the shockwaves caused by COVID-19 are 1.2 times higher than that of Brexit, and the British pound changed from a spillover transmitter to a receiver. The Swiss franc showed less safe-haven effects during COVID-19 than Brexit. However, the Japanese yen showed a stronger ability to prevent risks and even earning profits under volatilities, which made it be a more ideal safe-haven currency. 2021-12-01 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/66358/1/20236194_BUSI4020_2021.pdf Li, Shiyun (2021) A shockwave analysis of foreign exchange markets during Brexit and Covid-19. [Dissertation (University of Nottingham only)] |
| spellingShingle | Li, Shiyun A shockwave analysis of foreign exchange markets during Brexit and Covid-19 |
| title | A shockwave analysis of foreign exchange markets during Brexit and Covid-19 |
| title_full | A shockwave analysis of foreign exchange markets during Brexit and Covid-19 |
| title_fullStr | A shockwave analysis of foreign exchange markets during Brexit and Covid-19 |
| title_full_unstemmed | A shockwave analysis of foreign exchange markets during Brexit and Covid-19 |
| title_short | A shockwave analysis of foreign exchange markets during Brexit and Covid-19 |
| title_sort | shockwave analysis of foreign exchange markets during brexit and covid-19 |
| url | https://eprints.nottingham.ac.uk/66358/ |