Foreign Exchange Volatility and the Bubble Formation in Financial Markets: Evidence From The COVID-19 Pandemic
This paper applies recursive right-tailed unit root tests to detect bubble activity for Turkish Lira against financially most-traded five currencies (i.e., the US Dollar (USD/TRY), the British pound (GBP/TRY), the Euro (EUR/TRY), the Chinese Yuan (CNY/TRY) and the Russian Ruble (RUB/TRY)) over Janu...
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2022-06-01
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| Series: | Ekonomika |
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| Online Access: | https://www.journals.vu.lt/ekonomika/article/view/22642 |
| _version_ | 1818543437791625216 |
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| author | Onur Özdemir |
| author_facet | Onur Özdemir |
| author_sort | Onur Özdemir |
| collection | DOAJ |
| description |
This paper applies recursive right-tailed unit root tests to detect bubble activity for Turkish Lira against financially most-traded five currencies (i.e., the US Dollar (USD/TRY), the British pound (GBP/TRY), the Euro (EUR/TRY), the Chinese Yuan (CNY/TRY) and the Russian Ruble (RUB/TRY)) over January 2, 2015 to February 12, 2021. It can be identified from the Supremum Augmented Dickey–Fuller (SADF) and the Generalized Supremum Augmented Dickey-Fuller (GSADF) tests statistics that there is a high degree of evidence of bubble activity which characterizes all five exchange rates both in the full-sample period and in the sub-periods, including the pre-COVID-19 era (January 2, 2015 to November 15, 2019) and the COVID-19 era (November 18, 2019 to February 12, 2021). The empirical results also indicate that positive bubbles are common for each selected exchange rate and the multiple bubbles were intensified during the COVID-19 period, referring that forex markets became relatively more inefficient compared to the pre-COVID-19 period.
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| first_indexed | 2024-12-11T22:35:23Z |
| format | Article |
| id | doaj.art-7e2c53ef41e44311ba484bcce74c5f47 |
| institution | Directory Open Access Journal |
| issn | 1392-1258 2424-6166 |
| language | English |
| last_indexed | 2024-12-11T22:35:23Z |
| publishDate | 2022-06-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Ekonomika |
| spelling | doaj.art-7e2c53ef41e44311ba484bcce74c5f472022-12-22T00:47:59ZengVilnius University PressEkonomika1392-12582424-61662022-06-01101110.15388/Ekon.2022.101.1.8Foreign Exchange Volatility and the Bubble Formation in Financial Markets: Evidence From The COVID-19 PandemicOnur Özdemir0Istanbul Gelisim University, Turkey This paper applies recursive right-tailed unit root tests to detect bubble activity for Turkish Lira against financially most-traded five currencies (i.e., the US Dollar (USD/TRY), the British pound (GBP/TRY), the Euro (EUR/TRY), the Chinese Yuan (CNY/TRY) and the Russian Ruble (RUB/TRY)) over January 2, 2015 to February 12, 2021. It can be identified from the Supremum Augmented Dickey–Fuller (SADF) and the Generalized Supremum Augmented Dickey-Fuller (GSADF) tests statistics that there is a high degree of evidence of bubble activity which characterizes all five exchange rates both in the full-sample period and in the sub-periods, including the pre-COVID-19 era (January 2, 2015 to November 15, 2019) and the COVID-19 era (November 18, 2019 to February 12, 2021). The empirical results also indicate that positive bubbles are common for each selected exchange rate and the multiple bubbles were intensified during the COVID-19 period, referring that forex markets became relatively more inefficient compared to the pre-COVID-19 period. https://www.journals.vu.lt/ekonomika/article/view/22642Exchange RateBubble FormationForex MarketCOVID-19Right-Tailed Unit Root Test |
| spellingShingle | Onur Özdemir Foreign Exchange Volatility and the Bubble Formation in Financial Markets: Evidence From The COVID-19 Pandemic Ekonomika Exchange Rate Bubble Formation Forex Market COVID-19 Right-Tailed Unit Root Test |
| title | Foreign Exchange Volatility and the Bubble Formation in Financial Markets: Evidence From The COVID-19 Pandemic |
| title_full | Foreign Exchange Volatility and the Bubble Formation in Financial Markets: Evidence From The COVID-19 Pandemic |
| title_fullStr | Foreign Exchange Volatility and the Bubble Formation in Financial Markets: Evidence From The COVID-19 Pandemic |
| title_full_unstemmed | Foreign Exchange Volatility and the Bubble Formation in Financial Markets: Evidence From The COVID-19 Pandemic |
| title_short | Foreign Exchange Volatility and the Bubble Formation in Financial Markets: Evidence From The COVID-19 Pandemic |
| title_sort | foreign exchange volatility and the bubble formation in financial markets evidence from the covid 19 pandemic |
| topic | Exchange Rate Bubble Formation Forex Market COVID-19 Right-Tailed Unit Root Test |
| url | https://www.journals.vu.lt/ekonomika/article/view/22642 |
| work_keys_str_mv | AT onurozdemir foreignexchangevolatilityandthebubbleformationinfinancialmarketsevidencefromthecovid19pandemic |