The impacts of the COVID-19 pandemic on the South African exchange rate market.

The impacts of the COVID-19 pandemic on the South African exchange rate market. | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Research Article The impacts of the COVID-19 pandemic on the South African exchange rate market. Albert Antwi, Lyson Chaka, Patience S. Mokgosi This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-3833889/v1 This work is licensed under a CC BY 4.0 License Status: Posted Version 1 posted You are reading this latest preprint version Abstract This study aims to assess the impact of the pandemic on South Africa’s major exchange rate markets via GARCH in Mean models. Observations from the study indicate that the pandemic yielded increased volatility across all the currencies but only the increase on the EUR market was significant. However, although the increased volatilities during the pandemic were not asymmetric, the estimates were all significant. This suggests that during the pandemic, good news tends to significantly influence volatility more than bad news of equal magnitude. In addition, volatility did not persist much longer for the USD and the GBP market during the pandemic, but it persisted longer for the EUR market. The pandemic also affected the risk premium of the markets. While no incentive existed for investors to take on additional risk prior to the pandemic, they had substantial incentives during the pandemic for the USD and the GBP markets. This suggests that investors and traders were rewarded for the additional risks they took because of the increased volatility during the pandemic. However, although the intensity of the pandemic has subsided, the incentives may still exist, thus it is recommended that they explore this opportunity to make more returns on their investments. Applied Statistics Econometrics Exchange rate COVID volatility risk premium asymmetry GARCH Full Text Additional Declarations The authors declare no competing interests. Cite Share Download PDF Status: Posted Version 1 posted You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. As a division of Research Square Company, we’re committed to making research communication faster, fairer, and more useful. We do this by developing innovative software and high quality services for the global research community. Our growing team is made up of researchers and industry professionals working together to solve the most critical problems facing scientific publishing. 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