| dc.description.abstract | The purpose of this study was to investigate the impact on the trend of the Japanese Yen and Swiss franc 20 days before and after the Major Financial Events occur in the global financial market. S&P500, VIX, and GOLD are used as observation indicators. With the observation indicators S&P500, VIX, GOLD, a simple regression analysis model is used to measure the significance and its correlation, and to explore the relationship between these two safe-haven currencies and indicators.
The period of events in this study is from 2008 to 2020. According to the time of occurrence, including: Lehman Brothers Financial Crisis (2008), Japan Earthquake (2011), The United States end of QE (2014), Russia Financial Crisis (2014) , Black Swan Event (2014), the reform of RMB exchange rate (2015), US Federal Reserve raise interest rates (2015), The United Kingdom European Union membership referendum (2016), U.S.-China trade war (2018), COVID-19 (2020).
The results indicated that in the ten major global financial events, when the market is facing downside risks, the percentage of the Yen in the regression analysis showing a significant P-value than the Swiss franc, that is, the Yen is more sensitive to market fluctuations. 20 days before and after the event, market investors converted their assets into Japanese Yen, which appreciates the Japanese Yen and became a safe-haven currency recognized by the market.
At the same time, it is also observed that in research events of Swiss franc, although most of the P-values of regression analysis are not significant, the correlation coefficients are mostly positive, and are in the same direction as the observed indicators, indicating that Swiss franc still has the characteristics of risk aversion.
Keywords：global financial events, exchange rates, hedge, regression models | en_US |