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http://hdl.handle.net/123456789/28502| Title: | COVID-19 Government Interventions And Cryptocurrency Market: Is There Any Optimum Portfolio Diversification? |
| Authors: | Chowdhury, M.A.F. Abdullah, M. Masih, M. UniKL BiS |
| Keywords: | COVID-19 Cryptocurrency Government interventions Portfolio Diversification |
| Issue Date: | 21-Nov-2022 |
| Publisher: | Elsevier Ltd |
| Citation: | Chowdhury, Mohammad Ashraful & Abdullah, Mohammad & Masih, Mansur. (2022). COVID-19 Government Interventions and Cryptocurrency Market: Is There Any Optimum Portfolio Diversification?. Journal of International Financial Markets Institutions and Money. 81. 101691. 10.1016/j.intfin.2022.101691. |
| Abstract: | This study attempts to find the impact of the COVID-19 government interventions on the cryptocurrency market. Using the daily data over the period 2020 M01 to 2022 M1, this study applied the Markov-Regime-switching and MGARCH-DCC approaches for eight cryptocurrencies. Overall, Markov-Regime-switching models reveal that there is an adverse effect of government interventions on cryptocurrencies. However, MGARCH-DCC models suggest that the best possible diversification opportunity exists between Dogecoin and Oil. For robustness, this study applies the MF-DFA and found a consistent result. The findings of this study would help investors and policymakers to formulate optimal investment decision-making. |
| Description: | This article index by Scopus |
| URI: | http://hdl.handle.net/123456789/28502 |
| ISSN: | 10424431 |
| Appears in Collections: | Journal Articles |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| COVID-19 government interventions and cryptocurrency market Is there any optimum portfolio diversification.pdf | 4.51 MB | Adobe PDF | View/Open |
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