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Title: COVID-19 Government Interventions And Cryptocurrency Market: Is There Any Optimum Portfolio Diversification?
Authors: Chowdhury, M.A.F.
Abdullah, M.
Masih, M.
Keywords: COVID-19
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
ISSN: 10424431
Appears in Collections:Journal Articles

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