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COVID-19 Government Interventions And Cryptocurrency Market: Is There Any Optimum Portfolio Diversification?
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| dc.contributor.author | Chowdhury, M.A.F. | |
| dc.contributor.author | Abdullah, M. | |
| dc.contributor.author | Masih, M. | |
| dc.contributor.author | UniKL BiS | |
| dc.date.accessioned | 2023-08-16T08:45:33Z | |
| dc.date.available | 2023-08-16T08:45:33Z | |
| dc.date.issued | 2022-11-21 | |
| dc.identifier.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. | en_US |
| dc.identifier.issn | 10424431 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/28502 | |
| dc.description | This article index by Scopus | en_US |
| dc.description.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. | en_US |
| dc.publisher | Elsevier Ltd | en_US |
| dc.subject | COVID-19 | en_US |
| dc.subject | Cryptocurrency | en_US |
| dc.subject | Government interventions | en_US |
| dc.subject | Portfolio Diversification | en_US |
| dc.title | COVID-19 Government Interventions And Cryptocurrency Market: Is There Any Optimum Portfolio Diversification? | en_US |
| dc.type | Article | en_US |
