COVID-19 government interventions and cryptocurrency market: Is there any optimum portfolio diversification?

【Author】 Chowdhury, Mohammad Ashraful Ferdous; Abdullah, Mohammad; Masih, Mansur

【Source】JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY

【影响因子】4.217

【Abstract】This study attempts to find the impact of the COVID-19 government interventions on the cryp-tocurrency 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 in-terventions 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 pol-icymakers to formulate optimal investment decision-making.

【Keywords】COVID-19; Government interventions; Cryptocurrency; Portfolio Diversification

【发表时间】2022 NOV

【收录时间】2022-12-15

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币