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

Mohammad Ashraful Chowdhury, Mohammad Abdullah and Abul Masih

Journal of International Financial Markets, Institutions and Money, 2022, vol. 81, issue C

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.

Keywords: COVID-19; Government interventions; Cryptocurrency; Portfolio Diversification (search for similar items in EconPapers)
JEL-codes: G1 G15 G18 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:81:y:2022:i:c:s1042443122001639

DOI: 10.1016/j.intfin.2022.101691

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