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.
| Original language | English |
|---|---|
| Article number | 101691 |
| Journal | Journal of International Financial Markets, Institutions and Money |
| Volume | 81 |
| DOIs | |
| State | Published - Nov 2022 |
Bibliographical note
Publisher Copyright:© 2022 Elsevier B.V.
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 3 Good Health and Well-being
Keywords
- COVID-19
- Cryptocurrency
- Government interventions
- Portfolio Diversification
ASJC Scopus subject areas
- Finance
- Economics and Econometrics
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