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

Mohammad Ashraful Ferdous Chowdhury; Mohammad Abdullah; Mansur Masih

doi:10.1016/j.intfin.2022.101691

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

Mohammad Ashraful Ferdous Chowdhury, Mohammad Abdullah, Mansur Masih^*

^*Corresponding author for this work

Interdisciplinary Research Center for Finance and Digital Economy

Research output: Contribution to journal › Article › peer-review

15 Scopus citations

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	https://doi.org/10.1016/j.intfin.2022.101691
State	Published - Nov 2022

Bibliographical note

Publisher Copyright:
© 2022 Elsevier B.V.

Keywords

COVID-19
Cryptocurrency
Government interventions
Portfolio Diversification

ASJC Scopus subject areas

Finance
Economics and Econometrics

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1016/j.intfin.2022.101691

Cite this

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

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, Cryptocurrency, Government interventions, Portfolio Diversification",

author = "Chowdhury, \{Mohammad Ashraful Ferdous\} and Mohammad Abdullah and Mansur Masih",

note = "Publisher Copyright: {\textcopyright} 2022 Elsevier B.V.",

year = "2022",

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doi = "10.1016/j.intfin.2022.101691",

language = "English",

volume = "81",

journal = "Journal of International Financial Markets, Institutions and Money",

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T1 - COVID-19 government interventions and cryptocurrency market

T2 - Is there any optimum portfolio diversification?

AU - Chowdhury, Mohammad Ashraful Ferdous

AU - Abdullah, Mohammad

AU - Masih, Mansur

PY - 2022/11

Y1 - 2022/11

N2 - 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.

AB - 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.

KW - COVID-19

KW - Cryptocurrency

KW - Government interventions

KW - Portfolio Diversification

UR - https://www.scopus.com/pages/publications/85142501162

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DO - 10.1016/j.intfin.2022.101691

M3 - Article

AN - SCOPUS:85142501162

SN - 1042-4431

VL - 81

JO - Journal of International Financial Markets, Institutions and Money

JF - Journal of International Financial Markets, Institutions and Money

M1 - 101691

ER -

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

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

UN SDGs

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