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

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.