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

被引：11

作者：

Chowdhury, Mohammad Ashraful Ferdous ^{[1
]}

Abdullah, Mohammad ^{[2
]}

Masih, Mansur ^{[3
]}

机构：

[1] King Fahd Univ Petr & Minerals KFUPM, Interdisciplinary Res Ctr IRC Finance & Digital Ec, KFUPM Business Sch, Dhahran, Saudi Arabia

[2] Univ Sultan Zainal Abidin, Fac Business & Management, Kuala Terengganu, Malaysia

[3] UniKL Business Sch, Finance Islamic Finance, Kuala Lumpur, Malaysia

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2022年 / 81卷

关键词：

COVID-19; Government interventions; Cryptocurrency; Portfolio Diversification; SAFE-HAVEN; BITCOIN; HEDGE;

D O I：

10.1016/j.intfin.2022.101691

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：21

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