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 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-switchin...

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Detalles Bibliográficos
Autores principales: Chowdhury, Mohammad Ashraful Ferdous, Abdullah, Mohammad, Masih, Mansur
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9678233/
http://dx.doi.org/10.1016/j.intfin.2022.101691
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author Chowdhury, Mohammad Ashraful Ferdous
Abdullah, Mohammad
Masih, Mansur
author_facet Chowdhury, Mohammad Ashraful Ferdous
Abdullah, Mohammad
Masih, Mansur
author_sort Chowdhury, Mohammad Ashraful Ferdous
collection PubMed
description 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.
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spelling pubmed-96782332022-11-22 COVID-19 government interventions and cryptocurrency market: Is there any optimum portfolio diversification? Chowdhury, Mohammad Ashraful Ferdous Abdullah, Mohammad Masih, Mansur Journal of International Financial Markets, Institutions and Money Article 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. Elsevier B.V. 2022-11 2022-11-21 /pmc/articles/PMC9678233/ http://dx.doi.org/10.1016/j.intfin.2022.101691 Text en © 2022 Elsevier B.V. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Chowdhury, Mohammad Ashraful Ferdous
Abdullah, Mohammad
Masih, Mansur
COVID-19 government interventions and cryptocurrency market: Is there any optimum portfolio diversification?
title COVID-19 government interventions and cryptocurrency market: Is there any optimum portfolio diversification?
title_full COVID-19 government interventions and cryptocurrency market: Is there any optimum portfolio diversification?
title_fullStr COVID-19 government interventions and cryptocurrency market: Is there any optimum portfolio diversification?
title_full_unstemmed COVID-19 government interventions and cryptocurrency market: Is there any optimum portfolio diversification?
title_short COVID-19 government interventions and cryptocurrency market: Is there any optimum portfolio diversification?
title_sort covid-19 government interventions and cryptocurrency market: is there any optimum portfolio diversification?
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9678233/
http://dx.doi.org/10.1016/j.intfin.2022.101691
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