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International Journal of Academic Research in Accounting, Finance and Management Sciences

Open Access Journal

ISSN: 2225-8329

Impact of COVID-19 on the Co-Movement of Cryptocurrencies and Financial Assets: Evidence from Malaysia

Pick-Soon Ling

http://dx.doi.org/10.6007/IJARAFMS/v11-i3/10886

Open access

Due to the significant increase in novel coronavirus disease (COVID-19) cases in Malaysia, this study took the initiative to examine the impact of COVID-19 on the co-movement of five selected cryptocurrencies and two financial assets, namely FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI) and Ringgit Malaysia over United States Dollar (MYRUSD). By using the daily frequency data from May 2013 to July 2021, the Dynamic Conditional Correlation of Multivariate GARCH (MGARCH-DCC) was applied to examine the time-varying conditional correlation of these financial assets as it could determine the co-movement of the assets. Then, independent t-test and non-parametric Mann-Whitney U test were utilised to examine the conditional correlation difference from the pre-COVID-19 pandemic and during the COVID-19 pandemic period. The results of the independent t-test and Mann-Whitney U test proved that the co-movements of the cryptocurrencies and FBMKLCI and MYRUSD had significant differences after the COVID-19 pandemic outbreak in Malaysia. This implied that co-movement between the cryptocurrencies and FBMKLCI and MYRUSD was impacted by the COVID-19 pandemic as it was strengthened during the COVID-19 pandemic period, except for Binance and Cardano with FBMKLCI, which showed a weakened co-movement during the COVID-19 pandemic period. These findings provided a crucial implication for all stakeholders as the findings could be used as guidance in reallocating the investment portfolio, especially during the COVID-19 pandemic period.

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In-Text Citation: (Pick-Soon Ling, 2021)
To Cite this Article: Pick-Soon Ling. (2021). Impact of COVID-19 on the Co-Movement of Cryptocurrencies and Financial Assets: Evidence from Malaysia. International Journal of Academic Research in Accounting Finance and Management Sciences, 11(3), 395–409.