ISSN: 2225-8329
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.
Abdullah, A. M., Saiti, B., & Masih, M. (2016). The impact of crude oil price on Islamic stock indices of South East Asian countries: Evidence from MGARCH-DCC and wavelet approaches. Borsa Istanbul Review, 16(4), 219-232.
Chen, M-H., Jang, S(S)., & Kim, W. G. (2007). The impact of the SARS on Taiwanese hotel stock performance: An event-study approach. Hospitality Management, 26, 200-212.
Chensney, M., Reshetar, G., & Karaman, M. (2011). The impact of terrorism on financial markets: An Empirical study. Journal of Banking and Finance, 35, 253-267.
Chia, R. C-J., Liew, V, K-S., & Rowland, R. (2020). Daily New COVID-19 Cases, the Movement Control Order, and Malaysian Stock Market Returns. International Journal of Business and Society, 21(2), 553-568.
Conlon, T., & McGee, R. (2020). Safe haven or risky hazard? Bitcoin during the COVID-19 bear market. Finance Research Letters, 35, 101607.
Conlon, T., Corbet, S., & McGee, R. J. (2020). Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic. Research in International Business and Finance, 54, 101248.
Corbet, S., Hou, Y(G), Hu, Y., Larkin, C., Lucey, B., & Oxley, L. (2021). Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic. Finance Research Letter, 102137, In Press, Corrected Proof.
Corbet, S., Hou, Y(G), Hu, Y., Larkin, C., Lucey, B., & Oxley, L. (2020). Any port in a storm: Cryptocurrency safe-havens during the COVID-19 pandemic. Economics Letters, 194, 109377.
Corbet, S., Larkin, C., & Lucey, B. (2020). The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies. Finance Research Letters, 35, 101554.
Elhini, M., & Hammam, R. (2021). The impact of COVID-19 on the standard and poor 500 index sectors: a multivariate generalized autoregressive conditional heteroscedasticity model. Journal of Chinese Economic and Foreign Trade Studies, 14(1), 18-43.
Feng, Y., & Li, X. (2021). Causal estimation of COVID-19 and SARS on China’s stock market: evidence from a time series counterfactual prediction. Economics Research – EKONOMSKA ISTRAZIVANJA, https://doi.org/10.1080/1331677X.2021.1910533
Ferreira, S., & Karali, B. (2015). Do Earthquakes Shake Stock Markets? PLoS ONE, 10(7), e0133319.
Harjoto, M. A., & Rossi, F. (2021). Market reaction to COVID-19 pandemic: evidence from emerging markets. International Journal of Emerging Market, Vol. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/IJOEM-05-2020-0545
Hassan, M. B., Mahi, M., Hassan, M. K., & Bhuiyan, A. B. (2021). Impact of COVID-19 pandemic on stock markets: Conventional vs Islamic indices using wavelet-based multi-timescales analysis. North American Journal of Economics and Finance, 58, 101504.
He, Q., Liu, J., Wang, S., & Yu, J. (2020). The impact of COVID-19 on stock markets. Economic and Political Studies, 8(3), 275-288.
Insaidoo, M., Arthur, L., Amoako, S., & Andoh, F. K. (2021). Stock market performance and COVID-19 pandemic: evidence from a developing economy. Journal of Chinese Economic and Foreign Trade Studies, 14(1), 60-73.
Ishak, N., Shahar, H. K., & Jiun, R. C. C. (2021). Cyclical Industries’ Stock Performance Reaction during COVID-19: A Systematic Literature Review, Jurnal Ekonomi Malaysia, 55(1), 147-158.
Klein, T., Thu, P. H., & Walther, T. (2018). Bitcoin is not the New Gold – A comparison of volatility, correlation and portfolio performance. International Review of Financial Analysis, 59, 105-116.
Lahmiri, S., & Bekiros, S. (2020). The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets. Chaos, Solitons and Fractals, 138, 109936.
Lee, K. Y-M., Jais, M., & Chan, C-W. (2020a). Impact of COVID-19: Evidence from Malaysian Stock Market. International Journal of Business and Society, 21(2), 607-628.
Lee, K., Zaidi, N. S., & Chan, C. W. (2020b). Technical Analysis and Malaysian Banking Sector during COVID-19 Pandemic. UNIMAS Review of Accounting and Finance, 4(1), 41-46.
Lee, K. Y. M., & Jais, M. (2021). Effectiveness of Moving Average Rules during COVID-19 Pandemic: Evidence from Malaysian Stock Market. Jurnal Ekonomi Malaysia, 55(1), 87-98.
Li, Y., Zhuang, X., Wang, J., & Dong, Z. (2021). Analysis of the impact of COVID-19 pandemic on G20 stock markets. North American Journal of Economics and Finance, 58, 101530.
Liew, V., K-S. (2020). The effect of novel coronavirus pandemic on tourism share prices. Journal of Tourism Futures, Vol. ahead-of-print No. ahead-of-print.
https://doi.org/10.1108/JTF-03-2020-0045
Melki, A., & Nefzi, N. (2021). Tracking safe haven properties of cryptocurrencies during the COVID-19 pandemic: A smooth transition approach. Finance Research Letters, 102243, In Press, Corrected Proof.
Mnif, E., & Jarboui, A. (2021). COVID-19, bitcoin market efficiency, heard behaviour. Review of Behavioural Finance, 13(1), 69-84.
Mubarok, F., & Al-Arif, M. N. R. (2021). Pandemic Attack and Islamic Stocks Index: A Cross Country Analysis. Jurnal Ekonomi Malaysia, 55(1), 27-37.
Nguyen, K. Q. (2021). The correlation between the stock market and Bitcoin during COVID-19 and other uncertainty periods. Finance Research Letter, 102284, In Press, Corrected Proof.
Rehman, M. U., Kang, S. H., Ahmad, N., & Vo, X. V. (2021). The impact of COVID-19 on the G7 stock markets: A time-frequency analysis. North American Journal of Economics and Finance, 58, 101526.
Rubbaniy, G., Polyzos, S., Rizvi, S. K. A., & Tessema, A. (2021). COVID-19, Lockdowns and herding towards a cryptocurrency market-specific implied volatility index. Economics Letters, 207, 110017.
Saiti, B., & Noordin, N. H. (2018). Does Islamic equity investment provide diversification benefits to conventional investors? Evidence from the multivariate GARCH analysis. International Journal of Emerging Markets, 13(1), 267-289.
Scholtens, B., & Voorhorst, Y. (2013). The Impact of Earthquakes on the Domestic Stock Market. Earthquake Spectra, 29(1), 325-337.
Shah, A. U. M., Safri, S. N. A., Thevadas, R., Noordin, N. K., Rahman, A. A., Sekawi, Z., Ideris, A., & Sultan, M. T. H. (2020). COVID-19 outbreak in Malaysia: Actions taken by the Malaysian government. International Journal of Infectious Diseases, 97, 108-116.
Smales, L. A. (2019). Bitcoin as a safe haven? Is it even worth considering? Finance Research Letters, 30, 385-393.
Takyi, P. O., & Bentum-Ennin, I. (2021). The impact of COVID-19 on stock market performance in Africa: A Bayesian structural time series approach. Journal of Economics and Business, 115, 105968.
Tavor, T., & Teitler-Regev, S. (2019). The impact of disaster and terrorism on the stock market. Jamba – Journal of Disaster Risk Studies, 11(1), a534.
Umar, Z., Jareno, F., & Gonzalez, M. D. l. O. (2021). The impact of COVID-19-related media coverage on the return and volatility connectedness of cryptocurrencies and fiat currencies. Technological Forecasting and Social Change, 172, 121025.
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.
Copyright: © 2021 The Author(s)
Published by Human Resource Management Academic Research Society (www.hrmars.com)
This article is published under the Creative Commons Attribution (CC BY 4.0) license. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this license may be seen at: http://creativecommons.org/licences/by/4.0/legalcode