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

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