The implication of cryptocurrency volatility on five largest African financial system stability

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60460709%3A41110%2F24%3A101527" target="_blank" >RIV/60460709:41110/24:101527 - isvavai.cz</a>

Result on the web

<a href="https://jfin-swufe.springeropen.com/articles/10.1186/s40854-023-00580-5" target="_blank" >https://jfin-swufe.springeropen.com/articles/10.1186/s40854-023-00580-5</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1186/s40854-023-00580-5" target="_blank" >10.1186/s40854-023-00580-5</a>

Result language

angličtina

Original language name

The implication of cryptocurrency volatility on five largest African financial system stability

Original language description

This study examined the interconnectedness and volatility correlation between cryptocurrency and traditional financial markets in the five largest African countries, addressing concerns about potential spillover effects, especially the high volatility and lack of regulation in the cryptocurrency market. The study employed both diagonal BEKK-GARCH and DCC-GARCH to analyze the existence of spillover effects and correlation between both markets. A daily time series dataset from January 1, 2017, to December 31, 2021, was employed to analyze the contagion effect. Our findings reveal a significant spillover effect from cryptocurrency to the African traditional financial market; however, the percentage spillover effect is still low but growing. Specifically, evidence is insufficient to suggest a spillover effect from cryptocurrency to Egypt and Morocco's financial markets, at least in the short run. Evidence in South Africa, Nigeria, and Kenya indicates a moderate but growing spillover effect from cryptocurrency to the financial market. Similarly, we found no evidence of a spillover effect from the African financial market to the cryptocurrency market. The conditional correlation result from the DCC-GARCH revealed a positive low to moderate correlation between cryptocurrency volatility and the African financial market. Specifically, the DCC-GARCH revealed a greater integration in both markets, especially in the long run. The findings have policy implications for financial regulators concerning the dynamics of both markets and for investors interested in portfolio diversification within the two markets.

Czech name

—

Czech description

—

Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

50202 - Applied Economics, Econometrics

Project

—

Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2024

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Investment Management and Financial Innovations

ISSN

1810-4967

e-ISSN

1810-4967

Volume of the periodical

10

Issue of the periodical within the volume

1

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

19

Pages from-to

—

UT code for WoS article

001148781200001

EID of the result in the Scopus database

—