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Do Stock Market Volatility and Cybercrime Affect Cryptocurrency Returns? Evidence from South African Economy

Author

Listed:
  • Nosipho Mthembu

    (School of Economics, University of Johannesburg, Johannesburg 2006, South Africa)

  • Kazeem Abimbola Sanusi

    (School of Economics, University of Johannesburg, Johannesburg 2006, South Africa)

  • Joel Hinaunye Eita

    (School of Economics, University of Johannesburg, Johannesburg 2006, South Africa)

Abstract

The study investigates the effects of stock market volatility and cybercrime on cryptocurrency returns in the South African economy. Daily time series data on four different types of cryptocurrencies (Bitcoin, Ethereum, Tether, and BMB) were employed. The data covers the period from 1 January 2019–31 December 2021. The study employed the dynamic conditional correlation (DCC GARCH) and Bayesian liner regression model to investigate time-varying correlations among the variables. Empirical findings suggest that stock market volatility has a positive impact on the returns of BNB, Bitcoin, and Ethereum. However, it has a negative impact on Tether. Expectedly, cybercrime poses negative impacts on the returns of BNB, Bitcoin, and Ethereum but could be said to have no impact on the returns of Tether. The study concludes that ongoing efforts to reduce cybercrime activities need to be strengthened to further the use of digital currencies.

Suggested Citation

  • Nosipho Mthembu & Kazeem Abimbola Sanusi & Joel Hinaunye Eita, 2022. "Do Stock Market Volatility and Cybercrime Affect Cryptocurrency Returns? Evidence from South African Economy," JRFM, MDPI, vol. 15(12), pages 1-15, December.
    • Handle: RePEc:gam:jjrfmx:v:15:y:2022:i:12:p:589-:d:996256
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    References listed on IDEAS

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