Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/275066 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 12 [Article No.:] 589 [Year:] 2022 [Pages:] 1-15
Publisher: 
MDPI, Basel
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.
Subjects: 
cryptocurrencies
stock market volatility
cybercrime
BLR
DCC
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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