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

【Author】 Mthembu, Nosipho; Sanusi, Kazeem Abimbola; Eita, Joel Hinaunye

【Source】JOURNAL OF RISK AND FINANCIAL MANAGEMENT

【影响因子】0.000

【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.

【Keywords】cryptocurrencies; cybercrime; stock market volatility; DCC; BLR

【发表时间】2022 DEC

【收录时间】2023-01-16

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币