Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/316385 
Year of Publication: 
2023
Citation: 
[Journal:] CBN Journal of Applied Statistics [ISSN:] 2476-8472 [Volume:] 14 [Issue:] 2 [Year:] 2023 [Pages:] 1-23
Publisher: 
The Central Bank of Nigeria, Abuja
Abstract: 
This paper tests the safe-haven property of Bitcoin for South African stocks using Full and Diagonal BEKK-GARCH models. The study uses the Johannesburg stock exchange Top40 index, and bitcoin returns data before COVID-19 (August 2018 to December 2019) and during COVID-19 (January 2020 to June 2021). The results show that bitcoin cannot be considered as safe-haven for stocks in South Africa since it is weakly correlated with stock and had a high volatility during the Pandemic. Therefore, the safe-haven hypothesis of bitcoin on South African stocks is not true for the period under study. The policy implication is that bitcoin is not an appropriate safe-haven asset on South African stocks because it lacks store of value properties.
Subjects: 
Bitcoin
COVID-19 pandemic
GARCH models
Stock
JEL: 
C13
C22
G11
Persistent Identifier of the first edition: 
Document Type: 
Article

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