Bitcoin and South African Stock Market Returns during COVID-19 Pandemic: A test of the Safe-Haven Hypothesis

Authors

Akaninyene U. Udom, Department of Statistics, University of Nigeria, NsukkaFollow
Sopuru W. Nnamani

Keywords

Bitcoin, COVID-19 pandemic, GARCH models, Stock

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.

Issue

2

Volume

14

First Page

1

Last Page

23

Recommended Citation

Udom, Akaninyene U. and Nnamani, Sopuru W. (2023) "Bitcoin and South African Stock Market Returns during COVID-19 Pandemic: A test of the Safe-Haven Hypothesis," CBN Journal of Applied Statistics (JAS): Vol. 14: No. 2, Article 4.
Available at: https://dc.cbn.gov.ng/jas/vol14/iss2/4