Are Cryptocurrencies and African stock markets integrated?

Kumah, Seyram Pearl; Mensah, Jones Odei

doi:10.1016/j.qref.2021.06.022

Cited by 32 publications

(28 citation statements)

References 42 publications

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“…Only future research can reveal the outcome of cryptocurrency price decreases on traditional and alternative assets within South African portfolios. Mensah (2021) and Karim et al (2021) have also focused on the frequency, time domains and connection between cryptocurrencies and traditional and other financial assets, transmission shocks to volatility; the diversification and risk management of cryptocurrencies within cryptocurrency markets; the diversification benefits of cryptocurrencies in developed economies and emerging economies; stock investment portfolio and diversification capabilities of cryptocurrencies over time within equity portfolios. While this paper is closely related to Demiralay and Bayrac (2021) and Akyildirim et al (2020), this paper extends these studies by providing the first empirical evidence of the effect of diversification benefits of cryptocurrencies on emerging market asset portfolios constructed using traditional and alternative assets.…”

Section: Conclusion and Recommendationsmentioning

confidence: 99%

Cryptocurrencies and portfolio diversification in an emerging market

Letho

Chelwa

Alhassan

2022

CFRI

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PurposeThis paper examines the effect of cryptocurrencies on the portfolio risk-adjusted returns of traditional and alternative investments within an emerging market economy.Design/methodology/approachThe paper employs daily arithmetic returns from August 2015 to October 2018 of traditional assets (stocks, bonds, currencies), alternative assets (commodities, real estate) and cryptocurrencies. Using the mean-variance analysis, the Sharpe ratio, the conditional value-at-risk and the mean-variance spanning tests.FindingsThe paper documents evidence to support the diversification benefits of cryptocurrencies by utilising the mean-variance tests, improving the efficient frontier and the risk-adjusted returns of the emerging market economy portfolio of investments.Practical implicationsThis paper firmly broadens the Modern Portfolio Theory by authenticating cryptocurrencies as assets with diversification benefits in an emerging market economy investment portfolio.Originality/valueAs far as the authors are concerned, this paper presents the first evidence of the effect of diversification benefits of cryptocurrencies on emerging market asset portfolios constructed using traditional and alternative assets.

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Section: Conclusion and Recommendationsmentioning

confidence: 99%

Cryptocurrencies and portfolio diversification in an emerging market

Letho

Chelwa

Alhassan

2022

CFRI

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“… In the BRICS economy, only Brazilian stock shows a relationship with the cryptocurrencies (Dash, Ethereum & Monero Jeribi and Ghorbel (2021) Bitcoin, Dash, Ethereum, Monero, and Ripple BRICS and Developed Countries Bitcoin does not play a hedging role in BRICS countries compared to developed nations Only Bitcoin has a dynamic, positive correlation with the Brazilian and South African stock market. Kumah and Odei-Mensah (2021) Bitcoin, Ethereum, and Litecoin Africa (Egypt, South Africa, Nigeria, Mauritius, Kenya, Ghana, Tunisia, and Morocco) Bitcoin has a medium-term integration with Egyptian stocks market. In the long run, Ethereum exhibits a strong negative, but Litecoin demonstrates a positive effect on the Egyptian market.…”

Section: Content Analysismentioning

confidence: 99%

Section: Content Analysismentioning

confidence: 99%

“…Bitcoin has a medium-term positive integration with Egyptian stocks market ( Kumah and Odei-Mensah, 2021 ). In the long run, Ethereum exhibits a strong negative, but Litecoin demonstrates a positive effect on the Egyptian stock market ( Kumah and Odei-Mensah, 2021 ). Except for the US dollar exchange rate, there is ample evidence of the impact of the bilateral cross-market shock and volatility spoil over on the Turkish market between Bitcoin and all other financial asset classes ( Vardar and Aydogan, 2019 ).…”

Section: Content Analysismentioning

confidence: 99%

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Cryptocurrency and stock market: bibliometric and content analysis

Jeris

Chowdhury²,

Akter³

et al. 2022

Heliyon

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“…With the increasing use of cryptocurrency in Africa, Kumah and Odei‐Mensah (2021) investigate the linkages between three base cryptocurrencies (Bitcoin, Ethereum and Litecoin) and eight African stock exchanges (Egypt, South Africa, Nigeria, Mauritius, Kenya, Ghana, Tunisia and Morocco). The study uses a sample period between 2015 and 2019 to untangle the connectedness of cryptocurrencies and stock exchanges in a time‐frequency domain.…”

Section: Introductionmentioning

confidence: 99%

Stock market integration in Africa: Further evidence from an information‐theoretic framework

Nyakurukwa

Seetharam

2022

International Finance

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This study revisits stock market integration in Africa using an information-theoretic framework that quantifies the flow of information between exchanges. We use daily return data for seven MSCI-classified African stock exchanges between 2011 and 2021. As Bitcoin has become an important asset class on the African continent, we also explore whether this cryptocurrency confers any diversification benefits. Our method holds that stock markets are integrated if there is a significant flow of information between exchanges. The results reveal a statistically insignificant flow of information among African stock exchanges, and for the few cases in which information flow is statistically significant, the magnitudes are low.South Africa is the most influential stock market, as it transmits most of the total transfer entropy (informational value) in the system. We also observe that African stock exchanges are weakly integrated with Bitcoin.

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Are Cryptocurrencies and African stock markets integrated?

Cited by 32 publications

References 42 publications

Cryptocurrencies and portfolio diversification in an emerging market

Cryptocurrencies and portfolio diversification in an emerging market

Cryptocurrency and stock market: bibliometric and content analysis

Stock market integration in Africa: Further evidence from an information‐theoretic framework

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