Volatility Behaviour of Bitcoin as a Digital Asset Evidence of Shock Transmission Dynamics from the South African Financial Markets
Main Article Content
Keywords
Bitcoin, Cryptocurrency, Volatility spillover, Foreign exchange, Digital asset.
Abstract
The objective of this study is to use the South African financial markets (Johannesburg Stock Exchange or JSE and USD/ZAR) as a case study to understand the volatility spillover dynamics of Bitcoin as a digital asset. Methodologically, the study applies the exponential generalized autoregressive conditional heteroskedastic (EGARCH) model, followed by a robustness check by applying the time-varying conditional correlation multivariate GARCH (VCC-MGARCH) model. The study utilizes the data set for the period 2011 to 2019, a period before the COVID‑19 pandemic. The research outcome revealed three interesting observations. First, Bitcoin and the South African stock market are independent of each other. Second, there is a bidirectional shock transmission between Bitcoin and USD/ZAR in the mean returns only, but not variance. Lastly, results confirm the existence of a bidirectional volatility spillover in both the mean and variance between the JSE stock market and the USD/ZAR market. The study outcome should enlighten investors who may want to consider Bitcoin as a diversifier in their investment and portfolio strategies.
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References
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Baek, C., & Elbeck, M. (2015). Bitcoins as an investment or speculative vehicle? A first look. Applied Economics Letters, 22(1), 30 34, available at: https://doi.org/10.1080/13504851.2014.916379Draft1.docx#Barunik_2018
Baruník, J., & Křehlík, T. (2018). Measuring the frequency dynamics of financial connectedness and systemic risk. Journal of Financial Econometrics, 16(2), 271 296, available at: https://doi.org/10.1093/jjfinec/nby001
Baumöhl, E. (2019). Are cryptocurrencies connected to forex? A quantile cross-spectral approach. Finance Research Letters, 29, 363-372, available at: https://doi.org/10.1016/j.frl.2018.09.002
Baur, D.G., Dimpfl, T., & Kuck, K. (2018). Bitcoin, gold and the US dollar – a replication and extension. Finance Research Letters, 25, 103 110, available at: https://doi.org/10.1016/j.frl.2017.10.012
Bindseil, U. (2019). International digital currency: financial system implications and control. Journal of Political Economy, 48(4), 303-335, available at: https://doi.org/10.1080/08911916.2019.1693160
Blundell-Wignall, A. (2014). The bitcoin question: currency versus trust-less transfer technology. OECD working papers on finance, insurance and private pensions, no. 37, 16 June, OECD Publishing, Paris, available at: https://doi.org/10.1787/20797117
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327, available from: https://doi.org/10.1016/0304-4076(86)90063-1
Boshoff, W.H. (2006). The transmission of foreign financial crises to South Africa: a firm-level study. Studies in Economics and Econometrics, 30(2), 61 85, available at: https://hdl.handle.net/10520/EJC21427
Boshoff, W.H., & Fourie, J. (2017). When did South African markets integrate into the global economy? Studies in Economics and Econometrics, 41(1), 19 32, available at: https://hdl.handle.net/10520/EJC-7e9f288d6
Bouoiyour, J., & Selmi, R. (2015). What does bitcoin look like? Annals of Economics and Finance, 16(2), 449-492.
Bouri, E., Das, M., Gupta, R., & Roubaud, D. (2018). Spillovers between bitcoin and other assets during bear and bull markets. Applied Economics, 50(55), 5935-5949, available at: https://doi.org/10.1080/00036846.2018.1488075
Bouri, E., Gupta, R., Tiwari, AK., & Roubaud, D. (2017). Does bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions. Finance Research Letters, 23, 87-95, available at: https://doi.org/10.1016/j.frl.2017.02.009Get
Brière, M., Oosterlinck, K., & Szafarz, A. (2015). Virtual currency, tangible return: portfolio diversification with bitcoins. Journal of Assessment Management, 16(6), 365 373, available at: https://doi.org/10.1057/jam.2015.5
Carpenter, A. (2016). Portfolio diversification with bitcoin. Journal of Undergraduate Research in Finance, 6(1), 1-27, available at: https://jurf.org/wp-content/uploads/2017/01/carpenter-andrew-2016.pdf
Corbet, S., Meegan, A., Larkin, C. Lucey, B., & Yarovaya, L. (2018). Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics Letters, 165), 28-34, available at: https://doi.org/10.1016/j.econlet.2018.01.004
Cox, J.C., Ingersoll Jr, J.E., & Ross, S.A. (1985). A theory of the term structure of interest rates. Econometrica, 53(2), 385-407, available at: https://www.jstor.org/stable/1911242
Danielsson, J., Valenzuela, M., & Zer, I. (2018). Learning from history: volatility and financial crises. Review of Financial Studies, 31(7), 2774-2805, available at: https://doi.org/10.1093/rfs/hhy049
Dickey, D.A., & Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431, available at: https://doi.org/10.1080/01621459.1979.10482531
Diebold, F.X., & Yilmaz, K. (2012). Better to give than to receive: predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57 66, available at: https://doi.org/10.1016/j.ijforecast.2011.02.006
Dodd, Nigel. (2017). The Social Life of Bitcoin. Theory, Culture and Society, 35(3). DOI:10.1177/0263276417746464
Dyhrberg, A.H. (2016). Bitcoin, gold and the dollar – a GARCH volatility analysis. Finance Research Letters, 16, 85–92, available at: https://doi.org/10.1016/j.frl.2015.10.008
Enders, W. (2003), Applied Econometric Time Series, 2nd ed., John Wiley, Hoboken, NJ.
Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007, available at: https://www.jstor.org/stable/1912773
European Central Bank. (2015). Virtual currency schemes – a further analysis. ECB Ecosystem working paper, ECB, Frankfurt, February, available at: https://www.ecb.europa.eu/pub/pdf/other/virtualcurrencyschemesen.pdf
Financial Action Task Force on Money Laundering. (2015), Virtual Currencies: Guidance for a Risk-Based Approach, FATF, Paris.
Francis, B.B., Hasan, I., & Hunter, D.M. (2006). Dynamic relations between international equity and currency markets: the role of currency order flow. The Journal of Business, 79(1), 219 258, available at: https://www.jstor.org/stable/10.1086/497417
Gopane, T.J. (2019a). An enquiry into digital inequality implications for central bank digital currency. in Cunningham, P. & Cunningham, M. (Eds.), IST-Africa Week Conference Proceedings, Nairobi, Kenya, 8-10 May, IEEE, Piscataway, NJ), 1-9.
Gopane T.J. (2019b). The Interest Rate Behaviour of Bitcoin as a Digital Asset. In: Jallouli R., Bach Tobji M., Bélisle D., Mellouli S., Abdallah F., Osman I. (eds). Digital Economy: Emerging Technologies and Business Innovation. Lecture Notes in Business Information Processing, vol 358. Springer, Cham. https://doi.org/10.1007/978-3-030-30874-2_5
Hamao, Y., Masulis, R.W., & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. The Review of Financial Studies, 3(2), 281-307, available at: https://www.jstor.org/stable/2962024
Heymans, A., & Da Camara, R. (2013). Measuring spill-over effects of foreign markets on the JSE before, during and after international financial crises. South African Journal of Economic and Management Sciences, 16(4), 418-434, available at: http://www.scielo.org.za/pdf/sajems/v16n4/05.pdf
Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. The Review of Financial Studies, 3(4), 573-592, available at: https://doi.org/10.1093/rfs/3.4.573
IMF (International Monetary Fund). (2018), Measuring the Digital Economy, IMF, Washington, DC.
Jebran, K. (2018). Volatility spillover between stock and foreign exchange market of China: evidence from subprime Asian financial crisis. Journal of Asia Business Studies, 12(2), 220 232, available at: https://doi.org/10.1108/JABS-01-2016-0003
Jebran, K., & Iqbal, A. (2016). Examining volatility spillover between Asian countries’ stock markets. China Finance and Economic Review, 4(1), Art. 6, available at: https://doi.org/10.1186/s40589-016-0031-1
Kaul, A., & Sapp, S. (2006). Y2K fears and safe haven trading of the U.S. dollar. Journal of International Money and Finance, 25(5), 760-779, available at: https://doi.org/10.1016/j.jimonfin.2006.04.003
Lansky, J. (2018). Possible state approaches to cryptocurrencies. Journal of Systems Integration, 9(1), 19-31, available at: http://dx.doi.org/10.20470/jsi.v9i1.335
Maddox, A., Singh, S., Horst, H., & Adamson, G. (2016). An ethnography of Bitcoin: Towards a future research agenda. Journal of Telecommunications and the Digital Economy, 4(1), 65–78. https://search.informit.org/doi/10.3316/informit.062325733084276
Mishra, A.K., Swain, N., & Malhotra, D.K. (2007). Volatility spillover between stock and foreign exchange markets: Indian evidence. International Journal of Business, 12(3), 341-359
Nakamoto, S. (2008). Bitcoin: a peer-to-peer electronic cash system. available at: https://bitcoin.org/bitcoin.pdf (accessed 2 April 2020).
Nelson, B., (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica 59(2), 347-370.
Obadan, M.I. (2006). Globalization of finance and the challenge of national financial sector development. Journal of Asian Economics, 17,(2), 316-332, available at: https://doi.org/10.1016/j.asieco.2005.11.002
Oberholzer, N., & Von Boetticher, S.T. (2015). Volatility spillover between the JSE/FTSE indices and the South African rand”. Procedia Economics and Finance, 24), 501-510, available at: https://doi.org/10.1016/S2212-5671(15)00618-8
OECD (Organisation for Economic Co-operation and Development). (2019), Measuring the Digital Transformation: A Roadmap for the Future, OECD Publishing, Paris.
Phillips, P.C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346, available at: https://doi.org/10.1093/biomet/75.2.335
Platanakis, E., & Urquhart, A. (2020). Should investors include Bitcoin in their portfolios? A portfolio theory approach. The British Accounting Review, 52(4), Art. 100837, available at: https://doi.org/10.1016/j.bar.2019.100837
Samouilhan, N.I. (2006). The relationship between international equity market behaviour and the JSE. South African Journal of Economics, 74(2), 248-260, available at: https://doi.org/10.1111/j.1813-6982.2006.00063.x
Sefcik, S., & Thompson, R. (1986). An approach to statistical inference in cross-sectional models with security abnormal returns as dependent variable. Journal of Accounting Research, 24(2), 316-334, available at: https://www.jstor.org/stable/2491136
Selgin, G. (2015). Synthetic commodity money. Journal of Financial Stability, 17, 92 99, available at: https://doi.org/10.1016/j.jfs.2014.07.002
Smith, J. (2016). An analysis of Bitcoin Exchange Rates. Elsevier SSRN Working Paper, No.2493797, May. https://dx.doi.org/10.2139/ssrn.2493797
Theodossiou, P., & Lee, U. (1993). Mean and volatility spillovers across major national stock markets: further empirical evidence. Journal of Financial Research, 14(4), 337 350, available at: https://doi.org/10.1111/j.1475-6803.1993.tb00152.x
Trabelsi, N. (2018). Are there any volatility spillover effects among cryptocurrencies and widely traded asset classes? Journal of Risk and Financial Management, 11(4), Art. 66, available at: https://doi.org/10.3390/jrfm11040066
Tse, Y. K., & A. K. C. Tsui. (2002). A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations. Journal of Business and Economic Statistics, 20(3), 351–362. https://doi.org/10.1198/073500102288618496
Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177-188, available at: https://doi.org/10.1016/0304-405X(77)90016-2
Wolfson, S.N. (2015). Bitcoin: the early market. Journal of Business & Economics Research, 13(3), 201-214, available at: https://doi.org/10.19030/jber.v13i4.9452
Yermack, D. (2015). Is bitcoin a real currency? An economic appraisal. NBER working paper (19747, National Bureau of Economic Research, Cambridge, MA, December, available at: https://www.nber.org/papers/w19747.pdf
Aloui, C. (2007). Price and volatility spillovers between exchange rates and stock indexes for the pre-and post-euro period. Quantitative Finance, 7(6), 669-685, available at: https://doi.org/10.1080/14697680701302653
Baek, C., & Elbeck, M. (2015). Bitcoins as an investment or speculative vehicle? A first look. Applied Economics Letters, 22(1), 30 34, available at: https://doi.org/10.1080/13504851.2014.916379Draft1.docx#Barunik_2018
Baruník, J., & Křehlík, T. (2018). Measuring the frequency dynamics of financial connectedness and systemic risk. Journal of Financial Econometrics, 16(2), 271 296, available at: https://doi.org/10.1093/jjfinec/nby001
Baumöhl, E. (2019). Are cryptocurrencies connected to forex? A quantile cross-spectral approach. Finance Research Letters, 29, 363-372, available at: https://doi.org/10.1016/j.frl.2018.09.002
Baur, D.G., Dimpfl, T., & Kuck, K. (2018). Bitcoin, gold and the US dollar – a replication and extension. Finance Research Letters, 25, 103 110, available at: https://doi.org/10.1016/j.frl.2017.10.012
Bindseil, U. (2019). International digital currency: financial system implications and control. Journal of Political Economy, 48(4), 303-335, available at: https://doi.org/10.1080/08911916.2019.1693160
Blundell-Wignall, A. (2014). The bitcoin question: currency versus trust-less transfer technology. OECD working papers on finance, insurance and private pensions, no. 37, 16 June, OECD Publishing, Paris, available at: https://doi.org/10.1787/20797117
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327, available from: https://doi.org/10.1016/0304-4076(86)90063-1
Boshoff, W.H. (2006). The transmission of foreign financial crises to South Africa: a firm-level study. Studies in Economics and Econometrics, 30(2), 61 85, available at: https://hdl.handle.net/10520/EJC21427
Boshoff, W.H., & Fourie, J. (2017). When did South African markets integrate into the global economy? Studies in Economics and Econometrics, 41(1), 19 32, available at: https://hdl.handle.net/10520/EJC-7e9f288d6
Bouoiyour, J., & Selmi, R. (2015). What does bitcoin look like? Annals of Economics and Finance, 16(2), 449-492.
Bouri, E., Das, M., Gupta, R., & Roubaud, D. (2018). Spillovers between bitcoin and other assets during bear and bull markets. Applied Economics, 50(55), 5935-5949, available at: https://doi.org/10.1080/00036846.2018.1488075
Bouri, E., Gupta, R., Tiwari, AK., & Roubaud, D. (2017). Does bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions. Finance Research Letters, 23, 87-95, available at: https://doi.org/10.1016/j.frl.2017.02.009Get
Brière, M., Oosterlinck, K., & Szafarz, A. (2015). Virtual currency, tangible return: portfolio diversification with bitcoins. Journal of Assessment Management, 16(6), 365 373, available at: https://doi.org/10.1057/jam.2015.5
Carpenter, A. (2016). Portfolio diversification with bitcoin. Journal of Undergraduate Research in Finance, 6(1), 1-27, available at: https://jurf.org/wp-content/uploads/2017/01/carpenter-andrew-2016.pdf
Corbet, S., Meegan, A., Larkin, C. Lucey, B., & Yarovaya, L. (2018). Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics Letters, 165), 28-34, available at: https://doi.org/10.1016/j.econlet.2018.01.004
Cox, J.C., Ingersoll Jr, J.E., & Ross, S.A. (1985). A theory of the term structure of interest rates. Econometrica, 53(2), 385-407, available at: https://www.jstor.org/stable/1911242
Danielsson, J., Valenzuela, M., & Zer, I. (2018). Learning from history: volatility and financial crises. Review of Financial Studies, 31(7), 2774-2805, available at: https://doi.org/10.1093/rfs/hhy049
Dickey, D.A., & Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431, available at: https://doi.org/10.1080/01621459.1979.10482531
Diebold, F.X., & Yilmaz, K. (2012). Better to give than to receive: predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57 66, available at: https://doi.org/10.1016/j.ijforecast.2011.02.006
Dodd, Nigel. (2017). The Social Life of Bitcoin. Theory, Culture and Society, 35(3). DOI:10.1177/0263276417746464
Dyhrberg, A.H. (2016). Bitcoin, gold and the dollar – a GARCH volatility analysis. Finance Research Letters, 16, 85–92, available at: https://doi.org/10.1016/j.frl.2015.10.008
Enders, W. (2003), Applied Econometric Time Series, 2nd ed., John Wiley, Hoboken, NJ.
Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007, available at: https://www.jstor.org/stable/1912773
European Central Bank. (2015). Virtual currency schemes – a further analysis. ECB Ecosystem working paper, ECB, Frankfurt, February, available at: https://www.ecb.europa.eu/pub/pdf/other/virtualcurrencyschemesen.pdf
Financial Action Task Force on Money Laundering. (2015), Virtual Currencies: Guidance for a Risk-Based Approach, FATF, Paris.
Francis, B.B., Hasan, I., & Hunter, D.M. (2006). Dynamic relations between international equity and currency markets: the role of currency order flow. The Journal of Business, 79(1), 219 258, available at: https://www.jstor.org/stable/10.1086/497417
Gopane, T.J. (2019a). An enquiry into digital inequality implications for central bank digital currency. in Cunningham, P. & Cunningham, M. (Eds.), IST-Africa Week Conference Proceedings, Nairobi, Kenya, 8-10 May, IEEE, Piscataway, NJ), 1-9.
Gopane T.J. (2019b). The Interest Rate Behaviour of Bitcoin as a Digital Asset. In: Jallouli R., Bach Tobji M., Bélisle D., Mellouli S., Abdallah F., Osman I. (eds). Digital Economy: Emerging Technologies and Business Innovation. Lecture Notes in Business Information Processing, vol 358. Springer, Cham. https://doi.org/10.1007/978-3-030-30874-2_5
Hamao, Y., Masulis, R.W., & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. The Review of Financial Studies, 3(2), 281-307, available at: https://www.jstor.org/stable/2962024
Heymans, A., & Da Camara, R. (2013). Measuring spill-over effects of foreign markets on the JSE before, during and after international financial crises. South African Journal of Economic and Management Sciences, 16(4), 418-434, available at: http://www.scielo.org.za/pdf/sajems/v16n4/05.pdf
Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. The Review of Financial Studies, 3(4), 573-592, available at: https://doi.org/10.1093/rfs/3.4.573
IMF (International Monetary Fund). (2018), Measuring the Digital Economy, IMF, Washington, DC.
Jebran, K. (2018). Volatility spillover between stock and foreign exchange market of China: evidence from subprime Asian financial crisis. Journal of Asia Business Studies, 12(2), 220 232, available at: https://doi.org/10.1108/JABS-01-2016-0003
Jebran, K., & Iqbal, A. (2016). Examining volatility spillover between Asian countries’ stock markets. China Finance and Economic Review, 4(1), Art. 6, available at: https://doi.org/10.1186/s40589-016-0031-1
Kaul, A., & Sapp, S. (2006). Y2K fears and safe haven trading of the U.S. dollar. Journal of International Money and Finance, 25(5), 760-779, available at: https://doi.org/10.1016/j.jimonfin.2006.04.003
Lansky, J. (2018). Possible state approaches to cryptocurrencies. Journal of Systems Integration, 9(1), 19-31, available at: http://dx.doi.org/10.20470/jsi.v9i1.335
Maddox, A., Singh, S., Horst, H., & Adamson, G. (2016). An ethnography of Bitcoin: Towards a future research agenda. Journal of Telecommunications and the Digital Economy, 4(1), 65–78. https://search.informit.org/doi/10.3316/informit.062325733084276
Mishra, A.K., Swain, N., & Malhotra, D.K. (2007). Volatility spillover between stock and foreign exchange markets: Indian evidence. International Journal of Business, 12(3), 341-359
Nakamoto, S. (2008). Bitcoin: a peer-to-peer electronic cash system. available at: https://bitcoin.org/bitcoin.pdf (accessed 2 April 2020).
Nelson, B., (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica 59(2), 347-370.
Obadan, M.I. (2006). Globalization of finance and the challenge of national financial sector development. Journal of Asian Economics, 17,(2), 316-332, available at: https://doi.org/10.1016/j.asieco.2005.11.002
Oberholzer, N., & Von Boetticher, S.T. (2015). Volatility spillover between the JSE/FTSE indices and the South African rand”. Procedia Economics and Finance, 24), 501-510, available at: https://doi.org/10.1016/S2212-5671(15)00618-8
OECD (Organisation for Economic Co-operation and Development). (2019), Measuring the Digital Transformation: A Roadmap for the Future, OECD Publishing, Paris.
Phillips, P.C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346, available at: https://doi.org/10.1093/biomet/75.2.335
Platanakis, E., & Urquhart, A. (2020). Should investors include Bitcoin in their portfolios? A portfolio theory approach. The British Accounting Review, 52(4), Art. 100837, available at: https://doi.org/10.1016/j.bar.2019.100837
Samouilhan, N.I. (2006). The relationship between international equity market behaviour and the JSE. South African Journal of Economics, 74(2), 248-260, available at: https://doi.org/10.1111/j.1813-6982.2006.00063.x
Sefcik, S., & Thompson, R. (1986). An approach to statistical inference in cross-sectional models with security abnormal returns as dependent variable. Journal of Accounting Research, 24(2), 316-334, available at: https://www.jstor.org/stable/2491136
Selgin, G. (2015). Synthetic commodity money. Journal of Financial Stability, 17, 92 99, available at: https://doi.org/10.1016/j.jfs.2014.07.002
Smith, J. (2016). An analysis of Bitcoin Exchange Rates. Elsevier SSRN Working Paper, No.2493797, May. https://dx.doi.org/10.2139/ssrn.2493797
Theodossiou, P., & Lee, U. (1993). Mean and volatility spillovers across major national stock markets: further empirical evidence. Journal of Financial Research, 14(4), 337 350, available at: https://doi.org/10.1111/j.1475-6803.1993.tb00152.x
Trabelsi, N. (2018). Are there any volatility spillover effects among cryptocurrencies and widely traded asset classes? Journal of Risk and Financial Management, 11(4), Art. 66, available at: https://doi.org/10.3390/jrfm11040066
Tse, Y. K., & A. K. C. Tsui. (2002). A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations. Journal of Business and Economic Statistics, 20(3), 351–362. https://doi.org/10.1198/073500102288618496
Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177-188, available at: https://doi.org/10.1016/0304-405X(77)90016-2
Wolfson, S.N. (2015). Bitcoin: the early market. Journal of Business & Economics Research, 13(3), 201-214, available at: https://doi.org/10.19030/jber.v13i4.9452
Yermack, D. (2015). Is bitcoin a real currency? An economic appraisal. NBER working paper (19747, National Bureau of Economic Research, Cambridge, MA, December, available at: https://www.nber.org/papers/w19747.pdf
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Jun 10, 2022
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Gopane, T. J. (2022). Volatility Behaviour of Bitcoin as a Digital Asset: Evidence of Shock Transmission Dynamics from the South African Financial Markets. Journal of Telecommunications and the Digital Economy, 10(2), 195–213. https://doi.org/10.18080/jtde.v10n2.510
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