Volatility spillovers across Bitcoin, stock, and exchange rates markets
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David Umoru 
, Williams Eromosele Isesele, Lawrence Uvie Egbadju, Chukwuedo Susan Oburota, Ewere Florence Okungbowa , Emmanuel Richard Awubi, Scholastica Ashibebonye Abuh-Amasi , Cletus Ekok Omono, Atelhe George Atelhe, Anake Fidelis Atseye, Francis Abul Uyang , Malachy Ashywel Ugbaka , Bashiru Adamu Braimah
This work is licensed under a Creative Commons Attribution 4.0 International License.
Abstract
Globalization of the world economy has ensured flexible exchange rate mechanisms are executed thereby creating interdependence between and within the stock, digital currency and foreign exchange markets. Unfortunately, in emerging African countries, few studies conducted on volatility spillovers failed to adequately establish the significance and pattern of volatility spillover effects between returns on Bitcoin, stock markets and exchange rates. Hence, the need for this study using the diagonal-BEKK approach. While Botswana had an inverse pattern of spillovers, Tunisia had a positive pattern. Bitcoin and stock prices both had volatility spillover effects between each other in South Africa. South Africa and Namibia were the only countries with significant volatility spillovers between stock prices and exchange rates. In countries like Kenya that had significant cross-volatility from the stock market to the exchange rate, news about the stock market stimulated reactions from investors that impacted volatility within the market. This volatility creates a multiplier effect on other economic circles of influence, depending on whether reactions are favourable to the market or unfavourable. When volatility in the Kenyan stock market rises, exchange rates in the next period experience less volatility, against the common theory that investors’ actions that cause volatility in the stock market cause withdrawal of investments.
Keywords: Volatility Spillover, Crypto-Currency, Stock Market, Bitcoin, Emerging African Countries, BEKK-GARCH
Authors’ individual contribution: Conceptualization — D.U.; Methodology — D.U., M.A.U., F.A.U., W.E.I., and B.A.B.; Software — D.U., A.F.A., and W.E.I.; Validation — E.F.O., C.E.O., L.U.E., and W.E.I.; Formal Analysis — D.U., M.A.U., E.R.A., E.F.O., L.U.E., W.E.I., and B.A.B.; Investigation — D.U., M.A.U., C.E.O., and E.F.O.; Data Curation — D.U., M.A.U., A.G.A., and W.E.I.; Writing — D.U., S.A.A.-A., E.R.A., and C.S.O.; Supervision — D.U.
Declaration of conflicting interests: The Authors declare that there is no conflict of interest.
JEL Classification: F30, C26, C35
Received: 13.02.2023
Accepted: 15.04.2024
Published online: 17.04.2024
How to cite this paper: Umoru, D., Ugbaka, M. A., Uyang, F. A., Atseye, A. F., Atelhe, A. G., Omono, C. E., Abuh-Amasi, S. A., Awubi, E. R., Okungbowa, E. F., Oburota, C. S., Egbadju, L. U., Isesele, W. E., & Braimah, B. A. (2024). Volatility spillovers across Bitcoin, stock, and exchange rates markets. Corporate & Business Strategy Review, 5(2), 51–71. https://doi.org/10.22495/cbsrv5i2art5
