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A Comparison of the Stylised Facts of Bitcoin, Ethereum and the JSE Stock Returns

Author

Listed:
  • Forbes Kaseke
  • Shaun Ramroop
  • Henry Mhwambi

    (University of Kwazulu-Natal)

Abstract

This study investigates the stylised facts of cryptocurrency using Bitcoin and Ethereum and comparing them with those of Gold and FTSE/JSE 40 index. We also divide our data to bearish and bullish periods of cryptocurrency. Various known properties of financial data are investigated on the four assets. The evidence shows that cryptocurrencies possess similar stylised facts with the Gold and JSE but has some minor differences such as the volatility level. Examining the bearish and bullish periods separately did not reveal much change on the stylised facts.

Suggested Citation

  • Forbes Kaseke & Shaun Ramroop & Henry Mhwambi, 2021. "A Comparison of the Stylised Facts of Bitcoin, Ethereum and the JSE Stock Returns," The African Finance Journal, Africagrowth Institute, vol. 23(2), pages 50-64.
    • Handle: RePEc:afj:journl:v:23:y:2021:i:2:p:50-64
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    File URL: https://journals.co.za/doi/abs/10.10520/ejc-finj_v23_n2_a4
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    More about this item

    Keywords

    Bitcoin; Ethereum Gold; volatility; GARCH;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General

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