IDEAS home Printed from https://ideas.repec.org/a/dug/actaec/y2020i5p352-365.html
   My bibliography  Save this article

The Effect of Cryptocurrency Returns Volatility on Stock Prices and Exchange Rate Returns Volatility in Nigeria

Author

Listed:
  • Olaiwola Jimoh Sodiq

    (University of Sains Malaysia)

  • Olawale Benjamin Oluwasegun

    (Lightway Research and Technology Centre)

Abstract

The global usage and acceptability of bitcoin and other forms of cryptocurrencies as another means of payment have attracted the attention of financial and economic experts in recent times, but research on these means of payment and their relationship with economic and financial variables are scanty in Nigeria. This study, therefore, examined the nexus between the two key economic and financial variables (exchange rate and stock market price) and the most traded cryptocurrency (Bitcoin and Etherum) in Nigeria. The study used monthly data between August 2015 and December 2019 and employed the Generalized Autoregressive Conditional Heteroscedasticity (GARCH 1,1), Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH 1,1), and Granger causality technique to estimate the reaction of the volatility of exchange rates and stock market prices to volatility in cryptocurrency prices. The result shows that the stock market price is more influenced by the instability of bitcoin and ethereum prices than the exchange rate in Nigeria. Further, there is evidence of a one-way causality from bitcoin and ethereum to all share index. Given these findings, there is a need for the stock market investors in Nigeria to pay rapped attention to the movement of cryptocurrency prices.

Suggested Citation

  • Olaiwola Jimoh Sodiq & Olawale Benjamin Oluwasegun, 2020. "The Effect of Cryptocurrency Returns Volatility on Stock Prices and Exchange Rate Returns Volatility in Nigeria," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 16(6), pages 352-365, DECEMBER.
    • Handle: RePEc:dug:actaec:y:2020:i:5:p:352-365
    as

    Download full text from publisher

    File URL: https://dj.univ-danubius.ro/index.php/AUDOE/article/view/358/953
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:dug:actaec:y:2020:i:5:p:352-365. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Daniela Robu (email available below). General contact details of provider: https://edirc.repec.org/data/fedanro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.