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Integration and Risk Transmission Dynamics Between Bitcoin, Currency Pairs, and Traditional Financial Assets in South Africa

Author

Listed:
  • Benjamin Mudiangombe Mudiangombe

    (School of Economics, University of Johannesburg, P.O. Box 524, Auckland Park 2006, South Africa)

  • John Weirstrass Muteba Mwamba

    (School of Economics, University of Johannesburg, P.O. Box 524, Auckland Park 2006, South Africa
    School of Health Policy and Management, York University, Toronto, ON M3J 1P3, Canada
    La Haute École de Commerce de Kinshasa, Avenue de la Révolution, Gombe, Kinshasa B.P. 16596, Democratic Republic of the Congo)

Abstract

This study explores the new insights into the integration and dynamic asymmetric volatility risk spillovers between Bitcoin, currency pairs (USD/ZAR, GBP/ZAR and EUR/ZAR), and traditional financial assets (ALSI, Bond, and Gold) in South Africa using daily data spanning the period from 2010 to 2024 and employing Time-Varying Parameter Vector Autoregression (TVP-VAR) and wavelet coherence. The findings revealed strengthened integration between traditional financial assets and currency pairs, as well as weak integration with BTC/ZAR. Furthermore, BTC/ZAR and traditional financial assets were receivers of shocks, while the currency pairs were transmitters of spillovers. Gold emerged as an attractive investment during periods of inflation or currency devaluation. However, the assets have a total connectedness index of 28.37%, offering a reduced systemic risk. Distinct patterns were observed in the short, medium, and long term in time scales and frequency. There is a diversification benefit and potential hedging strategies due to gold’s negative influence on BTC/ZAR. Bitcoin’s high volatility and lack of regulatory oversight continue to be deterrents for institutional investors. This study lays a solid foundation for understanding the financial dynamics in South Africa, offering valuable insights for investors and policymakers interested in the intricate linkages between BTC/ZAR, currency pairs, and traditional financial assets, allowing for more targeted policy measures.

Suggested Citation

  • Benjamin Mudiangombe Mudiangombe & John Weirstrass Muteba Mwamba, 2025. "Integration and Risk Transmission Dynamics Between Bitcoin, Currency Pairs, and Traditional Financial Assets in South Africa," Econometrics, MDPI, vol. 13(3), pages 1-30, September.
    • Handle: RePEc:gam:jecnmx:v:13:y:2025:i:3:p:36-:d:1753336
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    References listed on IDEAS

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    1. Bein, Murad A., 2026. "Dynamic interrelations and the potential of global industrial sectors to function as a refuge for the global transition towards a low-carbon economy," The North American Journal of Economics and Finance, Elsevier, vol. 81(C).

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