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

Forbes Kaseke, Shaun Ramroop and Henry Mhwambi ()
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Henry Mhwambi: University of Kwazulu-Natal

The African Finance Journal, 2021, vol. 23, issue 2, 50-64

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.

Keywords: Bitcoin; Ethereum Gold; volatility; GARCH (search for similar items in EconPapers)
JEL-codes: C10 C18 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:afj:journl:v:23:y:2021:i:2:p:50-64

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