Abstract:
The purpose of this study is to investigate the impact of cryptocurrency price
volatility on the stock market performance. Guided by the positivist philosophy, the
study adopted an explanatory research design and a quantitative approach. The study
used 5-year data of daily closing prices of Bitcoin, Ethereum and Cardano as well as
stock market indices such as Ghana Stock Exchange-Composite Index, Nigeria Stock
Exchange All-share Index, and Johannesburg Stock Exchange All-Share Index.
Having employed Autoregressive Distributed Lag (ARDL) and Fixed Effect panel
regression models, the study found that Cryptocurrency price volatility significantly
affects stock market performance, with Bitcoin showing a positive effect at the
country level but negative effects at the group level. Ethereum price volatility also
recorded a significant positive impact on both group and country levels, while
Cardano has a significant negative impact at both levels, except for Ghana, which
reports insignificant effects in both short and long runs and South Africa which
recorded insignificant impacts in the long run. It was concluded that both the
cryptocurrency market and the conventional stock market are not only interconnected
but also interdependent. The study, therefore, calls for clear and consistent regulatory
frameworks for cryptocurrencies, advocates for investor awareness and financial
literacy, recommends portfolio diversification to mitigate volatility and calls for
strengthened market surveillance and the exploration of market stability mechanisms
and enhanced cybersecurity measures to address risks associated with cryptocurrency
markets.
Description:
A thesis in the Department of Applied Finance and
Policy Management, School of Business, submitted to the
School of Graduate Studies, in partial fulfillment
of the requirements for award of the degree of
Master of Philosophy
(Finance)
in the University of Education, Winneba
NOVEMBER, 2023