3. Electronic Theses and Dissertations (ETDs) - All submissions
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Item Bitcoin in the South African market: a safe haven or hedge?(2022) Mhlanga, Fortune NhlanhlaCrypto-currency has been growing rapidly since its inception and this development has led to increasing interest from investment portfolio managers to understand if crypto-currency can be used as a financial asset. One of the major objectives of these managers is to minimize losses and maximize profits on the investments they made. Loss in portfolio value is always possible. Consequently portfolio managers are always searching for new, uncorrelated, asset classes that can be used to hedge their existing positions. This study seeks to understand if Bitcoin can act as a hedge or a safe haven for stocks and bonds in South Africa. The principal regression model is used to probe the weekly, monthly, and quarterly Bitcoin, stocks and bonds historical data from 2012 to 2021. This study shows that Bitcoin can act as a hedge against bonds. Results from weekly and monthly historical data show that Bitcoin can act as a hedge against stocks and a safe haven for stocks and bonds. Quarterly historical data results do not support the latter results.Item The law of one price on bitcoin(2016) Naidu, SriyaThe purpose of this study is to identify whether the Law of One Price theory holds across bitcoin exchanges in different countries given the uniquely defining characteristics of bitcoin. This was explored using Johansen’s Cointegration to extract the economic relationship between the time series sampled. It was demonstrated in the results that the Law does not always hold, however this was dependent on which bitcoin exchange is being used. Prices across the same bitcoin exchanges were likely to hold because of similar transaction costs and the ease of trading. For the time series where the Law of One price did not hold, the explanatory factors could include the bitcoin market illiquidity and purposeful disequilibrium. Bitcoin is a fairly new concept and has been press-worthy in the finance, economic and technological spheres. In South Africa, awareness of the digital currency is low, as is an understanding of its features and the impact on the economy as well as society as a whole. This study therefore aims to explore bitcoin in a finance context, in terms of the Law of One Price, while briefly gaining an understanding of the digital currency itself.