This study examined the interconnectedness and volatility correlation between cryptocurrency and traditional financial markets in the five largest African countries, addressing concerns about potential spillover effects, especially the high volatility and lack of regulation in the cryptocurrency market. The study employed both diagonal BEKK-GARCH and DCC-GARCH to analyze the existence of spillover effects and correlation between both markets. A daily time series dataset from January 1, 2017, to December 31, 2021, was employed to analyze the contagion effect. Our findings reveal a significant spillover effect from cryptocurrency to the African traditional financial market; however, the percentage spillover effect is still low but growing. Specifically, evidence is insufficient to suggest a spillover effect from cryptocurrency to Egypt and Morocco’s financial markets, at least in the short run. Evidence in South Africa, Nigeria, and Kenya indicates a moderate but growing spillover effect from cryptocurrency to the financial market. Similarly, we found no evidence of a spillover effect from the African financial market to the cryptocurrency market. The conditional correlation result from the DCC-GARCH revealed a positive low to moderate correlation between cryptocurrency volatility and the African financial market. Specifically, the DCC-GARCH revealed a greater integration in both markets, especially in the long run. The findings have policy implications for financial regulators concerning the dynamics of both markets and for investors interested in portfolio diversification within the two markets.

中文翻译：

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加密货币波动对非洲五个最大金融体系稳定性的影响

这项研究研究了非洲五个最大国家的加密货币与传统金融市场之间的相互关联性和波动性相关性，解决了对潜在溢出效应的担忧，特别是加密货币市场的高波动性和缺乏监管。该研究同时采用对角BEKK-GARCH和DCC-GARCH来分析两个市场之间是否存在溢出效应和相关性。采用2017年1月1日至2021年12月31日的每日时间序列数据集来分析传染效应。我们的研究结果揭示了加密货币对非洲传统金融市场的显着溢出效应；然而，溢出效应的百分比仍然很低，但正在增长。具体来说，证据不足以表明加密货币对埃及和摩洛哥的金融市场产生溢出效应，至少在短期内如此。南非、尼日利亚和肯尼亚的证据表明，加密货币对金融市场产生了温和但日益增长的溢出效应。同样，我们没有发现非洲金融市场对加密货币市场产生溢出效应的证据。DCC-GARCH 的条件相关性结果显示，加密货币波动性与非洲金融市场之间存在低至中等的正相关性。具体来说，DCC-GARCH 揭示了两个市场的更大整合，尤其是从长远来看。研究结果对涉及两个市场动态的金融监管机构以及对两个市场投资组合多元化感兴趣的投资者具有政策意义。