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Assessing the attractiveness of cryptocurrencies in relation to traditional investments in South Africa
The dissertation examined the effect of cryptocurrencies on the portfolio risk-adjusted returns of traditional and alternative investments using daily arithmetic returns from August 2015 to October 2018 of traditional assets (South African stocks, bonds, currencies), alternative assets (commodities,...
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| Format: | Thesis |
| Language: | Eng |
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Graduate School of Business (GSB)
2019
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| _version_ | 1867613186265448448 |
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| access_status_str | Open Access |
| author | Letho, Lehlohonolo |
| author2 | Chelwa, Grieve |
| author_browse | Chelwa, Grieve Letho, Lehlohonolo |
| author_facet | Chelwa, Grieve Letho, Lehlohonolo |
| author_sort | Letho, Lehlohonolo |
| collection | Thesis |
| description | The dissertation examined the effect of cryptocurrencies on the portfolio risk-adjusted returns of traditional and alternative investments using daily arithmetic returns from August 2015 to October 2018 of traditional assets (South African stocks, bonds, currencies), alternative assets (commodities, South African real estate) and cryptocurrencies (Cryptocurrency index (CRIX) and ten other individual cryptocurrencies). This is worth investigating as cryptocurrencies have been performing well while the listed equities in South Africa and most alternative investments have been underperforming (Srilakshmi & Karpagam, 2017). The mean-variance analysis, the Sharpe ratio, the conditional value-at-risk (CVaR) and the mean-variance spanning techniques were employed to analyse the data. The spanning test carried out was the multivariate ordinary least squares (OLS) regression Wald test. The research findings showed that the inclusion of cryptocurrencies in a portfolio of investments improves the efficient frontier of the portfolio of investments and the portfolio of investments risk-adjusted returns. Moreover, the findings suggested that cryptocurrencies are good portfolio diversification assets. However, investments in cryptocurrencies should be made with caution as the risks of investments are high in relation to traditional and alternative investments. The findings of this study advocate for individual and institutional investors to include cryptocurrencies within their South African portfolio of traditional and alternative investments. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/30406 |
| institution | University of Cape Town (South Africa) |
| language | Eng |
| last_indexed | 2026-06-10T12:32:08.355Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2019 |
| publishDateRange | 2019 |
| publishDateSort | 2019 |
| publisher | Graduate School of Business (GSB) |
| publisherStr | Graduate School of Business (GSB) |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/30406 Assessing the attractiveness of cryptocurrencies in relation to traditional investments in South Africa Letho, Lehlohonolo Chelwa, Grieve Alternative assets CRIX Cryptocurrencies Efficient frontier Portfolio optimisation The dissertation examined the effect of cryptocurrencies on the portfolio risk-adjusted returns of traditional and alternative investments using daily arithmetic returns from August 2015 to October 2018 of traditional assets (South African stocks, bonds, currencies), alternative assets (commodities, South African real estate) and cryptocurrencies (Cryptocurrency index (CRIX) and ten other individual cryptocurrencies). This is worth investigating as cryptocurrencies have been performing well while the listed equities in South Africa and most alternative investments have been underperforming (Srilakshmi & Karpagam, 2017). The mean-variance analysis, the Sharpe ratio, the conditional value-at-risk (CVaR) and the mean-variance spanning techniques were employed to analyse the data. The spanning test carried out was the multivariate ordinary least squares (OLS) regression Wald test. The research findings showed that the inclusion of cryptocurrencies in a portfolio of investments improves the efficient frontier of the portfolio of investments and the portfolio of investments risk-adjusted returns. Moreover, the findings suggested that cryptocurrencies are good portfolio diversification assets. However, investments in cryptocurrencies should be made with caution as the risks of investments are high in relation to traditional and alternative investments. The findings of this study advocate for individual and institutional investors to include cryptocurrencies within their South African portfolio of traditional and alternative investments. 2019-08-01T09:07:26Z 2019-08-01T09:07:26Z 2019 2019-07-30T13:27:34Z Master Thesis Masters MBA http://hdl.handle.net/11427/30406 Eng application/pdf Graduate School of Business (GSB) Faculty of Commerce |
| spellingShingle | Alternative assets CRIX Cryptocurrencies Efficient frontier Portfolio optimisation Letho, Lehlohonolo Assessing the attractiveness of cryptocurrencies in relation to traditional investments in South Africa |
| thesis_degree_str | Master's |
| title | Assessing the attractiveness of cryptocurrencies in relation to traditional investments in South Africa |
| title_full | Assessing the attractiveness of cryptocurrencies in relation to traditional investments in South Africa |
| title_fullStr | Assessing the attractiveness of cryptocurrencies in relation to traditional investments in South Africa |
| title_full_unstemmed | Assessing the attractiveness of cryptocurrencies in relation to traditional investments in South Africa |
| title_short | Assessing the attractiveness of cryptocurrencies in relation to traditional investments in South Africa |
| title_sort | assessing the attractiveness of cryptocurrencies in relation to traditional investments in south africa |
| topic | Alternative assets CRIX Cryptocurrencies Efficient frontier Portfolio optimisation |
| url | http://hdl.handle.net/11427/30406 |
| work_keys_str_mv | AT letholehlohonolo assessingtheattractivenessofcryptocurrenciesinrelationtotraditionalinvestmentsinsouthafrica |