Volatilitas Spillover Cryptocurrency Terhadap Kinerja Industri Perbankan Dan Valuta Asing Dengan Metode Bekk Garch

  • Redzki Amaris Universitas Katolik Parahyangan
  • Maria Widyarini Universitas Katolik Parahyangan

Abstract

Volatilitas Spillover Cryptocurrency terhadap Kinerja Industri Perbankan dan Eks Asing Cryptocurrency pertama yang diluncurkan pada tahun 2014 adalah Bitcoin. Dengan munculnya aset baru ini, investor perlu melakukan analisis risk and return terhadap jenis investasi dalam kategori cryptocurrency. Penelitian ini menganalisis apakah muncul efek harga dengan adanya cryptocurrency terhadap harga saham dari bank-bank di Indonesia. Selain itu, penelitian ini juga ingin melihat dampak cryptocurrency terhadap valuta asing yang sering diperdagangkan. Penelitian ini merupakan penelitian data panel dari tahun 2015 hingga 2019, sehingga metode BEKK GARCH digunakan untuk menganalisis apakah ada efek spillover dari volatilitas yang ditimbulkan oleh Cryptocurrency terhadap saham harga penutupan Perbankan dan saham Valuta Asing. Hasil penelitian menunjukkan adanya cryptocurrency pada beberapa harga penutupan saham perbankan dan saham valuta asing. Hasil Uji BEKK GARCH menunjukkan bahwa saham perbankan dan valuta asing memiliki beberapa pengaruh yang tidak dipengaruhi oleh cryptocurrency sebagai salah satu instrumen investasi yang meningkatkan investor. Penelitian ini menyarankan untuk berinvestasi pada cryptocurrency, dengan volatilitas harga yang diperlukan dengan investasi portofolio aset saat ini.

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Published
2023-11-21
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