INTERMARKET INFLUENCE BETWEEN TRADITIONAL STOCK MARKETS AND CRYPTOCURRENCIES: A CASE STUDY OF JSX AND BTC
DOI:
https://doi.org/10.35794/jmbi.v11i1.57609Abstrak
Penelitian ini mengeksplorasi dinamika intermarket antara Indeks Harga Saham Gabungan (IHSG) Jakarta dan Bitcoin (BTC), dengan fokus pada perilaku mereka selama periode stres pasar, seperti pandemi COVID-19. Dengan menggunakan data historis dari tahun 2017 hingga 2024, penelitian ini menerapkan analisis volatilitas, model Vector Autoregression (VAR), dan analisis korelasi untuk menyelidiki spillover volatilitas dan interdependensi antara dua pasar yang berbeda ini. Temuan menunjukkan bahwa BTC menunjukkan volatilitas yang jauh lebih tinggi dibandingkan dengan IHSG dan USD/IDR, menegaskan sifat risiko tinggi dari cryptocurrency. Studi ini juga mengungkapkan bahwa meskipun terdapat spillover volatilitas dari IHSG ke BTC, pengaruh sebaliknya kurang menonjol, menunjukkan bahwa pasar saham tradisional dapat memengaruhi pasar cryptocurrency selama periode stres ekonomi. Hasil penelitian ini memiliki implikasi penting bagi investor, menyoroti perlunya pengelolaan risiko dan strategi diversifikasi portofolio yang cermat, terutama di pasar negara berkembang seperti Indonesia.
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