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The effect of gold, dollar and Composite Stock Price Index on cryptocurrency

Author

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  • Aswin Rivai

    (Faculty of Economics Universitas Pembangunan Nasional Veteran Jakarta, Jl.Fatmawati Raya No.1, Pondok Labu, Jakarta Selatan, Indonesia)

Abstract

This paper aims to analyze cryptocurrency volatility by examining the effect of Gold, Dollar Index, and Composite Stock Price Index (IHSG) as independent variables and on Bitcoin and Ethereum as dependent variables. The cryptocurrency objects in this study are Bitcoin and Ethereum, which have the largest market capitalization. The data in this study used the period January 1, 2018, to December 31, 2021. This study used GARCH analysis. This study's results indicate that Bitcoin's volatility is influenced by the price of Bitcoin itself, gold, and the stock exchange index, and Ethereum and the stock exchange index influence Ethereum. This shows that the cryptocurrency market is inefficient as the prices are also affected by past prices. Key Words:Cryptocurrency, bitcoin, gold, stock price index

Suggested Citation

  • Aswin Rivai, 2023. "The effect of gold, dollar and Composite Stock Price Index on cryptocurrency," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 12(3), pages 231-236, April.
  • Handle: RePEc:rbs:ijbrss:v:12:y:2023:i:3:p:231-236
    DOI: 10.20525/ijrbs.v12i3.2561
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