Can Cryptocurrency, Gold and Bonds Play a Role as a Safe Haven for the Indonesian Capital Market?
Abstract
The purpose of this research to test the cryptocurrency, gold and bonds as safe haven assets to Indonesian capital market. The data used in this study is the daily closing data of cryptocurrency, gold (GOLDIDR) and the Indonesian Government Bond Index (IGBI) during the period on August 2015 to December 2018 obtained from Investing, Yahoo Finance, and Spindices. The analysis of the data is used Ordinary Least Square (OLS) and Quantile Regression (QREG). The results found that ethereum can be a safe haven. While bitcoin, ripple, gold, and the Indonesian Government Bond Index (IGBI) cannot be a safe haven for the Indonesian capital market.
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References
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Flavin, T. J., Morley, C. E., & Panopoulou, E. (2014). Identifying safe haven assets for equity investor through an analysis of the stability of shock transmission. Journal of International Financial Markets, Institutions and Money, 33, 137–154. https://doi.org/10.1016/j.intfin.2014.08.001
Ghazali, M. F., Lean, H., & Bahari, Z. (2013). Is gold a hedge or a safe haven ? an empirical evidence of gold and stocks in Malaysia. International Journal of Business and Society, 14(3), 428–443.
Nida, F., & Pangestuti, I. R. D. (2015). Analisis pengaruh perilaku herding investor asing, volatilitas Indeks Harga Saham Gabungan, tingkat inflasi, dan kapitalisasi pasar terhadap return pasar. 4, 1–11.
Peter, DeVries. (2016). An analysis of cryptocurrency, bitcoin, and the future. International Journal of Business Management and Commerce, 1(2), 1–9. Retrieved from https://www.researchgate.net/publication/316656878_An_Analysis_of_Cryptocurrency_Bitcoin_and_the_Future
Richter, C., Kraus, S., & Bouncken, R. B. (2016). Virtual currencies like bitcoin as A paradigm shift in the field of transactions. International Business & Economics Research Journal, 14(4), 575–586. https://doi.org/10.19030/iber.v14i4.9350
Robiyanto, R. (2018). Gold vs bonds: what is the safe haven for the indonesian and Malaysian capital market? Gadjah Mada International Journal of Business, 20(3), 277–302. https://doi.org/10.22146/gamaijb.27775
Stensås, A., Nygaard, M. F., Kyaw, K., & Treepongkaruna, S. (2019). Can Bitcoin be a diversifier, hedge or safe haven tool? Cogent Economics and Finance, 7(1), 1–17. https://doi.org/10.1080/23322039.2019.1593072
Yohandi, A., Trihastuti, N., & Hartono, D. (2017). Implikasi yuridis penggunaan mata uang virtual bitcoin sebagai alat pembayaran dalam transaksi komersial (studi komparasi antara Indonesia-Singapura). Diponegoro Law Jurnal, 6(2), 1–19. https://doi.org/10.1017/S0269888907001014
Published
2021-02-28
How to Cite
HARTONO, Paulus; ROBIYANTO, Robiyanto.
Can Cryptocurrency, Gold and Bonds Play a Role as a Safe Haven for the Indonesian Capital Market?.
Jurnal Ekonomi Kuantitatif Terapan, [S.l.], p. 1-10, feb. 2021.
ISSN 2303-0186.
Available at: <https://ojs.unud.ac.id/index.php/jekt/article/view/60856>. Date accessed: 19 nov. 2024.
doi: https://doi.org/10.24843/JEKT.2021.v14.i01.p01.
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