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Safe-haven dynamics of cryptocurrencies for the U.S. and Emerging Stock Markets Abstract

Prof. Dr. Irwan Adi Ekaputra (Pembimbing/Promotor) - ; Sigit Sulistiyo Wibowo, Ph.D (Penguji) - ; Arief Wibisono Lubis, S.E., M.F.M., M.Sc., Ph.D (Penguji) - ; Prof. Rofikoh Rokhim, SE., SIP., DEA., Ph.D (Penguji) - ; Dr. Hendrikus Passagi (Penguji) - ; Maria Ulpah, Ph.D (Penguji) - ; Mariana, Christy Dwita - ; Zaafri Ananto Husodo, S.E., M.M., Ph.D (CoPromotor) - ;

In an increasingly advanced economy with very diverse and broad investment possibilities, cryptocurrencies' characteristics as alternative investments have been widely studied. The studies are predominantly around the pro-cons in managing these cryptocurrencies. The Covid- 19 pandemic has provided a natural laboratory to study the extent of cryptocurrencies' consistency and strength as hedging or safe-haven instruments in extreme economic conditions. This study investigates the global crisis impact on the safe-haven role of two most significant cryptocurrencies based on their market capitalizations: Bitcoin and Ethereum. Furthermore, this study compares the volatility transmission between the Bitcoin and stock markets in four emerging countries: Indonesia, Malaysia, Nigeria, and South Africa. Overall results support the notion of cryptocurrencies as alternative investments. On average, the pairwise volatility spillover between Bitcoin and stock market in Indonesia, Malaysia, Nigeria, and South Africa reverted back to half of its mean in about 2-3 days. This result suggests on the choice of short-term investment for investors in the Bitcoin market. This research also proposes a regulatory framework that can be applied to the cryptocurrency market in Indonesia..17/06/2021


Ketersediaan

Call NumberLocationAvailable
DMA 0268PSB lt.dasar - Pascasarjana1
PenerbitDepok: Fakultas Ekonomi dan Bisnis Universitas Indonesia 2021
Edisi-
SubjekVolatility
Bitcoin
Pandemic
transmission
Covid-19
ethereum
safe
haven
ISBN/ISSN-
Klasifikasi-
Deskripsi Fisikxv, 196p; chart, tables, graphics, ills; 29cm
Info Detail Spesifik-
Other Version/RelatedTidak tersedia versi lain
Lampiran BerkasTidak Ada Data

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