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

Aswin Rivai
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Aswin Rivai: Faculty of Economics Universitas Pembangunan Nasional Veteran Jakarta, Jl.Fatmawati Raya No.1, Pondok Labu, Jakarta Selatan, Indonesia

International Journal of Research in Business and Social Science (2147-4478), 2023, vol. 12, issue 3, 231-236

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

Date: 2023
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