KORELASI DINAMIS PERGERAKAN CRYPTOCURRENCY DAN INDEKS HARGA SAHAM SEKTORAL DI BURSA EFEK INDONESIA

https://doi.org/10.36441/mae.v4i1.275

Authors

Keywords:

Bitcoin, Cryptocurrency, DCC-GARCH, Indeks Sektoral

Abstract

Investor menempatkan dananya di pasar modal dan cryptocurrency. Penelitian ini mengkaji hubungan pergerakan harga cryptocurrency dengan Indeks Harga Saham Sektoral di 9 sektor industri dengan menggunakan pendekatan dinamis seperti DCC-GARCH. Tujuan penelitian untuk mengetahui korelasi dinamis pergerakan harga Bitcoin dengan 9 sektor industri pada Indeks Sektoral di Bursa Efek Indonesia (BEI). Penelitian dilakukan dengan pendekatan kuantitatif, berdasarkan data sekunder yang bersumber dari data harga penutupan harian cryptocurrency (Bitcoin). Hasil penelitian menemukan terdapat korelasi positif antara harga cryptocurrency (Bitcoin) dengan Sektor Pertambangan, Sektor Pertanian, Sektor Industri Kimia Dasar, Sektor Aneka, Sektor Properti Real Estate, Sektor Keuangan, Sektor Infrastruktur, Transportasi dan Utilitas serta Sektor Investasi, Jasa dan Perdagangan.

Published

2021-09-26

Issue

Vol. 4 No. 1 (2021): Management and Accounting Expose 2021

Section

Artikel
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