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All Journal Journal of Business & Banking Jurnal Penelitian Pendidikan Jurnal Manajemen Indonesia Jurnal Riset Akuntansi dan Keuangan SEIKO : Journal of Management & Business Almana : Jurnal Manajemen dan Bisnis Journal of Islamic Monetary Economics and Finance JAF- Journal of Accounting and Finance Budapest International Research and Critics Institute-Journal (BIRCI-Journal): Humanities and Social Sciences Kontigensi: Jurnal Ilmiah Manajemen
Nora Amelda Rizal
Universitas Telkom, Indonesia
Religion Arts Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Industrial & Manufacturing Engineering Social Sciences

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The Relationship Between Bitcoin Returns, Volatility, And Volume Using Asymmetric Garch Modelling Carel Dwinugrahadi Kurnaman; Nora Amelda Rizal
JAF (Journal of Accounting and Finance) Vol 7 No 1 (2023): JAF - Journal of Accounting and Finance
Publisher : Telkom University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25124/jaf.v7i1.5565

Abstract

In 2020-2021 where the world experienced a Covid-19 pandemic, the price of Bitcoin increased and there was a fairly high price spike at the turn of the year 2020-2021 and had touched an all-time high (ATH) at the end of 2021. Bitcoin is one of the currencies crypto that is volatile when compared to the exchange rates of widely used currencies. In addition, Bitcoin price movements are difficult to predict. The samples used are Euro, Pound Sterling, Yuan, Yen, Ruble, Franc, and Bitcoin. The data used is in the form of Bitcoin price data and some of these currencies in 2020-2021. This study aims to find the relationship between volatility with Bitcoin trading volume, return with Bitcoin trading volume, and return with Bitcoin volatility for forecasting purposes. The research method used is the Augmented Dickey-Fuller (ADF) stationarity test, then using the ARMA model after that using the EGARCH model to find the relationship. The results of this study indicate that there is a positive relationship between volatility and Bitcoin trading volume. Just like the return and trading volume of Bitcoin there is a positive relationship. However, Bitcoin returns, and volatility have a negative relationship. For further research can use different crypto currency assets with different time periods. Keywords: Volatility, Volume, Returns, Bitcoin, GARCH
Market Efficiency of Exchange Rate of Bitcoin with Dollar and Rupiah of Foreign Exchange Markets: Weak and Semi-Strong Form Test Nora Amelda Rizal; valenchya kristina umardi
Jurnal Manajemen Indonesia Vol 21 No 2 (2021): Jurnal Manajemen Indonesia
Publisher : Fakultas Ekonomi dan Bisnis, Telkom University.

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25124/jmi.v21i2.3667

Abstract

Bitcoin is one of the cryptocurrencies that had a high rate of return since its appearance in 2009. However, the exchange rate of Bitcoin against any foreign currency is considered to have high volatility making it difficult to determine the real value of Bitcoin. The main purpose of this research is to find the value of Bitcoin, especially US Dollar and Rupiah currencies. The test is carried out using the weak market efficiency hypothesis and the semi-form market coefficient hypothesis. The data processing methods are used the stationary test (ADF, KPSS, and ERS) to test the efficiency of the weak form market and the cointegration test (Johansen Cointegration) with the VECM model to check the efficiency of the semi-strong market. The results show that the Bitcoin exchange rate does not have a unit root so it is inefficient in a weak form and has a negative effect on the USD / IDR exchange rate so that it is not efficient in semi-strong form as well as on the US Dollar and Rupiah exchange rates. This happens because Bitcoin transactions as a medium of exchange in Indonesia are still illegal. So that the Bitcoin exchange rate against the US Dollar and Rupiah exchange rates is biased because it does not reflect the available information, both historical information and public information. Keywords—Bitcoin Exchange Rate; Market Efficiency; Unit Root; Cointegration
Co-Authors Afni Latuconsina, Yuli Nurul Audi Gracia Wasisto Carel Dwinugrahadi Kurnaman Dwi Fitrizal Salim Febrilia Izza Mauris Mawhibah Hasan Almas Mirta Kartika Damayanti Muafiah, Nurlailatul Nissa Rawindadefi Risty Mega Pramadita Suhal Kusairi valenchya kristina umardi Yuanita Seruni