Introduction
Cryptocurrency, or virtual currency, has emerged as a popular investment vehicle since 2010. With over 2,000 cryptocurrencies globally, research in Indonesia has primarily focused on its legal and religious status. This descriptive-quantitative study aims to analyze the returns and risks of cryptocurrency investments by evaluating 15 high-market-cap cryptocurrencies using descriptive analysis and the GARCH(1,1) model. Findings reveal that most cryptocurrencies yield higher returns compared to traditional forex and stock markets but exhibit greater volatility and risk.
Core Keywords
- Cryptocurrency
- Investment Risks
- Bitcoin
- Volatility Clustering
- Indonesia Market
Methodology
This research employs a quantitative approach, analyzing daily return data (2018–2019) from sources like CoinGecko and Bank Indonesia. Key metrics include:
- Risk Measures: Standard deviation, Value at Risk (VaR), Conditional VaR (CVaR).
- Volatility Analysis: GARCH(1,1) model to identify heteroscedasticity.
Key Findings
- Returns: Cryptocurrencies like Bitcoin (BTC) and Binance Coin (BNB) showed returns up to 79% in 2019.
- Risks: High volatility clustering, with USDT being the least volatile.
- Comparative Performance: Cryptocurrencies outperformed IDX stocks and forex markets but with higher risk.
FAQs
1. Is cryptocurrency legal in Indonesia?
Yes, but only as a tradable commodity under BAPPEBTI regulation—not as legal tender.
2. Which cryptocurrency has the lowest risk?
Tether (USDT) exhibited the lowest volatility due to its peg to the USD.
3. How does cryptocurrency compare to stocks?
Cryptocurrencies offer higher returns but with significantly greater volatility than traditional stocks.
4. What is volatility clustering?
It refers to periods of high volatility followed by similar trends, common in crypto markets.
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Conclusion
While cryptocurrencies like Bitcoin and Ethereum present lucrative opportunities, their high-risk nature demands cautious investment strategies. Future research should explore portfolio optimization and regulatory impacts.
Keywords: Blockchain, Investment Portfolio, GARCH Model, Financial Technology, Risk Management.
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