Cryptocurrency Safe Haven Property against Indonesian Stock Market During COVID-19

Mudita Gunawan; Achmad Herlanto Anggono

doi:10.14414/jebav.v24i1.2661

Vol. 24 No. 1 (2021), Articles

Vol. 24 No. 1 (2021)

Cryptocurrency Safe Haven Property against Indonesian Stock Market During COVID-19

Articles

DOI: 10.14414/jebav.v24i1.2661

Published 30-07-2021

Mudita Gunawan⁺⁻
Achmad Herlanto Anggono⁺⁻

Mudita Gunawan

Institut Teknologi Bandung

Achmad Herlanto Anggono

Institut Teknologi Bandung

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Keywords

cryptocurrency
safe haven
COVID-19
Jakarta composite index
DCC-GARCH model

How to Cite

Gunawan, M., & Anggono, A. H. (2021). Cryptocurrency Safe Haven Property against Indonesian Stock Market During COVID-19. Journal of Economics, Business, and Accountancy Ventura, 24(1), 121-138. https://doi.org/10.14414/jebav.v24i1.2661

This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.

Abstract

Safe-haven assets conserve their value or grow against another asset or portfolio
during market turmoil. Indonesian stock market, represented by the Jakarta compositeÂ index (JKSE), plunged in price because of COVID-19, pushing investors to look forÂ safe-havens. The cryptocurrency began to be perceived as a store of value as indicatedÂ by the transaction volume increase; hence it was expected to be a safe haven asset.Â However, cryptocurrencyâ€™s high price volatility cast doubts on its store of valueÂ effectiveness, prompting inspection for its safe haven property as well. This researchÂ aimed to predict the assets' risk and return plus investigate whether cryptocurrencyÂ is safe haven assets against the Indonesian stock market during COVID- 19. DailyÂ closing prices of JKSE, Bitcoin, Ethereum, Litecoin, and Ripple were used, then theÂ GARCH model was implemented in the forecasting. DCC-GARCH model, followedÂ by dummy variable regression, will be applied to the return data to evaluate the safeÂ haven property. The prediction projected Bitcoin as the most profitable asset and
Ripple as the riskiest. The analysis and robustness test suggested that none of theseÂ cryptocurrencies were safe haven assets during the whole observation. This indicatesÂ that investors who intend to seek safe haven investments were advised againstÂ investing in these cryptocurrencies.

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Cryptocurrency Safe Haven Property against Indonesian Stock Market During COVID-19

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