The Impact of Cryptocurrency Returns on the Exchange Rate of a Country and Stock Indices: Evidence from Indonesia

Sudjono, Demetrios Joshua and Lingga, Margaretha (2021) The Impact of Cryptocurrency Returns on the Exchange Rate of a Country and Stock Indices: Evidence from Indonesia. Bachelor thesis, Swiss German University.

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Abstract

Cryptocurrencies have been gaining popularity over the years. In Indonesia, the number of investors using cryptocurrencies are steadily increasing. Especially since the legalization of cryptocurrencies as an investment in Indonesia on 2018. This study aims to find the relationships between cryptocurrency returns and the exchange rate as well as the Indonesian composite stock index returns. This research employs a granger causality analysis alongside a linear regression model to analyze the findings. The results of the analysis show that despite the increasing popularity and usage of cryptocurrencies, in Indonesia, there appears to be no prevalent effects of them on exchange rate or the composite index returns. Due to the fact that legalization in Indonesia still does not acknowledge cryptocurrencies as a transaction method, there is no impact seen on the exchange rate and stock index returns, as it does not cause disturbance to the monetary value of the Rupiah.

Item Type: Thesis (Bachelor)
Uncontrolled Keywords: Cryptocurrency, Cryptocurrency Returns, Exchange Rate, Stock Index Returns
Subjects: H Social Sciences > HF Commerce > HF5001 Business
H Social Sciences > HG Finance > HG201-1496 Money
H Social Sciences > HG Finance > HG4551 Stock exchanges
Divisions: Faculty of Business Administration and Communication > Department of Business Administration
Depositing User: Faisal Ifzaldi
Date Deposited: 30 Dec 2021 08:07
Last Modified: 30 Dec 2021 08:07
URI: http://repository.sgu.ac.id/id/eprint/2253

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