Cryptocurrency: bitcoin and the macroeconomics factor in Malaysia – a VECM analysis

Abstract

One of the cryptocurrencies that is becoming more and more well-known as a kind of digital money is Bitcoin. The worldwide modern society can accept Bitcoin as a digital asset. Bitcoin can be used to make purchases of both goods and services online. This paper tries to uncover the significant association relating the Malaysian stock market and Bitcoin, gold, crude oil, USD, and crude palm oil. This study also looks at the causal connections between each variable and Bitcoin, determining whether the cryptocurrency has an impact on the independent variable or vice versa. The data utilized is derived from historical sources, serving as secondary informationon investing.com between September 2014 and July 2023. The data was evaluated using regression and correlation analysis, unit root testing, cointegration analysis, and vector error correction modeling to ascertain the relationship and impact of the variables. Based on the results, there is a significant associationbetween the stock market and commodities including bitcoin, gold, crude oil, US dollars, and crude palm oil. However, a statistical problem with heteroskedasticity has been found in this model. As a result, the GLS model has been recommended as an alternative to OLS regression. According to VECM, it was discovered that none of the independent variables had either a long-run or short-run association with the dependent variable. The findings of this study should help investors make future judgments on their choice of investments and the formulation of investment strategies. Before choosing to invest in Bitcoin, a number of aspects should be taken into account since this form of currency is still being studied. When making assessments or decisions, investors must also take into account the country’s internal and external environments.