Cryptocurrency and Tech Stocks in Indonesia

Abstract

This study aims to test the effect of Bitcoin (BTC) and Ethereum (ETH) on the Indonesia Tech Stock Index (IDXTECHNO).BTC and ETH have the potential to become a hedge asset and haven if they are negatively correlated to IDXTECHNO.This research uses the GARCH model using daily closing prices from January 25, 2021, to April 13, 2022.The result of this study shows that BTC return has a significant negative effect on IDXTECHNO return.Hence, BTC tends to have the ability to function as a hedging instrument against IDXTECHNO.Whereas on the contrary, ETH turns out to have a significant positive effect on IDXTECHNO return.This situation signifies that ETH functions as a diversifier asset against IDXTECHNO.The upcoming research agenda will further study the testing of BTC and ETH function as a hedge asset against tech stock using a dynamic portfolio approach that can generate hedging effectiveness.