Analysis of Return and Risk of Cryptocurrency Bitcoin Asset as Investment Instrument

Dasman, Sunita

doi:10.5772/intechopen.99910

Cited by 14 publications

(9 citation statements)

References 29 publications

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“…The average difference between the two groups is 0.0934210 with a positive value, meaning that the cryptocurrency group has a higher mean E-ISSN: 2502-0633, P-ISSN: 2502-4647 http://jurnal.unissula.ac.id/index.php/ijibe DOI: http://dx.doi.org/10. 30659/ijibe.8.1.40-53 than the sharia stock group, this finding is in line with research from (Dasman, 2021;Liu & Tsyvinski, 2021;Troster et al, 2019).…”

Section: Return and Risk Difference Testsupporting

confidence: 89%

“….000 a. Grouping Variable: market source: data processed 2022 Table 6 is the result of the different test for the risk variable, the Sig. (2-tailed) in the Mann Whitney test of 0.000 is smaller than 0.05 so that H0 is rejected and Ha is accepted, it means that there is a significant difference in the risk of cryptocurrencies and sharia stocks in line with research (Dasman, 2021;Jufridar et al, 2021;Liu & Tsyvinski, 2021).…”

Section: Return and Risk Difference Testsupporting

confidence: 54%

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Is Cryptocurrency Risky as An Investment Instrument? Analysis of Return and Risk with A Comparison of Sharia Stocks

Ahmadi

2023

IJIBE

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Cryptocurrency instruments show an increase in the number of investors in Indonesia, the increase in cryptocurrency investors is even bigger than the number of stock investors in the Indonesian capital market, even though stock investors also increase. The increase in stock and cryptocurrency investors is an indication that the investment climate in Indonesia is starting to improve, this must be accompanied by increased financial literacy regarding the returns and risks of an investment instrument, this research is important considering that understanding the returns and risks of an investment instrument is crucial in the decision making. The test in this study uses a descriptive statistics and independent sample t-test, if the sample does not meet the requirements of the parametric statistical test, it will use the nonparametric statistical test Mann Whitney Test, which aims to determine whether there is a difference in return and risk of cryptocurrencies and sharia stock prices for the period January 2015 to October 2021. This study finds that there are significant differences in the returns and risk of cryptocurrencies and Sharia Stocks. Based on descriptive statistics, the standard deviation of cryptocurrency returns is greater than the standard deviation of Sharia stocks, indicating that cryptocurrency risks are higher than Sharia Stocks.

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Section: Return and Risk Difference Testsupporting

confidence: 89%

Section: Return and Risk Difference Testsupporting

confidence: 54%

Is Cryptocurrency Risky as An Investment Instrument? Analysis of Return and Risk with A Comparison of Sharia Stocks

Ahmadi

2023

IJIBE

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“…Ndlovu and Chikobvu (2022) concluded that BitCoin is riskier (highly volatile) than Rand using GARCH-GPD and recommended that BitCoin traders and investors should be cautious, especially when the market enters turbulent times. Their findings tally with that of Dasman (2021) who used a statistical tests approach in comparing the average returns and volatility of BitCoin against the Indonesian Composite Index, and gold. Also, the BitCoin average returns are significantly higher than the financial assets studied.…”

Section: Literature Reviewsupporting

confidence: 64%

RiskMetrics method for estimating Value at Risk to compare the riskiness of BitCoin and Rand

Chikobvu

Ndlovu

2023

Investment Management and Financial Innovations

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In this study, the RiskMetrics method is used to estimate Value at Risk for two exchange rates: BitCoin/dollar and the South African Rand/dollar. Value at Risk is used to compare the riskiness of the two currencies. This is to help South Africans and investors understand the risk they are taking by converting their savings/investments to BitCoin instead of the South African currency, the Rand. The Maximum Likelihood Estimation method is used to estimate the parameters of the models. Seven statistical error distributions, namely Normal Distribution, skewed Normal Distribution, Student’s T-Distribution, skewed Student’s T-Distribution, Generalized Error Distribution, skewed Generalized Error Distribution, and the Generalized Hyperbolic Distributions, were considered when modelling and estimating model parameters. Value at Risk estimates suggest that the BitCoin/dollar return averaging 0.035 and 0.055 per dollar invested at 95% and 99%, respectively, is riskier than the Rand/dollar return averaging 0.012 and 0.019 per dollar invested at 95% and 99%, respectively. Using the Kupiec test, RiskMetrics with Generalized Error Distribution (p &gt; 0.07) and skewed Generalized Error Distribution (p &gt; 0.62) gave the best fitting model in the estimation of Value at Risk for BitCoin/dollar and Rand/dollar, respectively. The RiskMetrics approach seems to perform better at higher than lower confidence levels, as evidenced by higher p-values from backtesting using the Kupiec test at 99% than at 95% levels of significance. These findings are also helpful for risk managers in estimating adequate risk-based capital requirements for the two currencies.

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“…Based on Dasman (2021), the following equation is used to calculate the standard deviation of the daily return on cryptocurrencies:…”

Section: Stage Selection Of the Most Attractive Cryptocurrencies For ...mentioning

confidence: 99%

Investigation of the Feasibility of Including Different Cryptocurrencies in the Investment Portfolio for Its Diversification

Juškaitė

Gudelytė-Žilinskienė

2022

Business, Management and Economics Engineering

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Purpose – the main aim of this article is to identify cryptocurrencies suitable for investment and portfolio diversification. Research methodology – the methodology of empirical research includes methods of scientific literature analysis, statistical data analysis, multicriteria evaluation, correlation analysis. Findings – Bitcoin is the leading cryptocurrency, but this result could have been due to an exceptionally high market capitalization. Based on the results of the analysis, the inclusion of Bitcoin, Etherium and Dogecoin in the investment portfolio of S&P500, Euro Stoxx 50, DAX and CAC 40 indexes could be considered. Terra could be an interesting investment when considering the benefits of diversification. Research limitations – based on the results of the study, the inclusion of all studied cryptocurrencies in the investment portfolio could be considered in order to diversify the portfolio, taking into account their investment attractiveness. Practical implications – Cryptocurrencies attract investors not only because of the returns they receive, but also because of the absence of intermediaries, which allows them to reduce transaction costs. High returns are associated with high risks, so it is necessary to conduct as much research as possible to identify the benefits of cryptocurrencies and to find risk management strategies. One such benefit of cryptocurrencies highlighted in research is diversification. Originality/Value – the novelty of the study lies in evaluation of 10 selected cryptocurrencies according to different criteria using a multi-criteria valuation method to identify cryptocurrencies that are non-correlated or weakly correlated with traditional assets and the most suitable for investment and for portfolio diversification.

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Analysis of Return and Risk of Cryptocurrency Bitcoin Asset as Investment Instrument

Cited by 14 publications

References 29 publications

Is Cryptocurrency Risky as An Investment Instrument? Analysis of Return and Risk with A Comparison of Sharia Stocks

Is Cryptocurrency Risky as An Investment Instrument? Analysis of Return and Risk with A Comparison of Sharia Stocks

RiskMetrics method for estimating Value at Risk to compare the riskiness of BitCoin and Rand

Investigation of the Feasibility of Including Different Cryptocurrencies in the Investment Portfolio for Its Diversification

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