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

Authors

DOI:

https://doi.org/10.30659/ijibe.8.1.40-53

Keywords:

investment, cryptocurrencies, stock markets, return and risk

Abstract

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.

References

Aves, A. (2018). How to Get Started in Cryptocurrency. Quoine Liquid.

Bakry, W., Rashid, A., Al-Mohamad, S., & El-Kanj, N. (2021). Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach. Journal of Risk and Financial Management, 14(7), 282. https://doi.org/10.3390/jrfm14070282

Becket, M. (2021). How the Stock Market Works A beginner’s guide to investment (Seventh Ed). Kogan Page Limited.

Corbet, S., Urquhart, A., & Eds, L. Y. (2020). Cryptocurrency and Blockchain Technology. In Cryptocurrency and Blockchain Technology. Walter de Gruyter GmbH. https://doi.org/10.1515/9783110660807

Cudd, M., Ritterbush, K., Eduardo, M., Smith, C., Cudd, M.,

Ritterbush, K., Eduardo, M., & Smith, C. (2018). Cryptocurrency Returns. Blockchain and Cryptocurrencies. https://doi.org/10.5772/INTECHOPEN.80397

Danial, K. (2019). Cryptocurrency Investing for Dummies. John Wiley & Sons, Inc. https://www.dummies.com/personal-finance/investing/cryptocurrency-investing-for-dummies-cheat-sheet/

Dasman, S. (2021). Analysis of Return and Risk of Cryptocurrency Bitcoin Asset as Investment Instrument. Accounting and Finance Innovations. https://doi.org/10.5772/INTECHOPEN.99910

Dirgantara, H. (2021). Mendag: Transaksi uang kripto di Indonesia tembus Rp 370 triliun. https://investasi.kontan.co.id/news/mendag-tranasaksi-uang-kripto-di-indonesia-tembus-rp-370-triliun

Ghozali, I. (2011). Aplikasi Analisis Multivariate dengan Program SPSS. Badan Penerbit Universitas Diponegoro.

Huda, N., & Hambali, R. (2020). Risiko dan Tingkat Keuntungan Investasi Cryptocurrency. Jurnal Manajemen Dan Bisnis (Performa), 17(1), 72–84. https://doi.org/10.29313/performa.v17i1.7236

Ilham. (2022). Pandangan Majelis Tarjih Terkait Mata Uang Kripto - Muhammadiyah. https://muhammadiyah.or.id/pandangan-majelis-tarjih-terkait-mata-uang-kripto/

Inci, A. C., & Lagasse, R. (2019). Cryptocurrencies: applications and investment opportunities. Journal of Capital Markets Studies, 3(2), 98–112. https://doi.org/10.1108/jcms-05-2019-0032

Jogiyanto. (2014). Teori Portofolio dan Analisis Investasi. BPFE-UGM.

Jones, C. P. (2016). Investments Analysis and Management. Wiley.

Jufridar, J., Nur Ilham, R., & Sinurat, M. (2021). Analisis Potensi dan Risiko Investasi pada Instrumen Keuangan dan Aset Digital Cryptocurrency di Indonesia. Jurnal EMT KITA, 5(1), 91–98. https://doi.org/10.35870/EMT.V5I1.425

Karthikeyan. (2020). Introduction To Stock Market. Independently Published.

Khan, S. N. (2022). The legality of cryptocurrency from an Islamic perspective: a research note. Journal of Islamic Accounting and Business Research, ahead-of-print(ahead-of-print). https://doi.org/10.1108/JIABR-02-2022-0041/FULL/XML

Liu, Y., & Tsyvinski, A. (2021). Risks and returns of cryptocurrency. Review of Financial Studies, 34(6), 2689–2727. https://doi.org/10.1093/rfs/hhaa113

MUI. (2021). Keputusan Fatwa Hukum Uang Kripto atau Cryptocurrency - Majelis Ulama Indonesia. https://mui.or.id/berita/32209/keputusan-fatwa-hukum-uang-kripto-atau-cryptocurrency/

Pho, K. H., Ly, S., Lu, R., Hoang, T. H. Van, & Wong, W. K. (2021). Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China. International Review of Financial Analysis, 74, 101674. https://doi.org/10.1016/J.IRFA.2021.101674

Rufino, C. (2019). An analysis of the risk-return profile of the daily Bitcoin prices using different variants of the GARCH Model. July, 9.

Saksonova, S., & Kuzmina-Merlino, I. (2019). Cryptocurrency as an investment instrument in a modern financial market. ВеÑтник Санкт-ПетербургÑкого УниверÑитета. Экономика, 35(2), 269–282. https://doi.org/10.21638/SPBU05.2019.205

Santoso, S. (2014). Statistik Parametrik Edisi Revisi. Elex Media Komputindo.

Setiawan, E. P. (2020). Analisis Potensi dan Risiko Investasi Cryptocurrency di Indonesia. Jurnal Manajemen Teknologi, 19(2), 130–144. https://doi.org/10.12695/jmt.2020.19.2.2

Troster, V., Tiwari, A. K., Shahbaz, M., & Macedo, D. N. (2019). Bitcoin returns and risk: A general GARCH and GAS analysis. Finance Research Letters, 30, 187–193. https://doi.org/10.1016/J.FRL.2018.09.014

Wartoyo, & Septian Haerisma, A. (2022). Cryptocurrency in The Perspective of Maqasid Al-Shariah. Afkaruna: Indonesian Interdisciplinary Journal of Islamic Studies, 18(1), 110–139. https://doi.org/10.18196/AFKARUNA.V18I1.14164

Downloads

Published

2023-03-31

Issue

Vol. 8 No. 1 (2023): March 2023

Section

Articles

License

License and Copyright Agreement
In submitting the manuscript to the journal, the authors certify that:
  • They are authorized by their co-authors to enter into these arrangements.
  • The work described has not been formally published before, except in the form of an abstract or as part of a published lecture, review, thesis, or overlay journal.
  • That it is not under consideration for publication elsewhere,
  • That its publication has been approved by all the author(s) and by the responsible authorities – tacitly or explicitly – of the institutes where the work has been carried out.
  • They secure the right to reproduce any material that has already been published or copyrighted elsewhere.
  • They agree to the following license and copyright agreement.
Copyright
Authors who publish with IJIBE agree to the following terms:
  1. Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License (CC BY-SA 4.0) that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
  2. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
  3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work.
Licensing for Data Publication
IJIBE uses a variety of waivers and licenses, that are specifically designed for and appropriate for the treatment of data:
Other data publishing licenses may be allowed as exceptions (subject to approval by the editor on a case-by-case basis) and should be justified with a written statement from the author, which will be published with the article.

Open Data and Software Publishing and Sharing
The journal strives to maximize the replicability of the research published in it. Authors are thus required to share all data, code or protocols underlying the research reported in their articles. Exceptions are permitted but have to be justified in a written public statement accompanying the article.
Datasets and software should be deposited and permanently archived inappropriate, trusted, general, or domain-specific repositories (please consult http://service.re3data.org and/or software repositories such as GitHub, GitLab, Bioinformatics.org, or equivalent). The associated persistent identifiers (e.g. DOI, or others) of the dataset(s) must be included in the data or software resources section of the article. Reference(s) to datasets and software should also be included in the reference list of the article with DOIs (where available). Where no domain-specific data repository exists, authors should deposit their datasets in a general repository such as ZENODO, Dryad, Dataverse, or others.
Small data may also be published as data files or packages supplementary to a research article, however, the authors should prefer in all cases a deposition in data repositories.

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