Pengaruh Volatilitas, Likuiditas dan Indeks Harga Minyak Dunia terhadap Return Mata Uang Kripto (Pengujian Efisiensi Pasar Bentuk Lemah) Periode Januari 2019 - Juni 2021

Abstract

Since it is first initiated by Satoshi Nakamoto in 2008, cryptocurrencies have attracted significant attention from investors. Until now, many investors have invested their money in cryptocurrencies. This research aims to prove and analyze effects of volatility, liquidity and world oil price index on cryptocurrency returns. Aside of that, it also examines whether there is a weak form of market efficiency or not. This research uses quantitative methods and secondary data, and 3 types of cryptocurrencies are taken as the samples (Bitcoin, Ethereum and Binance Coin) that are listed on coinmarketcap.com and investing.com as well as the world oil price index taken from investing.com. The analytical method employed in this research is the serial correlation test, the runs test and multiple linear regression analysis. The test results on returns show that Bitcoin, Ethereum and Binance Coin have market efficiency in a weak form, then volatility and liquidity affect cryptocurrency returns while the oil price index has no effect. Tests on returns prove that these three coins have a weak form of market efficiency.