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

Abstract

This study aims to explore the potential use of the cryptocurrency bitcoin as an investment instrument in Indonesia. The return obtained from bitcoin cryptocurrency is compared to other investment instruments, namely stock returns, gold and the rupiah exchange rate. The research period was carried out based on research data from 2011 to 2020. This study employee compares means test (t test) and analysis of variance (F test) on rate of return of bitcoin investment. The bitcoin return compare to the rate of return form the others investments instruments namely exchange rate, gold and stock. The study collected 120 data of each investments instruments: bitcoin, exchange rate, gold and stock from various of sources during 2011–2020. Then, we calculate the return and risk of individual investment instruments. The results showed that the bitcoin currency had the highest rate of return 18% with a standard deviation of 61% compared to exchange rate, gold and stock returns. While the rate of return for the others investment instruments showed less than 0.5% with standard deviation less than 5%. The rate of return bitcoin has significance difference compare to the rate of return of exchange rate, gold and stock. The study contribute for the investors who would like to invest on bitcoin. The investors should understand the characteristic of bitcoin in term of rate of returns and also the risk. This study also contributes to government of Indonesia on crypto currency development. The Indonesia government should adopt and regulate on crypto currency in the future to secure the investor and economic growth.

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