ANALYSIS OF BITCOIN COMOVEMENT WITH FUNDAMENTAL FACTORS AND 10 CRYPTOCURRENCY IN THE BUBBLE AND CRASH EVENT THROUGH WAVELET COHERENCE METHOD

• Main Author: Yasir Hia, Khalili
• Format: Final Project
• Language: Indonesia
• Subjects: Fisika
• Online Access: https://digilib.itb.ac.id/gdl/view/38136
• Institution: Institut Teknologi Bandung

Cryptocurrency as a digital asset has become one of the recent economic conversations, especially the fluctuations in Bitcoin price. The reason is that Bitcoin has been in the biggest bubble price event in the year of 2017 and then followed by gradual crashes until the end of 2018. This event had quite an impact to some other cryptocurrency. Some fundamental factors both internally and externally affect the fluctuations of the Bitcoin price. The purpose of this study is to conduct the comovement analysis between Bitcoin price towards several fundamental factors and the comovement of 10 cryptocurrency towards Bitcoin during the biggest bubble event and crash event in the period of January 1, 2017 - December 31, 2018 which is classified as the bubble period and the crash period. The internal fundamental factors on this reasearch use the data of the number of Bitcoin transactions per day, trading volume, and hash rate. While the external fundamental factors use the price of the Nasdaq-100 index, gold price, Google Trend, the number of tweets by Twitter social media and currency price of Euro and US Dollar . This research uses the wavelet coherence method which is processed using the MATLAB program. The results of contour plot throught wavelet coherence on the internal fundamental factors indicates that comovement of Bitcoin towards number of transactions per day has the highest comovement, while on the external fundamental factors indicate that Google Trend has the highest comovement. The external factor that has the lowest comovement is shown by the comovement of Bitcoin towards the price of Nasdaq-100 index. Furthermore, the Bitcoin price moves significantly to other cryptocurrencies. Based on the results of the contour plot throught wavelet coherence for 10 cryptocurrency towards Bitcoin price, it shows that the entire of cryptocurrency is positively correlated with Bitcoin, except Tether price tends to be stable. Almost all cryptocurrency precedes Bitcoin in the bubble period, and 5 cryptocurrency is preceded by Bitcoin during the crash period. Furthermore, this research analyze the comovement based on correlation score.