ANALYSIS OF THE IMPACT OF CRYPTO CRASH, DAY OF THE WEEK EFFECT, AND LAG VOLATILITY ON THE VOLATILITY OF CRYPTO ASSETS ON COINMARKETCAP FOR THE PERIOD OF 2018-2023
Keywords:
Crypto Crash, Day of the Week Effect, Lag Volatility, VolatilityAbstract
Akhir-akhir ini, terjadi lonjakan aktivitas aset kripto yang dipicu oleh peningkatan penggunaan internet, yang membuat aset kripto semakin menarik bagi investor. Penelitian ini bertujuan untuk menguji hubungan antara Crypto Crash dan Day of the Week Effect terhadap Volatility aset kripto di bursa berjangka. Penelitian ini menggunakan jenis penelitian verifikatif, menggunakan metode explanatory survey, dan statistik kuantitatif pada data time series sekunder. Uji regresi data panel diterapkan untuk analisis ini. Hasil penelitian menunjukkan bahwa Crypto Crash dan Lag Volatility berpengaruh positif; Day of the Week Effect mempunyai pengaruh negatif dan tidak berpengaruh secara parsial, tetapi berpengaruh secara simultan. Analisis secara simultan menunjukkan bahwa 88,19% variabilitas Volatility dari aset kripto lulus uji validitas instrumen dan dapat dijelaskan oleh nilai seluruh variabel independen.
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