Efisiensi pertukaran mata uang cryptocurrency menggunakan model sharpe ratio

Ghoni, Muhammad Abdul and Hotimah, Husnul (2022) Efisiensi pertukaran mata uang cryptocurrency menggunakan model sharpe ratio. Discussion Paper. Universitas Al-Azhar Indonesia, Jakarta. (Unpublished)

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Abstract

Cryptocurrency is a virtual currency that is equipped with a decentralized payment system. The purpose of this study is to determine the performance and differences in sharpe values on the three cryptocurrecy assets, namely Bitcoin (BTC), XRP, and Wrapped Bicoin (WBTC) on Southeast Asian exchanges, namely the Indodax (Indonesia), DragonEX (Thailand), AscendEX/Bitmax ( Vietnam) and find out if there are arbitrage opportunities between these exchanges. This study applies a quantitative approach with the sharpe ratio method. With the research period during the Covid-19 pandemic (07 January 2020 - 28 March 2021). The results show that from the three crypto assets there is a difference in the value of shrpe with a significance value of =5% or 0.05 which always involves the Indodax and Bitmax exchanges so that there is an arbitrage opportunity between the two exchanges.

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