Publication:
An Analysis On Cryptocurrencies And Macroeconomic Variables Using Vector Error Correction Model (vecm)

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dc.contributor.authorMohamad Yazis Ali Basahen_US
dc.contributor.authorSyafiqah Ismailen_US
dc.date.accessioned2024-05-28T03:50:51Z
dc.date.available2024-05-28T03:50:51Z
dc.date.issued2021
dc.date.submitted2022-2-14
dc.description.abstractCryptocurrency symbolizes of a new development in the financial sector since it is the world's first entirely decentralized digital payment system. The cryptocurrency known as virtual money is one of the most important innovations brought on by digitalization. The purpose of this study is to analyze the relationship between the cryptocurrency (Bitcoin, Monero, and Stellar) with macroeconomics variables known as stock price index (Dow Jones dan Nikkei), oil price (Brent Oil dan WTI), and exchange rates (Australian Dollar, Euro, and Pound Sterling). The data was obtained from investing.com on monthly basis for the period between January 2016 untuil December 2020. The analysis were conducted based on unit root test, co-integration and vector error correction model (VECM) in order to identify the relationship between the three selected cryptocurrencis with macroeconomic variables. The findings of this paper showed that there is cointegration between the variables. The Vector Error Correction Model (VECM) indicates that the Bitcoin model and Stellar model did not have a long-run relationship. While for the second model, Monero found to have a long-run relationship with the variables. This research contributes to the growing study on cryptocurrency while extend and complement the literature by sourcing the latest research paper on this related field.en_US
dc.identifier.citationIsmail, S., & Ali Basah, M. Y. (2021). AN ANALYSIS ON CRYPTOCURRENCIES AND MACROECONOMIC VARIABLES USING VECTOR ERROR CORRECTION MODEL (VECM). ASEAN Journal of Management and Business Studies, 3(1), 8–15. https://doi.org/10.26666/rmp.ajmbs.2021.1.2 ‌en_US
dc.identifier.doi10.26666/rmp.ajmbs.2021.1.2 ‌
dc.identifier.epage15
dc.identifier.issn2600-9056
dc.identifier.issue1
dc.identifier.other520-45
dc.identifier.spage8
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/5149
dc.identifier.volume3
dc.language.isoenen_US
dc.publisherRMP Publicationsen_US
dc.relation.ispartofASEAN Journal of Management and Business Studiesen_US
dc.subjectBitcoin, Monero, Stellar, Dow Jones, Nikkei, Brent Oil, Australian Dollar, Euro, and Pound Sterlingen_US
dc.titleAn Analysis On Cryptocurrencies And Macroeconomic Variables Using Vector Error Correction Model (vecm)en_US
dc.typeArticleen_US
dspace.entity.typePublication

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