The Impact Of Bitcoin Price Volatility On Technology Sector Stock Returns On The Indonesia Stock Exchange
Keywords:
Bitcoin volatility; technology stocks; GARCH; spillover; Indonesia Stock ExchangeAbstract
This study examines whether Bitcoin price volatility affects the returns of technology sector stocks listed on the Indonesia Stock Exchange (IDX). The rapid growth of Indonesian digital companies and the increasing participation of retail investors in both crypto assets and equities raise the possibility that shocks in the crypto market spill over to the domestic technology sector. Using daily data from January 2021 to June 2026 (1,431 observations), Bitcoin’s conditional volatility is estimated with a GARCH(1,1) model with Student-t errors and then incorporated into a time-series regression of IDX Technology Sector Index (IDXTECHNO) returns, controlling for Bitcoin returns and the Jakarta Composite Index (JCI), with Newey–West standard errors. The results show that Bitcoin volatility is highly persistent and that Bitcoin returns have a positive and significant effect on technology sector returns. Over the full sample, Bitcoin volatility has a negative but statistically insignificant effect. However, sub-period analysis reveals a significant negative effect during the 2021–2022 crypto and technology boom–bust cycle, which disappears in 2023–2026. These findings suggest that the transmission of crypto market risk to Indonesian technology stocks is regime-dependent and operates mainly through return co-movement rather than volatility itself. The study offers implications for investors’ portfolio diversification and for regulators’ monitoring of cross-market spillovers.
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