Objective - Different countries have different policies towards cryptocurrencies. In Indonesia, cryptocurrency is prohibited as a means of payment or transaction. The prohibition is stated in Bank Indonesia Regulation (PBI) Number 18/40/PBI/2016 concerning the Implementation of Payment Transaction Processing. However, cryptocurrencies are recognized as long-term commodities or investment assets, so their supervision is carried out by the Commodity Futures Trading Supervisory Agency (bappepti) and regulated in Bappebti Regulation No. 7 of 2020 concerning the Determination of the List of Crypto Assets that Can be Traded on the Crypto Asset Physical Market. This study aims to analyze the differences in return and risk on the 5 cryptocurrencies with the largest market capitalization in Indonesia.

Methodology/Technique - This research uses quantitative methods with a descriptive approach, and secondary data is used. The population in this study consisted of 383 cryptocurrencies that were legal and registered with Bappepti from 2020 to 2022. The sample was determined using purposive sampling to determine the top 5 cryptocurrencies with the largest market capitalization during the observation period from January 2020 to September 2022. The data analysis technique used the Kruskal-Wallis test.

Findings - The results showed no significant differences in return and risk between Bitcoin, Ethereum, Tether, BNB, and USD coins. Empirically, this study proves that each cryptocurrency has the same risk and return.

Novelty - This research was conducted in Indonesia with regulations that may differ from other countries towards cryptocurrencies. As a long-term commodity investment asset, this study finds empirical evidence that each cryptocurrency has the same risk and return.

Type of Paper - Empirical

Keywords: Cryptocurrency; Investment; Return; Risk; Bappepti

JEL Classification: G11; G18; G28

URI: http://gatrenterprise.com/GATRJournals/AFR/vol9.1_1.html

DOI: https://doi.org/10.35609/afr.2024.9.1(1)

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