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All Journal Journal of Accounting and Investment Jurnal Ekonomi & Studi Pembangunan Mutiara Medika: Jurnal Kedokteran dan Kesehatan BALANCE: Economic, Business, Management and Accounting Journal Journal of Economics Research and Social Sciences Journal of Advances in Accounting, Economics, and Management Journal of Business and Halal Industry Journal of Waqf and Islamic Economic Philanthropy Economic and Finance in Indonesia Optimum: Jurnal Ekonomi dan Pembangunan
Darsono, Susilo Nur Aji Cokro
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Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Health Professions Medicine & Pharmacology Social Sciences

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Can bitcoin serve as a reliable safe haven? Amid uncertainty and volatility Nugraha, Pazri; Saptutyningsih, Endah; Nguyen, Tran Thai Ha; Darsono, Susilo Nur AJi Cokro
Journal of Accounting and Investment Vol. 27 No. 1: January 2026
Publisher : Universitas Muhammadiyah Yogyakarta, Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.18196/jai.v27i1.28742

Abstract

Research aims: This study examines whether Bitcoin can serve as a safe-haven asset amid global market uncertainty during the 2022–2025 period, characterized by geopolitical tensions, post-pandemic inflation, and heightened financial volatility.Design/Methodology/Approach: The study employs a quantitative approach using daily data on Bitcoin, gold, oil, the S&P 500 index, and the Volatility Index (VIX) from January 2022 to June 2025. All variables are transformed into logarithmic returns and analyzed using an ARCH model to capture time-varying volatility and assess the influence of global market factors on Bitcoin returns..Research findings: The empirical results indicate that the VIX has a statistically significant negative effect on Bitcoin returns, implying that rising global uncertainty weakens rather than strengthens Bitcoin’s value. The S&P 500 exerts a significant positive influence, showing that Bitcoin moves pro-cyclically with equity markets and behaves like a risky asset. Oil prices have no significant impact, while gold returns exhibit a significant but unstable co-movement, lacking consistent value preservation. Overall, these findings reject Bitcoin’s safe-haven role and characterize it as a speculative digital asset with high sensitivity to stock market dynamics.Theoretical contribution/Originality: This study contributes to the safe-haven and digital finance literature by providing recent empirical evidence that distinguishes Bitcoin from genuine safe-haven assets. Grounded in formal safe-haven theory and volatility dynamics, it challenges the “digital gold” narrative and clarifies the boundary between high-risk digital assets and traditional safe havens.Practitioner/Policy implication: For investors, the results of this study confirm the need for caution in treating Bitcoin as a portfolio diversification instrument, as its behavior is more like that of a risky asset than a hedge asset. For Policymakers and regulators, these results show the importance of public education regarding Bitcoin's volatility risks and its limitations as a safe haven.
Pandemic shocks and time-varying weak-form efficiency in ASEAN foreign exchange markets: An empirical investigation Pinjaman, Saizal; Kok, Sook Ching; Aralas, Sarma; Basuki, Agus Tri; Hadi, Syamsul; Nugraha, Pazri; Darsono, Susilo Nur Aji Cokro
Optimum: Jurnal Ekonomi dan Pembangunan Vol. 16 No. 1 (2026)
Publisher : Universitas Ahmad Dahlan

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.12928/optimum.v16i1.15560

Abstract

This study examines the weak-form Efficient Market Hypothesis (EMH) for the selected ASEAN exchange rates—Brunei Darussalam, Indonesia, the Philippines, Singapore, and Thailand—relative to the U.S. dollar (USD) over three distinct phases: pre-COVID-19 (2010–2019), during COVID-19 (2020–2021), and post-COVID-19 (2022–2023). Using monthly nominal exchange-rate data from the World Bank and applying the Augmented Dickey–Fuller (ADF) unit root test, the study evaluates whether these exchange rates exhibit random-walk behavior consistent with weak-form efficiency. The results reveal that all ASEAN currencies were I(1) and efficient before the pandemic, supporting the weak-form EMH. However, efficiency deteriorated during COVID-19, particularly for Malaysia and Singapore, where exchange rates became stationary at level, indicating short-term predictability due to policy interventions and market disruptions. In the post-pandemic period, Malaysia and Singapore regained efficiency, while Indonesia and Thailand exhibited partial mean-reverting tendencies, reflecting gradual market normalization. Descriptive statistics further confirm increased volatility during the pandemic and partial stabilization thereafter. Overall, the findings suggest that ASEAN exchange-rate efficiency is time-varying, resilient under stable conditions but vulnerable during systemic shocks. Policy recommendations include enhancing monetary transparency, promoting flexible exchange-rate management, and strengthening regional financial coordination to sustain efficiency during future crises.
Geopolitical risks, bitcoin, economic policy uncertainty, and global commodity prices as determinants of sustainable stock market performance: Evidence from Brazil Darsono, Susilo Nur Aji Cokro; Handayani, Sintia; Mutiara, Intan; Nguyen, Tran Thai Ha; Chong, Fennee; Johari, Sobar M.
Jurnal Ekonomi & Studi Pembangunan Vol. 27 No. 1: April 2026
Publisher : Universitas Muhammadiyah Yogyakarta

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Abstract

This study investigates the short-run and long-run effects of geopolitical risk (GPR), Bitcoin (BTC) prices, economic policy uncertainty (EPU), world oil prices, world gold prices, and the Dow Jones Sustainability Index (DJSI) on Brazil's Corporate Sustainability Index (ISE B3). Employing monthly data from January 2019 to December 2024 and the Autoregressive Distributed Lag (ARDL) bounds-testing framework, the analysis reveals asymmetric and time-horizon-dependent dynamics. In the short run, gold prices exert a statistically significant negative effect on the ISE B3, consistent with asset-substitution behavior under market stress, whereas the DJSI exerts a positive and significant influence, reflecting the transmission of global sustainability sentiment. In the long run, EPU and oil prices impose significant negative effects, while GPR and Bitcoin exert significant positive effects on the index. A robustness specification excluding DJSI confirms that the core results for EPU, oil, GPR, and Bitcoin are stable, while revealing that omitting the global sustainability benchmark modestly amplifies the estimated magnitudes of GPR and Bitcoin suggesting partial overlap in the channels through which global sentiment affects the ISE B3. These findings contribute to the nascent literature on the macrofinancial determinants of emerging-market sustainability indices and provide actionable insights for portfolio managers, ESG-oriented investors, and policymaker’s.
Co-Authors Agus Tri Basuki Aralas, Sarma Chong, Fennee Diah Setyawati Dewanti Endah Saptutyningsih Fadzlul Rahman, Ferry Fathimah, Rukshana Firman, Afrizal Hafsah Fajar Jati Handayani, Sintia Hanim, Anggia Latifah Hermawan, Dedy Tri Hoa Thi Nguyen Huda, Adinda Salshabilla Zhauza Ibnu Hajar Jarita Duasa Jati, Hafsah Fajar Johari, Sobar M. Khusniati, Navi'ah Kok, Sook Ching Latifah Dian Iriani, Latifah Dian Luthfiya, Kyla Alifiya Syahla Ma'la, Ainun Mareta, Sukma Nur Ma’la, Ainun Mutiara, Intan Muttaqin, Ecky Imamul Nguyen Tran Thai Ha Nguyen, Tran Thai Ha Nugraha, Pazri Nurul Isnaini Oktaviani, Lisa Wahidatul Pachmi, Anisya Phan Gia Quyen Pinjaman, Saizal Primambudi, Ganjar Puspitasari, Nanda Putri Putra, Dedek Rahmawati, Dea Cici Raihana, Mitha Riska, Amalia Rohmawati, Anita Suphanchaimat, Nongluck Syamsul Hadi Thipwong, Phanee Tran Dang Thanh Minh Wing-Keung Wong Yudhi, Wahdi April Salasi