Segmentasi pasar dan dominasi volatilitas idiosinkratik: Analisis spillover antara pasar mata uang kripto global dan Indonesia

Abstract

Although the digital asset market is often assumed to be globally integrated without barriers, this study provides empirical evidence of market segmentation in Indonesia. This study analyzes volatility transmission and the degree of integration between the global market (USD) and the domestic market (IDR) for three large-cap crypto assets: Bitcoin, Ethereum, and Ripple. Using daily closing price data and a Vector Autoregression (VAR) framework, this study applies Granger Causality tests, Impulse Response Functions (IRF), and Forecast Error Variance Decomposition (FEVD). The Johansen cointegration test shows no long-term equilibrium relationship between domestic and global prices, indicating the independence of the local market. The main findings from the variance decomposition reveal the dominance of idiosyncratic factors: more than 98% of volatility in the Indonesian market is explained by internal shocks. In comparison, the spillover contribution from global markets is minimal (< 2%). These conclusions confirm that the Indonesian crypto market operates as a distinct market segment driven by local investor sentiment and domestic market frictions.