Does Regulation Trigger Volatility?
Empirical Evidence from the Bitcoin, Ethereum, and Ripple Markets in Indonesia
DOI:
https://doi.org/10.61459/ijfs.v4i1.103Keywords:
Volatility, eGARCH, PMK 50/2025, Cryptocurrency, Market ResilienceAbstract
The implementation of PMK 50/2025 marks a pivotal moment in Indonesia’s digital asset fiscal landscape through the introduction of a 0.21% final income tax and the formal transition of oversight to the Financial Services Authority (OJK). This study empirically examines whether these regulatory changes triggered volatility shocks in three major cryptocurrencies: Bitcoin (BTC), Ethereum (ETH), and Ripple (XRP). Using an ARMA(1,1)-eGARCH(1,1) model with Student-t distribution and USD returns as a global market control, we estimate conditional daily volatility over a three-period framework: Pre Announcement, Post-Announcement, and Post-Implementation. Hypothesis testing employs the Wilcoxon Rank-Sum Test (Mann-Whitney U Test), supplemented by dummy regression with Newey-West HAC standard errors, and structural break tests. The primary results reveal no statistically significant change in conditional volatility following PMK 50/2025 for all three assets (Mann Whitney U, all p>0.05). Notably, the dummy regression identifies a statistically significant reduction in Ethereum’s conditional volatility post-implementation (β=−0.000287, p=0.028), corroborated by a structural break toward stability. All assets exhibit a significant positive asymmetry (γ>0), indicating that positive shocks drive greater volatility than negative shocks — a distinctive crypto-market characteristic. Robustness checks using sGARCH(1,1) confirm the main findings. Overall, the results indicate that PMK 50/2025 was not associated with a statistically significant increase in conditional volatility during the observed event windows. These findings should be interpreted as evidence on conditional volatility response only, and do not constitute a comprehensive assessment of market quality, liquidity, or overall resilience.
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Published
06/30/2026
How to Cite
Maulana, I. (2026). Does Regulation Trigger Volatility? : Empirical Evidence from the Bitcoin, Ethereum, and Ripple Markets in Indonesia. The International Journal of Financial Systems, 4(1), 37–54. https://doi.org/10.61459/ijfs.v4i1.103
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