KETIDAKSINKRONAN HARGA ANTARA XAUUSD DAN XAUUSDT: ANALISIS SPREAD, VOLATILITAS PADA BITCOIN

Abstract

ABSTRAK RONATAN FESTUS SIAHAAN. Ketidaksinkronan Harga Antara XAUUSD dan XAUUSDT: Analisis Spread, Volatilitas pada Bitcoin. Dibimbing oleh WITA JUWITA ERMAWATI. Perbedaan struktur pasar antara emas forex dan emas kripto berpotensi memicu anomali harga dan risiko eksekusi bagi trader. Penelitian ini bertujuan menganalisis ketidaksinkronan harga, anomali volatilitas, dan korelasi dinamis antara emas konvensional (XAUUSD) dan emas kripto (XAUUSDT), serta meninjau peran pergerakan Bitcoin (BTCUSDT). Pendekatan kuantitatif time-series diterapkan pada 593 observasi data intraday penutupan per 4 jam (H4) periode Desember 2025 hingga April 2026 menggunakan pemodelan Generalized Autoregressive Conditional Heteroskedasticity (GARCH) dan Dynamic Conditional Correlation (DCC)-GARCH. Hasil penelitian mengonfirmasi adanya pengelompokan volatilitas yang persisten pada kedua instrumen. Meskipun terkointegrasi secara jangka panjang, ditemukan 14 kejadian anomali selisih harga ekstrem melebihi 2000 pips secara intraday. Model DCC-GARCH membuktikan keberadaan korelasi dinamis yang kuat namun rentan terhadap guncangan pasar kripto. Implikasinya, XAUUSDT terbukti gagal berfungsi secara utuh sebagai instrumen pelindung nilai jangka pendek, sehingga pelaku pasar ritel harus memitigasi tingginya ancaman risiko eksekusi akibat distorsi harga di bursa kripto. Kata kunci: anomali spread, DCC-GARCH, emas kripto, risiko eksekusi, volatilitas

ABSTRACT RONATAN FESTUS SIAHAAN. Price Discrepancies Between XAUUSD and XAUUSDT: Analysis of Spread, Volatility, and Bitcoin. Supervised by WITA JUWITA ERMAWATI. Differences in market structures between forex gold and crypto gold potentially trigger price anomalies and Execution Risks for traders. This study aims to analyze price discrepancies, volatility anomalies, and dynamic correlations between conventional gold (XAUUSD) and crypto gold (XAUUSDT), while evaluating the role of Bitcoin (BTCUSDT) movements. A quantitative time-series approach was applied to 593 intraday 4-hour (H4) closing observations from December 2025 to April 2026 using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and Dynamic Conditional Correlation (DCC) GARCH models. The results confirmed the presence of persistent volatility clustering in both instruments. Despite long-term cointegration, there were 14 occurrences of extreme price spread anomalies exceeding 2000 pips intraday. The DCC-GARCH model proved a strong dynamic correlation, yet it remains vulnerable to crypto market shocks. In conclusion, XAUUSDT fails to function entirely as a short-term safe haven instrument, implying that retail market participants must mitigate the High threat of Execution Risks caused by price distortions in crypto exchanges. Keywords: crypto gold, DCC-GARCH, Execution Risk, spread anomaly, volatility