Pengaruh volatilitas harga minyak, kurs, dan BI rate terhadap indeks harga saham gabungan 2018-2022
Article Sidebar
Main Article Content
Abstract
Macroeconomic factors that could influence IDX’s (JKSE) composite stock price index are crude oil prices, exchange rates from Rupiah to the US dollar, and BI rate. These are three independent variables that take into account several factors and situations in the world economy. The prices of crude oil are an indication of global demand. The exchange rate is based on the economic situation in Indonesia. In response to economic conditions in Indonesia, the Bank of Indonesia has a policy based on the BI Rate. These three variables indicate that when the economy is strong, the stock index also strengthens. The use of the TARCH method explains the volatilities of independent variables and their influence on dependent variables. The TARCH method is used when asymmetric volatility is present. The results of this research show crude oil prices and BI Rate positively and significantly affect the JKSE. This means when the economic condition is strong, the stock index will also be affected positively. While the Rupiah exchange rate has a negative and significant impact. This is because if the conversion rate decreases (Rupiah strengthens), it indicates that the Indonesian economy is strong. Simultaneous tests also show that all three variables influence the JKSE. These variables are examined to understand the impact of macroeconomic variables on the stock index, so readers are expected to have insights into the global economic situation before investing in stocks.
Article Details
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
This work is licensed under a Jurnal Manajemen Bisnis dan Kewirausahaan Creative Commons Attribution-ShareAlike 4.0 International License.
References
Amadeo, K. (2022, May 26). Bretton Woods system and 1944 agreement. the balance. https://www.thebalancemoney.com/bretton-woods-system-and-1944-agreement-3306133
Ambalau, P. D. V., Kumaat, R. J., & Mandeij, D. (2019). Analisis pengaruh jumlah uang beredar, kurs dan sibor terhadap suku bunga pinjaman bank umum melalui suku bunga acuan BI periode 2016:m09 - 2018:m12. Jurnal Berkala Ilmiah Efisiensi, 19(3), 23–33. https://ejournal.unsrat.ac.id/index.php/jbie/article/view/25271
Amin, M. Z., & Herawati, T. D. (2012). Pengaruh tingkat inflasi, suku bunga SBI, nilai kurs dollar (USD/IDR), dan indeks Dow Jones (DJIA) terhadap pergerakan indeks harga saham gabungan di Bursa Efek Indonesia (BEI) (Periode 2008-2011). Jurnal Ilmiah Mahasiswa FEB Universitas Brawijaya, 1(1), 1–17. https://jimfeb.ub.ac.id/index.php/jimfeb/article/view/145
Ang, R. (1997). Buku pintar pasar modal Indonesia (The intelligent guide to Indonesia capital market). Mediasoft Indonesia.
Auliana, F., & Tahmat. (2019). Pengaruh harga minyak dunia, suku bunga, inflasi dan nilai tukar terhadap harga saham sektor pertambangan pada indeks LQ45 periode 2011-2018. JEMPER (Jurnal Ekonomi Manajemen Perbankan), 1(2), 128–135. https://doi.org/10.32897/jemper.v1i2.243
Basit, A. (2020). Pengaruh harga emas dan minyak dunia terhadap indeks harga saham gabungan (IHSG) periode 2016-2019. Jurnal Aplikasi Akuntansi, 5(1), 42–51. https://doi.org/10.29303/jaa.v5i1.89
Blanchard, O., & Johnson, D. R. (2013). Macroeconomics (6th ed.). Pearson.
Broz, J. L., & Frieden, J. A. (2001). The political economy of international monetary relations. Annual Review of Political Science, 4(1), 317–343. https://doi.org/10.1146/annurev.polisci.4.1.317
Das, D., Kannadhasan, M., & Bhattacharyya, M. (2022). Oil price shocks and emerging stock markets revisited. International Journal of Emerging Markets, 17(6), 1583–1614. https://doi.org/10.1108/IJOEM-02-2020-0134
Devi, S. S. (2021). Pengaruh inflasi dan nilai tukar/kurs terhadap indeks harga saham gabungan (IHSG) yang terdaftar di Bursa Efek Indonesia (BEI) pada masa pandemi Covid-19 bulan Januari-Desember tahun 2020. JIMEN: Jurnal Inovatif Mahasiswa Manajemen, 1(2), 139–149. https://jom.universitassuryadarma.ac.id/index.php/jimen/article/view/31
Fabozzi, F. J. (1999). Manajemen investasi 1. Salemba Empat.
Hanoeboen, B. R. (2017). Analisis pengaruh harga minyak dunia, nilai tukar rupiah, inflasi dan suku bunga SBI terhadap indeks harga saham gabungan (IHSG). Jurnal Cita Ekonomika, 11(1), 35–40. https://doi.org/10.51125/citaekonomika.v11i1.2630
Hens, T. (2004). Advance portfolio theory (Lecture notes). NHH.
Jayaprana, O. (2014). Perbandingan return saham LQ45 di Bursa Efek Indonesia dengan menggunakan capital asset pricing model (CAPM) dan arbitrage pricing theory (APT) [Thesis, Universitas Pendidikan Indonesia]. https://repository.upi.edu/12516/
Jogiyanto. (2014). Teori portofolio dan analisis investasi (8th ed.). BPFE.
Kasmir. (2009). Bank dan lembaga keuangan lainnya. Rajawali Pers.
Koesoemadinata, R. P. (1987). Reef carbonate exploration, Program IWPL-Migas. Institut Teknologi Bandung.
Kozeliski, B. (2021a). What is the arbitrage pricing theory? [Video]. https://www.youtube.com/watch?v=wZsPfHUt6xs
Kozeliski, B. (2021b). What is the capital asset pricing model? [Video]. https://www.youtube.com/watch?v=O3MMz3ZpWtQ
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13–37. https://doi.org/10.2307/1924119
Mahendra, A., Amalia, M. M., & Leon, H. (2022). Analisis pengaruh suku bunga, harga minyak dunia, harga emas dunia terhadap indeks harga saham gabungan dengan inflasi sebagai variabel moderating di Indonesia. Owner: Riset & Jurnal Akuntansi, 6(1), 1069–1082. https://doi.org/10.33395/owner.v6i1.725
Markowitz, H. M. (1959). Portfolio selection: Efficient diversification of investments. Yale University Press.
Markowitz, H. M. (2009). The utility of wealth. Journal of Political Economy, 60(2), 43–50. https://doi.org/10.1086/257177
Masri, Z. A. H., & Hadi, S. (2016). Nilai tukar dan kedaulatan Rupiah. Sosio E-Kons, 8(1), 62–71. https://doi.org/10.30998/sosioekons.v8i1.771
Mishkin, F. S. (2008). Ekonomi uang, perbankan, dan pasar keuangan (L. Soelistianingsih & B. Yulianita G. (trans.)). Salemba Empat.
Ningsih, M. M., & Waspada, I. (2018). Pengaruh BI rate dan inflasi terhadap indeks harga saham gabungan (Studi pada indeks properti, real estate, dan building construction, di BEI periode 2013 - 2017). Manajerial, 17(2), 247–258. https://doi.org/10.17509/manajerial.v17i2.11664
Noor, M. H., & Dutta, A. (2017). On the relationship between oil and equity markets: Evidence from South Asia. International Journal of Managerial Finance, 13(3), 287–303. https://doi.org/10.1108/IJMF-04-2016-0064
Pratikno, D. (2009). Analisis pengaruh nilai tukar rupiah, inflasi, SBI, dan indeks Dow Jones terhadap pergerakan indeks harga saham gabungan (IHSG) di Bursa Efek Indonesia (BEI) [Master Theses, Universitas Sumatera Utara]. https://repositori.usu.ac.id/handle/123456789/42732
Purba, B., Purba, D. S., Purba, P. B., Nainggolan, P., Susanti, E., Damanik, D., Parinduri, L., Lie, D., Fajrillah, Rahman, A., Basmar, E., & Sudarmanto, E. (2021). Ekonomi internasional. Kita Menulis.
Salvatore, D. (1992). Theory and problems of microeconomic theory (3rd ed.). McGraw-Hill.
Shabbir, A., Kousar, S., & Batool, S. A. (2020). Impact of gold and oil prices on the stock market in Pakistan. Journal of Economics, Finance and Administrative Science, 25(50), 279–294. https://doi.org/10.1108/JEFAS-04-2019-0053
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x
Sitompul, E. T. F., & Setyawan, I. R. (2021). Pengaruh inflasi, suku bunga SBI dan jumlah uang beredar terhadap indeks harga saham gabungan (IHSG) dengan model Arch-Garch. Jurnal Manajerial dan Kewirausahaan, 3(3), 688–698. https://doi.org/10.24912/jmk.v3i3.13152
Spahija, D., & Xhaferi, S. (2018). Fundamental and technical analysis of the stock price. International Scientific Journal Monte, 1(1), 5–11. https://doi.org/10.33807/monte.1.201904160
Sunariyah. (2011). Pengantar pengetahuan pasar modal (6th ed.). UPP STIM YKPN.
Suryanto. (2017). Pengaruh harga minyak dan emas terhadap indeks harga saham gabungan di Bursa Efek Indonesia. JURISMA : Jurnal Riset Bisnis & Manajemen, 7(1), 1–13. https://doi.org/10.34010/jurisma.v7i1.439
Tandelilin, E. (2010a). Dasar-dasar manajemen investasi. In Manajemen Investasi (p. 34). Kanisius.
Tandelilin, E. (2010b). Portofolio dan investasi: Teori dan aplikasi. Kanisius.
The U.S. Energy Information Administration (EIA). (2023). Oil and petroleum products explained. EIA. https://www.eia.gov/energyexplained/oil-and-petroleum-products/prices-and-outlook.php#:~:text=Crude oil prices are driven,goods from producers to consumers
Timotius, & Setyawan, I. R. (2023). Pengaruh pertumbuhan, leverage, profitabilitas, dan kebijakan dividen terhadap nilai perusahaan. Jurnal Manajerial dan Kewirausahaan, 5(1), 56–65. https://doi.org/10.24912/jmk.v5i1.22513
Widoatmodjo, S. (2005). Cara sehat investasi di pasar modal: Pengantar menjadi investor profesional. Elex Media Komputindo.
Wismantara, S. Y., & Darmayanti, N. P. A. (2017). Pengaruh nilai tukar, suku bunga dan inflasi terhadap indeks harga saham gabungan di Bursa Efek Indonesia. E-Jurnal Manajemen Universitas Udayana, 6(8), 4391–4421. https://ojs.unud.ac.id/index.php/Manajemen/article/view/31426