Analisis Pengaruh Harga Minyak Mentah dan Nilai Tukar terhadap Indeks Harga Saham Gabungan (IHSG) di Indonesia
DOI:
10.47709/jebma.v4i1.3451Keywords:
ECM; stock price; nominal exchange rate; oil price.Dimension Badge Record
Abstract
Penelitian ini dilakukan untuk menganalisis pengaruh harga minyak mentah dan nilai tukar terhadap indeks harga saham gabungan (IHSG) di Indonesia menggunakan Error Correction Model (ECM). Indonesia sebagai negara berkembang memerlukan penelitian terkait hal ini untuk mengkaji pengaruh simultan antara harga minyak dan nilai tukar terhadap kondisi pasar saham yang direpresentasikan oleh indeks harga saham gabungan. Studi ini menggunakan data bulanan harga minyak mentah, kurs nominal rupiah terhadap dolar AS, dan IHSG dari Januari 2018 sampai Oktober 2023. Hasil penelitian menunjukkan bahwa harga minyak mentah, IHSG, dan nilai tukar terbukti memiliki hubungan jangka panjang ditandai dengan adanya kointegrasi yang signifikan. Harga minyak mentah dan nilai tukar terbukti signifikan mempengaruhi indeks harga saham gabungan secara simultan, baik dalam jangka panjang maupun jangka pendek. Estimasi model jangka panjang dan jangka pendek menunjukkan bahwa IHSG secara signifikan negatif dipengaruhi oleh nilai tukar. Dibutuhkan waktu 1 bulan untuk pertumbuhan IHSG mencapai keseimbangan jangka panjang. Hasil penelitian diharapkan dapat memberikan referensi bagi investor dalam pengambilan keputusan investasi yang dilakukan. Hasil penelitian ini diharapkan memberikan gambaran kepada pemerintah tentang pentingnya variabel makroekonomi, sehingga pemerintah tidak hanya mempertimbangkan pengaruh satu variabel saja dalam membuat keputusan terkait perekonomian Indonesia. Bagi Bank Indonesia hendaknya menetapkan kebijakan moneter yang efektif dengan meminimalkan dampak buruk harga minyak dan nilai tukar terhadap indeks harga saham gabungan.
Abstract viewed = 326 times
References
Adam, P., Rianse, U., Cahyono, E., & Rahim, M. (2015). Modeling of the dynamics relationship between world crude oil prices and the stock market in Indonesia. International Journal of Energy Economics and Policy, 5(2), 550–557.
Adwendi, S. J., & Kartiasih, F. (2016). Penggunaan Error Correction Mechanism dalam Analisis Pengaruh Investasi Langsung Luar Negeri Terhadap Pertumbuhan Ekonomi Indonesia. Statistika: Journal of Theoretical Statistics and Its Applications, 16(1), 17–27. https://doi.org/10.29313/jstat.v16i1.1767
Asteriou, D., Masatci, K., & Pilbeam, K. (2016). Exchange rate volatility and international trade: International evidence from the MINT countries. Economic Modelling, 58(November 2013), 133–140. https://doi.org/10.1016/j.econmod.2016.05.006
Basher, S. A., Haug, A. A., & Sadorsky, P. (2012). Oil prices, exchange rates and emerging stock markets. Energy Economics, 34(1), 227–240. https://doi.org/10.1016/j.eneco.2011.10.005
Beureukat, B., & Andriani, E. Y. (2021). Pengaruh Harga Minyak Dunia, Indeks Dow Jones dan Indeks Hang Seng terhadap Indeks Harga Saham Gabungan Periode 2016-2020. Oikonomia: Jurnal Manajemen, 17(1), 1. https://doi.org/10.47313/oikonomia.v17i1.1129
Blau, B. M. (2018). Exchange rate volatility and the stability of stock prices. International Review of Economics and Finance, 58(March), 299–311. https://doi.org/10.1016/j.iref.2018.04.002
Boef, S. De. (2001). Excellent paper for diff. ecm estimator see 1st para p6 and sec 3.1 & 3.2 (EG 2-step, one step by Banerjee, but no details for johansen).pdf. 78–94.
BP PLC. (2023). Statistical Review of World Energy 2023. BP Energy Outlook 2023, 70, 8–20.
Çelik, M. K., Akta?, Z., Kurtaran, A., & Kurtaran, A. T. (2019). The relationship between the oil prices and stock prices: An application in BIST chemical, oil, plastic index. International Journal of Energy Economics and Policy, 9(6), 165–170. https://doi.org/10.32479/ijeep.8269
Cueppers, L., & Smeets, D. (2015). How do oil price changes affect german stock returns? International Journal of Energy Economics and Policy, 5(1), 321–334.
Cunado, J., & Perez de Gracia, F. (2014). Oil price shocks and stock market returns: Evidence for some European countries. Energy Economics, 42, 365–377. https://doi.org/10.1016/j.eneco.2013.10.017
Darmawan, I., Siregar, H., Hakim, D. B., & Manurung, A. H. (2020). The Effect of Crude Oil Price Shocks on Indonesia Stock Market Performance. Jurnal Organisasi Dan Manajemen, 16(1), 11–23. https://doi.org/10.33830/jom.v16i1.785.2020
de Jesus, D. P., Lenin Souza Bezerra, B. F., & da Nóbrega Besarria, C. (2020). The non-linear relationship between oil prices and stock prices: Evidence from oil-importing and oil-exporting countries. Research in International Business and Finance, 54(March), 101229. https://doi.org/10.1016/j.ribaf.2020.101229
Desfiandi, A., Desfiandi, A., & Ali, H. (2017). International Journal of Economics and Financial Issues Composite Stock Price Index (IHSG) Macro Factor in Investment in Stock (Equity Funds). International Journal of Economics and Financial Issues, 7(3), 534–536. http:www.econjournals.com
Dickey, D. A., & Fuller, W. A. (2012). Journal of the American Statistical Association Distribution of the Estimators for Autoregressive Time Series with a Unit Root Distribution of the Estimators for Autoregressive Time Series With a Unit Root. July 2015, 37–41. https://doi.org/10.1080/01621459.1979.10482531
Durova, K. L. (n.d.). The impact of absorbed ndonesi funds on the economic growth of ndonesi and new member states.
Endri, E., Rinaldi, M., Ian, D. A., Saing, B., & Aminudin, A. (2020). Oil price and stock return: Evidence of mining companies in Indonesia. International Journal of Energy Economics and Policy, 11(2), 110–114. https://doi.org/10.32479/ijeep.10608
Ginting, C. P., & Kartiasih, F. (2019). Analisis Ekspor Kopi Indonesia Ke Negara-Negara Asean. Jurnal Ilmiah Ekonomi Dan Bisnis, 16(2), 143–157. https://doi.org/10.31849/jieb.v16i2.2922
Hanifah, N., & Kartiasih, F. (2018). Determinan Impor Serat Kapas di Indonesia Tahun 1975-2014 (Pendekatan Error Correction Mechanism). Media Statistika, 11(2), 119–134. https://doi.org/10.14710/medstat.11.2.119-134
Hawari, R., & Kartiasih, F. (2017). Kajian Aktivitas Ekonomi Luar Negeri Indonesia Terhadap Pertumbuhan Ekonomi Indonesia Periode 1998-2014. Media Statistika, 9(2), 119. https://doi.org/10.14710/medstat.9.2.119-132
Jain, A., & Biswal, P. C. (2016). Dynamic linkages among oil price, gold price, exchange rate, and stock market in India. Resources Policy, 49, 179–185. https://doi.org/10.1016/j.resourpol.2016.06.001
Juita, W. & A. (2014). Analisis Pertumbuhan Ekonomi, Dan Indeks Harga Saham Gabungan Di Indonesia. Jurnal Kajian Ekonomi, 1, 1–19.
Kartiasih, F., & Setiawan, A. (2020). Aplikasi Error Correction Mechanism Dalam Analisis Dampak Pertumbuhan Ekonomi, Konsumsi Energi Dan Perdagangan Internasional Terhadap Emisi Co2 Di Indonesia. Media Statistika, 13(1), 104–115. https://doi.org/10.14710/medstat.13.1.104-115
Komang, N., Tulus Sawitri, A., Darmita, M. Y., & Dwitrayani, M. C. (2023). Pengaruh Inflasi, Suku Bunga, Dan Harga Minyak Dunia Terhadap Indeks Harga Saham Gabungan (Studi pada Bursa Efek Indonesia Periode 2018-2021). Journal Research of Accounting (JARAC, 4(2), 290–303. www.bi.go.id
Kumar, S. (2019). Asymmetric impact of oil prices on exchange rate and stock prices. Quarterly Review of Economics and Finance, 72, 41–51. https://doi.org/10.1016/j.qref.2018.12.009
Laura, G. D., Chasanah, R. N., Faridah, N., & Kartiasih, F. (2023). Assessing Fiscal Sustainability in Indonesia?: Error Correction Mechanism Diagnostic. Jurnal Ekonomi Pembangunan, 21(June), 49–60. https://doi.org/10.29259/jep.v21i1.19624
Le, T. H., & Chang, Y. (2015). Effects of oil price shocks on the stock market performance: Do nature of shocks and economies matter? Energy Economics, 51, 261–274. https://doi.org/10.1016/j.eneco.2015.06.019
Lufy Andriyani, E., & Setyawati, E. (2023). Analysis of the Effect of Inflation, Exchange Rates, BI Rate and World Oil Prices on Jakarta Composite Index on the Idx. Proceeding Medan International Conference Economics and Business, 1(January), 1875–1881. www.investing.com
Maghfuriyah, A., Ferdous Azam, S. M., & Shukri, S. (2019). Market structure and ndones banking performance in ndonesia: An error correction model. Management Science Letters, 9(9), 1407–1418. https://doi.org/10.5267/j.msl.2019.5.010
Masih, R., Peters, S., & De Mello, L. (2011). Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea. Energy Economics, 33(5), 975–986. https://doi.org/10.1016/j.eneco.2011.03.015
Maulana, A., & Kartiasih, F. (2017). Analisis Ekspor Kakao Olahan Indonesia ke Sembilan Negara Tujuan Tahun 2000–2014. Jurnal Ekonomi Dan Pembangunan Indonesia, 17(2), 103–117. https://doi.org/10.21002/jepi.v17i2.664
Miamo, C. W., & Achuo, E. D. (2022). Can the resource curse be avoided? An empirical examination of the nexus between crude oil price and economic growth. SN Business & Economics, 2(1), 1–23. https://doi.org/10.1007/s43546-021-00179-x
Miller, J. I., & Ratti, R. A. (2009). Crude oil and stock markets: Stability, instability, and bubbles. Energy Economics, 31(4), 559–568. https://doi.org/10.1016/j.eneco.2009.01.009
Mishra, P., Pandey, C. M., Singh, U., Gupta, A., Sahu, C., & Keshri, A. (2019). Descriptive statistics and normality tests for statistical data. Annals of Cardiac Anaesthesia, 22(1), 67–72. https://doi.org/10.4103/aca.ACA_157_18
Narayan, P. K., & Narayan, S. (2010). Modelling the impact of oil prices on Vietnam’s stock prices. Applied Energy, 87(1), 356–361. https://doi.org/10.1016/j.apenergy.2009.05.037
Ningsih, Y. P., & Kartiasih, F. (2019). Dampak Guncangan Pertumbuhan Ekonomi Mitra Dagang Utama terhadap Indikator Makroekonomi Indonesia. Jurnal Ilmiah Ekonomi Dan Bisnis, 16(1), 78–92. https://doi.org/https://doi.org/10.31849/jieb.v16i1.2307
Novitasari, I. (2013). Pengaruh inflasi, harga minyak mentah Indonesia, dan suku bunga (BI rate) terhadap indeks harga saham gabungan (IHSG) (data per bulan periode 2006-2012). Jurnal Ilmiah Mahasiswa FEB, 1(2), 1–13.
Permadhy, R. N. H. S. dan Y. T. (2022). Analisis Pengaruh Faktor Makroekonomi Indeks Global Terhadap Indeks Harga Saham Gabungan Bursa Efek Indonesia. Jurnal Economia, Volume 14, Nomor, 1(1), 66–81.
Rachma Safitri, V., & Kartiasih, F. (2019). Daya Saing dan Faktor-Faktor yang Mempengaruhi Ekspor Nanas Indonesia. Jurnal Hortikultura Indonesia, 10(1), 63–73. https://doi.org/10.29244/jhi.10.1.63-73
Rafailidis, P., & Katrakilidis, C. (2014). The relationship between oil prices and stock prices: a nonlinear asymmetric cointegration approach. Applied Financial Economics, 24(12), 793–800. https://doi.org/10.1080/09603107.2014.907476
Rai, K., & Garg, B. (2021). Dynamic correlations and volatility spillovers between stock price and exchange rate in BRIICS economies: evidence from the COVID-19 outbreak period. Applied Economics Letters, 29(8), 738–745. https://doi.org/10.1080/13504851.2021.1884835
Saputri, N. F., & Irawati, Z. (2023). Analisis Pengaruh BI Rate, Nilai Tukar Rupiah , Indeks Dow Jones , Indeks Nikkei 225 Terhadap Indeks Harga Saham Gabungan ( Ihsg ) Di Bursa Efek Indonesia. 5(2), 361–373.
Sara, O. (2023). Inflation, Interest Rate, Exchange Rate, Oil Price, And Composite Stock Price Index During The Covid Pandemic 2019-2021. Proceedings Conference on Economics and Business Innovation, 3(1), 359–368.
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
Shankleman, E. (1954). What is Econometrics? Applied Statistics, 3(2), 85. https://doi.org/10.2307/2985520
Shedo, I. A., Ahmad, G. N., Kurnianti, D. D., & Jakarta, U. N. (2023). Pengaruh Foreign Direct Investment, Harga Minyak Dunia, Suku Bunga, dan Nilai Tukar Terhadap Return IHSG Periode 2018-2022. Journal of Business Application | Mei, 2, 60–74.
Sultan, Sarungu, J. J., Soesilo, A. M., & Tri Rahayu, S. A. (2019). Oil price and Indonesian economic growth. Problems and Perspectives in Management, 17(1), 152–162. https://doi.org/10.21511/ppm.17(1).2019.14
Suriyani, N. K., & Sudiartha, G. M. (2008). Pengaruh Tingkat Suku Bunga, Inflasi Dan Nilai Tukar Terhadap Return Saham Di Bursa Efek Indonesia. Continuous Advances in QCD 2008 - Proceedings of the Conference, 7(6), 373–385. https://doi.org/10.1142/9789812838667_0032
Suryanto, S. (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
Tang, X., & Yao, X. (2017). Do financial structures affect exchange rate and stock price interaction? Evidence from emerging markets. Emerging Markets Review, 34, 64–76. https://doi.org/10.1016/j.ememar.2017.10.004
Tsagkanos, A., & Siriopoulos, C. (2013). A long-run relationship between stock price index and exchange rate: A structural nonparametric cointegrating regression approach. Journal of International Financial Markets, Institutions and Money, 25(1), 106–118. https://doi.org/10.1016/j.intfin.2013.01.008
Tsai, I. C. (2012). The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach. Journal of International Financial Markets, Institutions and Money, 22(3), 609–621. https://doi.org/10.1016/j.intfin.2012.04.005
Yang, K., Tu, J., & Chen, T. (2019). Homoscedasticity: An overlooked critical assumption for linear regression. General Psychiatry, 32(5), 1–5. https://doi.org/10.1136/gpsych-2019-100148
Yusuf, W. A., Isik, A., & Salisu, N. I. (2019). Relative Effects of Exchange Rate and Interest Rate on Nigeria’S Economic Growth. Journal of Applied Economics and Business, 7(September), 28–37.
Downloads
ARTICLE Published HISTORY
Accepted Date: 2024-02-05
Published Date: 2024-02-28
Issue
Section
License
Copyright (c) 2023 Adinda Ayu Pramesthi, Dhevri Leonardo Hutajulu , Nasya Zahira Putri , Fitri Kartiasih
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
