Volatilitas Harga Emas dan Minyak pada Integrasi Pasar Modal Indonesia dengan Pasar Modal Asia

Sintikhe Mega Treisya, Robiyanto Robiyanto

Abstract


Capital market integration can be influenced by various variables, such as the volatility of gold and oil prices. The purpose of this study is to analyze the volatility of gold and oil prices on the integration of the Indonesian capital market with the Asian capital market. This study uses secondary data on daily closing prices of gold and oil (West Texas Intermediate and Brent North Sea) along with the Indonesian capital markets (JKSE), Hong Kong (HSI), South Korea (KOSPI), India (NIFTY 50), China (SSEC), Singapore (STI) during the period January 2019 to October 2020. This study uses the DCC-GARCH method to see the dynamic correlation between the capital market, and the GARCH method to analyze the volatility of gold and oil prices on the integration of the Indonesian capital market with the Asian capital market. The results of the study show that there is a positive and negative dynamic correlation between the capital markets, thus proving that the movement of the Indonesian market with other markets tends to vary. The results show that only the volatility of Brent oil has a negative effect on the integration of the Indonesian capital market with the Asian capital market

Keywords


Capital Market Integration, Gold Volatility, and Oil Volatality

Full Text:

PDF

References


Ali, R., Mangla, I. U., Rehman, R. U., Xue, W., Naseem, M. A., & Ahmad, M. I. (2020). Exchange rate, gold price, and stock market Nexus: a quantile regression approach. Risks, 8(3), 86. https://doi.org/10.3390/risks8030086

Alsalman, Z. (2016). Oil price uncertainty and the U.S. stock market analysis based on a garch-in-mean var model. Energy Economics, 59, 251–260. https://doi.org/10.1016/j.eneco.2016.08.015

Asianto, A. (2019). The price determinants of West Texas Intermediate crude oil. Jurnal Aplikasi Manajemen Dan Bisnis, 5(1), 153–162. https://doi.org/10.17358/jabm.5.1.153

Asmara, A., Oktaviani, R., Kuntjoro, & Firdaus, M. (2016). Volatilitas harga minyak dunia dan dampaknya terhadap kinerja sektor industri pengolahan dan makroekonomi Indonesia. Jurnal Agro Ekonomi, 29(1), 49–69. https://doi.org/10.21082/jae.v29n1.2011.49-69

Bampinas, G., & Panagiotidis, T. (2015). On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing. Studies in Nonlinear Dynamics and Econometrics, 19(5), 657–668. https://doi.org/10.1515/snde-2014-0060 1

Baur, D. G. (2012). Asymmetric volatility in the gold market. Journal of Alternative Investments, 14(4), 26–38. https://doi.org/10.3905/jai.2012.14.4.026

Baur, D. G., & Mcdermott, T. K. (2010). Is gold a safe haven? international evidence. Journal of Banking and Finance, 34(8), 1886–1898. https://doi.org/10.1016/j.jbankfin.2009.12.008

Behmiri, N. B., & Manso, J. P. (2013). Crude oil price forecasting techniques: a comprehensive review of literature. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2275428

Bhuyan, A. K., & Dash, A. K. (2020). A dynamic causality analysis between gold price movements and stock market returns : evidence from India. Journal of Management Research and Analysis, 5(2), 117–124. https://doi.org/10.18231/2394-2770.2018.0019

Boldanov, R., Degiannakis, S., & Filis, G. (2016). Time-varying correlation between oil and stock market volatilities: evidence from oil-importing and oil-exporting countries. International Review of Financial Analysis, 48, 209–220. https://doi.org/10.1016/j.irfa.2016.10.002

Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: a multivariate generalized arch model. The Review of Economics and Statistics, 72(3), 498–505. https://doi.org/10.2307/2109358

Connolly, R. A., & Wang, F. A. (2003). International equity market comovements: economic fundamentals or contagion ? Pacific-Basin Finance Journal, 11(1), 23–43. https://doi.org/10.1016/S0927-538X(02)00060-4

Engle, R. (2002). Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339–350. https://doi.org/10.1198/073500102288618487

Eyden, R. Van, Difeto, M., Gupta, R., & Wohar, M. E. (2019). Oil price volatility and economic growth: evidence from advanced economies using more than a century’s data. Applied Energy, 233–234, 612–621. https://doi.org/10.1016/j.apenergy.2018.10.049

Filis, G., Degiannakis, S., & Floros, C. (2011). Dynamic correlation between stock market and oil prices: the case of oil-importing and oil-exporting countries. International Review of Financial Analysis, 20(3), 152–164. https://doi.org/10.1016/j.irfa.2011.02.014

Gunawan, D., & Cahyadi, W. (2019). Integrasi pasar saham Indonesia dengan pasar saham Asia. Jurnal Pasar Modal Dan Bisnis, 1(2), 145–154. https://doi.org/10.37194/jpmb.v1i2.27

Hasan, A. (2019). Peramalan harga emas menggunakan pengukuran volatilitas model garch. Journal of Management & Business, 2(2), 157–173. https://doi.org/10.37531/sejaman.v2i2.370

Hersugondo, Robiyanto, Wahyudi, S., & Muharam, H. (2015). The world oil price movements and stock returns in several Southeast Asia’s capital markets. International Journal of Applied Business and Economic Research, 13(2), 527–534.

Istamar, Sarfiah, S. N., & Rusmijati. (2019). Analisis pengaruh harga minyak dunia, harga emas, dan nilai kurs rupiah terhadap indeks harga saham gabungan di bursa efek indonesia tahun 1998-2018. DINAMIC: Directory Journal of Economic, 1(4), 433–442. https://doi.org/10.31002/dinamic.v1i4.805

Karim, B. A., Kassim, N. A. M., & Arip, M. A. (2010). The subprime crisis and islamic stock markets integration. International Journal of Islamic and Middle Eastern Finance and Management, 3(4), 363–371. https://doi.org/10.1108/17538391011093298

Kilian, L. (2009). Not all oil price shocks are a like: disentangling demand and supply shocks in the crude oil market. American Economic Review, 99(3), 1053–1069. https://doi.org/10.1257/aer.99.3.1053

Kumar, A., & Sahadudheen, I. (2015). Understanding the nexus between oil and gold. Resources Policy, 46, 85–91. https://doi.org/10.1016/j.resourpol.2015.09.003

Listiana, N., & Robiyanto, R. (2021). Pengaruh indeks volatilitas, nilai tukar dan pertumbuhan ekonomi terhadap integrasi pasar modal ASEAN dengan pasar modal Amerika Serikat. Jurnal Akuntansi Keuangan Dan Bisnis, 14(1), 17–26.

Luo, X., & Qin, S. (2017). Oil price uncertainty and Chinese stock returns: new evidence from The oil volatility index. Finance Research Letters, 20, 29–34. https://doi.org/10.1016/j.frl.2016.08.005

Maraqa, B., & Bein, M. (2020). Dynamic interrelationship and volatility spillover among sustainability stock markets, major European conventional indices, and international crude oil. Sustainability, 12(9), 3908. https://doi.org/10.3390/su12093908

Mihaylov, G., Cheong, C. S., & Zurbruegg, R. (2015). Can security analyst forecasts predict gold returns? International Review of Financial Analysis, 41, 237–246. https://doi.org/10.1016/j.irfa.2015.03.012

Putra, A. R., & Robiyanto, R. (2019). The effect of commodity price changes and usd/idr exchange rate on Indonesian mining companies’ stock return. Jurnal Keuangan Dan Perbankan, 23(1), 103–115. https://doi.org/10.26905/jkdp.v23i1.2084

Raza, N., Shahzad, S. J. H., Tiwari, A. K., & Shahbaz, M. (2016). Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets. Resources Policy, 49, 290–301. https://doi.org/10.1016/j.resourpol.2016.06.011

Riga, M. H., Indriana, V., & Rahmanto, F. (2016). The effects of crude oil price changes on the Indonesian stock market: a sector investigation. Indonesian Capital Market Review, 8(1), 12–22. https://doi.org/10.21002/icmr.v8i1.5442

Robiyanto, R. (2018). The dynamic correlation between ASEAN-5 stock markets and world oil prices. Jurnal Keuangan Dan Perbankan, 22(2), 198–210. https://doi.org/10.26905/jkdp.v22i2.1688

Setiawan, B., & Hidayat, M. (2017). Pengaruh pasar modal negara G-3 terhadap pasar odal ASEAN-5. Jurnal Ilmiah Ekonomi Global Masa Kini, 8(03), 11–15. https://doi.org/10.35908/jiegmk.v8i3.348

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. https://doi.org/10.1108/JEFAS-04-2019-0053

Suganda, T. R., & Soetrisno, Y. (2016). Uji integrasi dan contagion effect pasar modal pada lima negara ASEAN (riset empiris pasca terjadinya krisis subprime mortgage dan krisis Yunani). Jurnal Keuangan Dan Perbankan, 20(2), 252–262. https://doi.org/10.26905JKDP.V20I2.358

Sugiyanto, S. C., & Robiyanto, R. (2020). Integrasi Dinamis Pasar Modal Indonesia Dengan Pasar Modal In- ternational Pada Masa Pandemi Covid-19. AFRE Accounting and Financial Review, 3(2), 143–151.

Tiwang, R. A., Karamoy, H., & Maramis, J. B. (2020). Analisis integrasi pasar modal Indonesia dengan pasar modal global (NYSE, SSE, LSE dan PSE). Jurnal Ilmiah Manajemen Bisnis Dan Inovasi Universitas Sam Ratulangi, 7(3), 657–684. https://doi.org/10.35794/jmbi.v7i3.31442

Tully, E., & Lucey, B. M. (2007). A power garch examination of the gold market. Research in International Business and Finance, 21(2), 316–325. https://doi.org/10.1016/j.ribaf.2006.07.001

Waworundeng, J. H., & Rate, P. Van. (2018). Analisis hubungan pasar modal ASEAN dengan pasar modal Indonesia di bursa efek Indonesia. Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 6(1), 271–280. https://doi.org/10.35794/emba.v6i1.19049

Yao, S., He, H., Chen, S., & Ou, J. (2018). Financial liberalization and cross-border market integration: evidence from China’s stock market. International Review of Economics and Finance, 58(3), 220–245. https://doi.org/10.1016/j.iref.2018.03.023

Yousef, I., & Shehadeh, E. (2020). The impact of covid-19 on gold price volatility. International Journal of Economics and Business Administration, 8(4), 353–364. https://doi.org/10.35808/ijeba/592

Zaimović, A., & Berilo, A. A. (2014). Risk diversification between stock markets in Germany and Bosnia and Herzegovina. South East European Journal of Economics and Business, 9(1), 30–36. https://doi.org/10.2478/jeb-2014-0003




DOI: https://doi.org/10.26905/afr.v4i2.6291

Refbacks

  • There are currently no refbacks.


Bookmark and Share


Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

AFRE (Accounting and Financial Review)

Postgraduate - University of Merdeka Malang

Postgraduate  Building, Terusan Dieng Street 62-64
Malang City, East Java, Indonesia, 65146.

View My Stats      Web Analytics

Other Link

Follow Us

Site Home Journal
Unmer Malang
Postgraduate
LPPM
Library
Repository 
 Email
[email protected]
 Phone
(0341) 567617
 Fax(0341) 567617

AFRE (Accounting and Financial Review)  Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.