The effect of commodity price changes and USD/IDR exchange rate on Indonesian mining companies’ stock return

Adi Rahadi Putra, Robiyanto Robiyanto

Abstract


There are many variables that will be influencing stock return. Some of those variables are come from the commodity market, such as gold, price and crude oil price changes, and also come from the exchange rate market. This study is about to test the effect of changes prices of gold, silver, crude oil, and exchange rate to the stock return of mining sector companies in Indonesia. There are 48 companies engaged in the mining sector listed on the Indonesia Stock Exchange (IDX). From 48 companies this study uses the purposive sampling method to choose a sample within the criteria, and there are 13 selected companies that will be the object of this study. This study also used an analysis tool GARCH (1,1) to avoid abnormal data. Before advancing to GARCH (1,1) analysis, the data must be tested the stationary first by using the Augmented Dickey-Fuller Test (ADF) to make sure the data stationary or not by using level, 1st difference, and two difference. The result shows that gold has a significant positive effect on stock return mining sector companies such as INCO, KKGI, PTBA, and TINS. Silver has a significant positive effect on HRUM companies and negatively on RUIS. Crude oil has a significant positive effect on HRUM and PTBA firms. Exchange rates have a significant negative impact on companies. ANTM, CTTH, DOID, ELSA, HRUM, ITMG, and KKGI.

JEL Classification: E03, F31, G11, G23

DOI: https://doi.org/10.26905/jkdp.v23i1.2084


Keywords


Crude Oil; Gold; Indonesia Stock Exchange; Mining Sector; Silver; USD/IDR Exchange Rate

Full Text:

PDF

References


Abdelaziz, M., Chortareas, G., & Cipollini, A. (2008). Stock Prices, Exchange Rates, and Oil: Evidence from Middle East Oil-Exporting Countries. Working Paper.

Aclan. (2008). Observation of The Relationship Between Gold Prices and Selected Financial Variables in Turkey. Turkey: Marmara Universitesi.

Adebiyi, M. A., Adenuga, A. O., Abeng, M. O., & Omanukwue, P. N. (2009). Oil Price Shocks, Exchange Rate And Stock Market Behaviour : Empiical Evidence From Nigeria, Central Bank of Nigeria. Research Paper, 1(1), 1.

Afsal, E. M., & Haque, M. I. (2016). Market Interactions in Gold and Stock Markets : Evidence From Saudi Arabia. International Journal of Economics and Financial, 3(6), 1025.

Antoniou, A., Koutmos, G., & Pericli, A. (2005). Index Futures And Positive Feedback Trading : Evidence From Major Stock Exchanges. Journal of Empirical Finance, 12(1), 219.

Apriyanti. (2011). Anti Rugi dengan Berinvestasi Emas. Yogyakarta: Pustaka Baru Press.

Arfaoui, M., & Rejeb, A. B. (2017). Oil, Gold, US Dollar, And Stock Market Interdependencies : A Global Analytical Insight. European Journal of Management and Business Economics, 26(3), 278.

Ayunda, C., & Imo, G. (2014). Analisis Pengaruh Variabel Makroekonomi dan Komoditas terhadap Return Pasar Saham Sektor Pertambangan di Indonesia Periode 2009-2013. Jurnal Ekonomi Indonesia, 1(1), 1.

Basher, S. A., Haug, A. A., & Sadorsky, P. (2012). Oil Prices, Exchange Rates, and Emerging Stock Markets. Energy Economics, 34(1), 227.

Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics, 31(1), 307.

Brian, M. L., & Tully, E. (2005). Seasonality, Risk and Return in Daily COMEX Gold and Silver Data 1982-2002. Discussion Paper, 1(1), 4.

Brigham, E., & Houston. (2006). Fundamental of Financial Management : Dasar - Dasar Manajemen Keuangan. Jakarta: Salemba Empat.

Caesariana, A., & Gandakusuma, I. (2014). Analisis Pengaruh Variabel Makroekonomi dan Komoditas Terhadap Return Pasar Saham Sektor Pertambangan di indonesia Periode 2009-2013. Kampus Baru UI, Depok.

Chan, K. F., Treepongkaruna, S., Brooks, R., & Gray, S. (2011). Asset Market Linkages : Evidence From Financial, Commodity and Real Estate Assets. Journal of Banking & Finance, 35(6).

Ciner, C. (2001). On the Long Run Relationship Between Gold and Silver Prices A Note. Global Finance Journal, 1(1), 299.

Claire, Ginette, Rajneesh, & Amesh. (2009). The Dynamic of Gold Prices, Gold Mining Stock Prices and Stock Market Prices Cornovement. Research In Aplied Economics.

Draper, P., Faff, R., & Hillier, D. (2002). Do Precious Metals Shine? An Investment Perspective. Financial Management Associatio International European Meeting.

Edison, H. J. (1991). Forecasting Performances of Exchange Rate Models Revisited. Applied Economics, 23(1), 187.

Eitman, H. J., Stonehill, A. I., & Moffert, M. H. (2010). Multinational Business Finance. Upper Saddle River: Pearson Education.

Filus, R., Chabachib, M., & Muharam, H. (2012). Analisis Pengaruh Harga Minyak dan Harga Emas terhadap Hubungan Timbal Balik Kurs dan Indeks Harga Saham Gabungan di BEI 2000-2013. Jurnal Bisnis Strategi, 21(1), 72.

Haldane, A. G. (1997). The Monetary Framework in Norway. Candinavian University Press.

Hamed, S., & Ehsan, T. (2012). The Impact of Crude Oil, Gold Price & Their Volatilities on Stock Markets : Evidence from Selected Member of OPEC. Journal of Basic and Applied Scientific Research, 10(2), 10472.

Harper, A., Jin, Z., Sokunle, R., & Wadhwa, M. (2011). Price Volatility in the Silver Spot Market : An Empirical Study Using GARCH Applications. Journal of Finance and Accountary, 1(1), 1.

Hlupo, P. (2017). The Relationship Between Gold Prices and Equity Market Performance : Evidence From The Zimbabwe Stock Exchange. International Economics, 1(1), 1.

Jogiyanto, H. (2010). Teori Portofolio dan Analisis Investasi. Yogyakarta: BPFE UGM.

Kilian, L. (2009). Not All Oil Price Shocks Are Alike : Disentangling Demand and Supply Shocks in The Crude Oil Market. American Economic Review, 99(3), 1054.

Kilian, L., & Park, C. (2007). The Impact of Oil Price Shocks On The U.S. Stock Market. American Economic Review, 3(99), 1054.

Krugman, & Obstfeld. (2009). Exchange Rate and The Foreign Exchange Market : An Asset Approach. New York: Pearson Addison.

Le, T. H., & Chang, Y. (2012). Oil Price Shocks and Gold Returns. International Economics, 131(3), 71.

Lestari, T., Widarno, B., & Harimurti, F. (2016). Pengaruh Nilai Tukar dan Harga Emas terhadap Indeks Harga Saham Gabungan di Bursa Efek Indonesia (Pasca Setahun Pelantikan Presiden). Jurnal Akuntansi dan Sistem Teknologi Informasi, 12(2), 200.

Michelis, L., & Ning, C. (2010). The Dependent Structure Between The Canadian Stock Market And The USD/CAD Exchang Rate : A Copula Approach. Canadian Journal Economics, 43(3), 1016.

Munoz, M. P., & Dickey, D. A. (2009). Are Electricity Prices Affected by The US Dollar to Exchange Rate. Energy Economics, 31(1), 857.

Nangolo, C., & Musingwini, C. (2011). Empirical Correlation of Mineral Commodity Market and Capital Market - Evidence From India. ASA Unversity Review, 8(1).

Pardede, N., Hidayat, R., & Sulasmiyati, S. (2016). Pengaruh Harga Minyak Mentah Dunia, Inflasi, Suku Bunga (Central Bank Rate), dan Nilai Tukar (Kurs) Terhadap Indeks Harga Saham Sektor Pertambangan di ASEAN. Jurnal Administrasi Bisnis, 1(39), 130.

Purnomo, R. S. D. (2014). Buku Pintar Investasi dan Gadai Emas. Jakarta: Gramedia Pustaka Utama.

Rabia, N., & Khakan, N. (2016). Impact of Oil and Gold Prices on the Stock Exchange of Bombay: An Evidence from India. Journal of Accounting & Marketing, 5(4), 1.

Rahmanto, F., Riga, M. H., & Indriana, V. (2016). The Effects of Crude Oil Price Changes on the Indonesian Stock Market: A Sector Investigation. Indonesian Capital Market Review, 8, 12-22.

Robiyanto, R. (2018). The Effect of Gold Price Changes, USD/IDR Exchange Rate Changes, and Bank Indonesia (BI) Rate on Jakarta Composite Index (JCI)'s Return and Jakarta Islamic Index (JII)'s Return. Jurnal Manajemen dan Kewirausahaan, 20(1), 45-52. doi: https://doi.org/10.9744/jmk.20.1.45-52

Robiyanto, R., Wahyudi, S., & Pangestuti, I. R. D. (2017). The volatility–variability hypotheses testing and hedging effectiveness of precious metals for the Indonesian and Malaysian capital markets. Gadjah Mada International Journal of Business, 19(2), 167-192. doi: 10.22146/gamaijb.26260

Samsul, M. (2006). Pasar Modal dan Manajemen Portofolio. Jakarta: Erlangga.

Shobba, C. V. (2017). A Study On Gold As A Safer Investment Alternative Among Small And Medium Investors With Special Reference To Kozhikod District. International Journal of Research, 5(11), 1.

Siti, S. (2016). Nilai Tukar Rupiah dan Kinerja Pasar Saham : Studi Empirik pada Bursa Saham Indonesia. urnal Keuangan dan Perbankan, 20(206), 204-213.

Smith, G. (2001). The Price of F Gold and Stock Price Indices for the United States. Adrienne Roberts FT Personal Finance.

Sujit, K. S., & Kumar, B. R. (2011). Study On Dynamic Relationship Among Gold Price, Oil Price, Exchange Rate, And Stock Market Returns. International Journal of Applied Business and Economic Research, 9(2), 145.

Sunariyah. (2006). Ekonomi Pembangunan (Proses, Masalah, dan Dasar Keijaksanaan). Universitas Inonesia, Jakarta.

Surianti, S., Kumar, M. D., Jamil, F., & Muneer, S. (2015). Impact of Exchange Rate On Stock Market. International Journal of Economics and Financial Issues, 5(1), 385.

Sylvia, H. (2014). Pengaruh Harga Emas Dunia, Harga Minyak Dunia, dan Nilai Tukar Dolar Amerika / Rupiah Terhadap IHSG. E-Journal Graduate Unpar, 1(1), 85.

Taliawo, N., & Atahau, A. D. R. (2007). Beta dan Implikasinya terhadap Hasil Diversifikasi Saham Di Bursa Efek Jakarta. Jurnal Bisnis dan Ekonomi, 14(2).

Taungke, N., & Supramono, S. (2015). Ex-dividend Date dan Perubahan Harga Saham. Jurnal Keuangan dan Perbankan, 19(3).

Triyono. (2008). Analisis Perubahan Kurs Rupiah Terhadap Dollar Amerika. Jurnal Ekonomi Pembangunan, 9(2), 156.

Tsen, W. (2011). The Real Exchange Rate Determination: An Empirical Investigation. International Review of Economics and Finance, 20(4), 800.

Twite, & Garry. (2002). Gold Prices, Exchange Rates, Gold Stocks, and The Gold Premium. Australian Journal of Management, 27(2), 123.

Vejzagic, M., & Zarafah, H. (2013). Relationship Between Macroeconomic Variables and Stock Market Index: Co-Integration Evidence from PTSE Malaysia Hijrah Shariah Index. Asian Jurnal of Management Sciences & Education, 2(4).

Wang, M. L., & Huang, T. Y. (2010). Relationships Among Oil Price, Gold Price, Exchange Rate, and International Stock Markets. International Research Journal of Finance and Economics, 47(1), 83.

Wasserfallen, W. (1990). Expected and Unexpected Changes in Nominal and Real Variables: Evidence from the Capital Markets. Journal of International Money and Finance, 9(1), 91.

Witjaksono, A. A. (2010). Analisis Pengaruh Tingkat Suku Bunga SBI, Harga Minyak Dunia, Emas Dunia, Kurs Rupiah, Indeks Nikkei 225 dan Indeks Dow Jone terhadap IHSG. Semarang: Karisma.




DOI: https://doi.org/10.26905/jkdp.v23i1.2084

Refbacks

  • There are currently no refbacks.


Bookmark and Share


Jurnal Keuangan dan Perbankan (Journal of Finance and Banking)

Diploma Program of Banking and Finance, Faculty of Economics and Business, University of Merdeka Malang

Published by University of Merdeka Malang

Mailing Address:
2nd floor Finance and Banking Building, Jl. Terusan Raya Dieng No. 57 Malang, East Java, Indonesia
Phone: +62 813-3180-1534
Email: jkp@unmer.ac.id

This work is licensed under a Creative
Commons Attribution-ShareAlike 4.0