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Studi ini menganalisis hubungan trilateral antara variabel makroekonomi dan pasar modal melalui harga minyak, indeks pasar saham, dan kurs untuk mengamati keterkaitan antar ketiga variabel dalam economic setup Indonesia. Periode yang diselidiki mencakup data deret waktu harian mulai dari 1 januari 2016 hingga 10 Maret 2023. Penelitian ini terdiri dari tiga sub-periode: periode pre-Covid-19 atau sebelum pandemi Covid-19 mulai dari 1 Januari 2016 hingga 8 Maret 2020, periode Covid-19 mulai dari 9 Maret 2020 hingga 10 Maret 2023, dan periode keseluruhan mulai dari 1 januari 2016 hingga 10 Maret 2023 dengan menggunakan model Vector Autoregressive (VAR). Hasil penelitian menunjukkan bahwa harga minyak berubah, maka indeks saham memiliki hubungan negatif signifikan secara statistik selama periode Covid-19 dan periode gabungan. Penelitian ini juga menunjukkan bahwa indeks saham memiliki hubungan negatif pada periode gabungan, hubungan positif pada sebelum pandemi Covid-19, dan hubungan negatif pada saat pandemi Covid-19 terhadap kurs. Penelitian ini memberikan Hasil penelitian ini juga membuktikan bahwa indeks saham berperan sebagai transmission channel pada antara harga minyak ke kurs. Hasil penelitian ini memberikan bantuan pada investor dan trader pasar saham dan forex untuk menganalisis pergerakan harga saham untuk peluang investasi yang lebih baik di masa depan. Selanjutnya, penelitian ini menyajikan relevansi praktis bagi investor pasar saham bahwa ketidakpastian kesehatan dapat berhubungan yang tidak signifikan antara harga minyak dengan indeks pasar saham yang ternyata hubungan ini signifikan selama periode pandemi.

 

 

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This study analyzes the trilateral relationship between macroeconomic and capital market variables through oil prices, stock market indexes, and exchange rates to observe the relationship between the three variables in Indonesia's economic setup . The period investigated includes daily time series data from January 1, 2016 to March 10, 2023. This study consists of three sub-periods: the pre-Covid-19 period or before the Covid-19 pandemic starting from January 1, 2016 to March 8, 2020, the Covid-19 period starting from March 9, 2020 to March 10, 2023, and the overall period starting from January 1, 2016 to March 10, 2023 using the Vector Autoregressive (VAR) model. The results showed that oil prices changed, hence stock indices had a statistically significant negative relationship during the Covid-19 period and the combined period. This research also shows that stock indices have a negative relationship in the combined period, a positive relationship before the Covid-19 pandemic, and a negative relationship during the Covid-19 pandemic to exchange rates. The results of this study also prove that stock indices act as a transmission channel between oil prices to exchange rates. The results of this study provide assistance to investors and traders of the stock market and forex to analyze stock price movements for better investment opportunities in the future. Furthermore, this study presents practical relevance for stock market investors that health uncertainty can be an insignificant relationship between oil prices and stock market indices which turned out to be a significant relationship during the pandemic period.

 

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"AbstractThis paper attempts to examine the impact of rising fossil fuel prices on the increasing impact on the demand of alternative fuels (biofuels), and its impact on food availability in Indonesia. An econometric model using simultaneous equations is employed. An increase in world crude oil price for 0,192 percent caused the price of real Indonesian palm oil export raised by 10,64 percent. Consequently, a larger biodiesel production is needed to meet their crease of world's consumer demand for biodiesel. Also, with the increase in real export price of Indonesian palm oil, it will encourage palm oil producers to push their export volume. Indonesian palm oil exporter expected to increase by 6,37 percent to finally push the domestic CPO price increase for 1,85 percent. Rising domestic oil prices are causing oil demand in the palm oil industry to decline by 0,49 percent and in the end resulting in the decline of palm oil production by 1,56 percent."

"Skripsi ini membahas hubungan kointegrasi dan kausalitas antara harga emas, harga minyak dunia, nilai tukar rupiah, dan Indeks Harga Saham Gabungan IHSG tahun 2007-2016. Penelitian ini adalah penelitian kuantitatif dengan data dari tahun 2007 hingga 2016. Data harga emas diperoleh dari World Gold Council, harga minyak dunia menggunakan West Texas Intermediate dari US Energy Information Administration, nilai tukar dari Bank Indonesia, serta IHSG dari laporan statistik Bursa Efek Indonesia.Hasil penelitian ini menunjukkan bahwa variabel harga emas, harga minyak dunia, nilai tukar rupiah, dan IHSG tidak memiliki hubungan kointegrasi dan variabel IHSG dan harga minyak dunia memiliki hubungan kausalitas terhadap nilai tukar rupiah.

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This thesis discusses the cointegration and causality relationship between gold price, crude oil price, rupiah exchange rate, and Indonesia Stock Exchange Composite Index IHSG period 2007 2016. This research is quantitative research with data from 2007 until 2016. Gold price data obtained from World Gold Council, crude oil price using West Texas Intermediate from US Energy Information Administration, exchange rate from Bank Indonesia, and IHSG from Indonesia Stock Exchange statistics report.

The results of this study indicate that the variable gold price, crude oil prices, exchange rate of rupiah, and IHSG has no cointegration relationship and variable IHSG and crude oil price has causality relationship to rupiah exchange rate."

"Penelitian ini bertujuan untuk mengetahui pengaruh dari pandemi COVID-19 terhadap pergerakan Bursa Saham Indonesia, kurs rupiah-dolar, dan harga minyak mentah di Indonesia. Penelitian ini dilakukan dengan berlandaskan pada penelitian sebelumnya terkait pergerakan harga bursa saham, nilai kurs mata uang, dan harga retail diesel yang dipengaruhi oleh angka terinfeksi COVID-19. Penelitian ini menggunakan data harian terhitung dari periode 1 Mei 2020 hingga 31 Desember 2021 untuk seluruh variabel. Dalam pengujian hipotesis, penulis menggunakan dua metode vector autoregression (VAR). Dalam pengujian VAR, nilai signifikasi dari bursa saham Indonesia, kurs rupiah-dolar, dan harga minyak mentah dapat digambarkan melalui nilai lag dari setiap variabel independen. Apabila dilihat dari nilai respon impuls dan dekomposisi varians menunjukkan shock yang disebabkan oleh COVID-19 cenderung stabil dalam jangka pendek namun dalam jangka panjang indeks bursa Indonesia dan harga minyak mentah masih stabil, sementara nilai tukar rupiah-dolar mengalami peningkatan. Uji kausalitas Granger menunjukan bahwa kasus terkonfirmasi COVID-19 menyebabkan terjadinya perubahan dalam indeks bursa saham Indonesia dan hara minyak mentah di Indonesia. Sementara pada kurs rupiah-dolar, kasus terkonfirmasi COVID-19 tidak memiliki hubungan sebab akibat yang signifikan.

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The purpose of this research is to evaluate and investigate the impact of the COVID-19 pandemic on the Indonesian Stock Exchange, the rupiah-dollar exchange rate, and crude oil prices in Indonesia. This study was based on prior research on how the number of COVID-19 infections affected stock market price fluctuations, currency exchange rates, and diesel retail prices. All factors in this study are based on daily data from May 1, 2020, to December 31, 2021. The author utilizes with vector autoregression (VAR) method  to test the hypothesis.

The lag value of each independent variable may be used to define the significance value of the Indonesian stock market, the rupiah-dollar exchange rate, and the price of crude oil in the VAR test. The shock brought on by COVID-19 tends to be steady in the short run as measured by the impulse response value and variance decomposition, but over the long term, the Indonesian stock market index and crude oil prices stay stable while the rupiah-dollar exchange rate has grown. Granger's causality test demonstrates that verified COVID-19 instances are responsible for alterations in the Indonesian stock exchange index and crude oil prices. However, there was no discernible causal link between verified COVID-19 instances and the rupiah-to-dollar exchange rate."

"Studi yang meneliti hubungan antara harga minyak dunia dan harga komoditi pangan di pasar domestik masih jarang ditemukan. Dengan membuat Model Panel Data dari 34 provinsi di Indonesia pada tahun 2010-2017, studi ini bertujuan untuk menginvestigasi pengaruh perubahan harga minyak dunia terhadap beberapa harga komoditi pangan lokal (kedelai,import, kedelai lokal, beras lokal, dan jagung lokal). Penelitian sebelumnya menemukan bahwa harga komoditi pangan lokal di beberapa negara tidak dipengaruhi oleh harga minyak dunia; akan tetapi, penelitian ini, dengan mengendalikan faktor – faktor lainnya yang dapat mempengaruhi harga pangan lokal, menemukan hasil yang berbeda. Hasil dari studi ini mengindikasikan bahwa harga minyak dunia dapat mempengaruhi harga pangan lokal di Indonesia melalui tingginya biaya pengiriman pada aktivitas impor. Selain itu, harga komoditi pangan dunia juga terbukti dapat mempengaruhi harga seluruh komoditi pangan lokal yang diteliti, yang mengimplikasikan bahwa harga komoditi pangan di Indonesia dipengaruhi oleh kondisi pasar internasional. Hasil dari studi ini memberikan masukan bagi pembuat kebijakan di Indonesia untuk mempertimbangkan perubahan harga minyak dunia dan harga komoditi global dalam menstabilkan harga komoditi lokal di Indonesia, terutama komoditi yang diimpor.

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Globally, studies examining the nexus between global crude oil price and food commodity prices in domestic markets are scant. Employing panel data model of 34 provinces in Indonesia from 2010 - 2017, this study investigates the impact of global crude oil's price change on some local food commodity prices (imported soybean, local soybean, local rice, and local maize). Previous studies found that local food commodity prices in some countries were not affected by global crude oil prices; however, this study, by controlling other factors which could affect local commodity prices, finds different results.

This study's findings indicate that global crude oil price could affect local commodity prices in Indonesia due to higher shipping cost in import activity. In addition, global commodity prices are also proved to affect all commodities examined in this study which implies that local food commodity prices in Indonesia are influenced by international market. The results of this study provide input to policymakers in Indonesia to consider the movement of global crude oil price and global commodity prices in stabilizing local food commodity prices in Indonesia, especially the imported commodities."

"ABSTRAKPenelitian ini bertujuan menganalisis interaksi dinamis antara subsidi BBM, tingkat suku Bunga, dan Pertumbuhan PDB terhadap ruang fiskal di Indonesia selama penerapan kebijakan pengurangan subsidi BBM. Penelitian ini dilakukan dengan menggunakan data runtut waktu triwulanan dengan periode 2010:01-2017:04 dan teknik analisis metode time series vector error correction model VECM . Hasil Penelitian menunjukkan bahwa terdapat interaksi dinamis antara subsidi BBM, tingkat suku bunga, pertumbuhan PDB terhadap ruang fiskal berdasarkan hasil hasil Kausalitas granger dan hasil estimasi VECM yang telah dilakukan. Hasil kausalitas granger yang menyatakan bahwa terdapat hubungan satu arah antara subsidi BBM dengan ruang fiskal yang mengindikasikan bahwa subsidi BBM dapat mempengaruhi ruang fiskal secara langsung. Sedangkan Perrtumbuhan PDB dan tingkat suku bunga tidak mempunyai hubungan kausalitas terhadap ruang fiskal, namun hasil tersebut sedikit berbeda dengan hasil estimasi VECM. Hasil estimasi VECM memperlihatkan bahwa berdasarkan data historis yang digunakan dalam penelitian ini, akan terjadi penurunan ruang fiskal setelah tiga bulan pemerintah meningkatkan subsidi BBM dan akan terjadi penurunan ruang fiskal setelah tiga bulan setelah pertumbuhan PDB. Kata Kunci : Ruang Fiskal, Subsidi BBM, Tingkat Suku Bunga, Pertumbuhan PDB, Rasio Pajak, Harga Minyak Mentah, Kausalitas Granger, VECM.Klasifikasi JEL : E62, H23, H53.

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ABSTRACT This study aims to analyze the dynamic interaction between fuel subsidy, interest rate, and GDP growth on fiscal space in Indonesia during the implementation of fuel subsidy reduction policy. This research was conducted using quarterly queuing data with period 2010 01 2017 04 and time series vector error correction model VECM technique. The results showed that there was a dynamic interaction between fuel subsidy, interest rate, GDP growth on fiscal space based on the results of Granger causality and VECM estimation results that have been done. The result of Granger Causality which states that there is a one way relationship between fuel subsidy and fiscal space indicating that fuel subsidy can affect fiscal space directly. While GDP growth and interest rates do not have a causal relationship to the fiscal space, the results are slightly different from the VECM estimates. VECM estimates show that based on historical data used in this study, there will be a decrease in fiscal space after three months of government increases fuel subsidies and there will be a decrease in fiscal space after three months after GDP growth. Keywords Fiscal Space, Fuel Subsidies, Interest Rate, GDP Growth, Tax Ratio, Crude Oil Price, Indonesia, Granger Causality, VECM.JEL Classification E62, H23, H53"

"Skripsi ini membahas tentang Pengaruh Perubahan Harga Minyak Mentah Dunia terhadap Imbal Hasil IHSG dan Indeks Sektoral di Bursa Efek Indonesia. Periode waktu yang digunakan adalah 1 Januari 2004 sampai dengan 31 Desember 2018 data yang digunakan adalah data harian. Kemudian dilakukan pengujian pula saat harga minyak dunia tinggi dan saat harga rendah. Penelitian ini adalah penelitian kuantitatif dengan menggunakan model regresi linear sederhana dan ARCH (1,0). Hasil pengujian menyatakan pengaruh perubahan harga minyak mentah dunia signifikan positif terhadap imbal hasil IHSG dan imbal hasil sepuluh indeks sektoral. Pengaruh perubahan harga minyak mentah dunia saat harga tinggi signifikan positif terhadap imbal hasil IHSG dan imbal hasil Indeks Industri Dasar dan Kimia, Indeks Keuangan, Indeks Manufaktur, Indeks Pertambangan, Indeks Properti, Indeks Infrastruktur, Indeks Barang Konsumsi, Indeks Aneka Industri, dan Indeks Perdagangan. Pengaruh perubahan harga minyak mentah dunia saat harga rendah signifikan positif pada imbal hasil Indeks Pertanian, Indeks Keuangan, Indeks Aneka Industri, dan Indeks Properti. Pada saat harga minyak mentah dunia tinggi dan rendah sektor yang konsisten terpengaruh adalah Keuangan, Properti, dan Aneka Industri.

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This research examines the impact of global crude oil price change to the return of IHSG and sectoral indexes in Indonesia Stock Exchange. The time period of the research is during 1st January 2014 until 31th December 2018. The data used is daily data. Afterwards, the test is done during the time when the global oil price is high and when its low. This research is quantitative research using simple linear regression model and ARCH (1,0). The result concludes that the impact of global crude oil price change is significantly positive towards the return of IHSG and return of ten sectoral indexes. The impact of global crude oil price change when its high is significantly positive towards the return of IHSG and the return of Basic Industry and Chemicals Index, Finance Index, Manufacture Index, Mining Index, Property Index, Infrastructure Index, Consumer Goods Index, Miscellaneous Industry Index and Trade Index. The impact of global crude oil price change when its low is significantly positive towards the return Agriculture Index, Finance Index, Miscellaneous Industry Index, and Property Index. The consistently affected sector during both times are Finance, Property, and Miscellaneous Industry."

"Penelitian ini bertujuan untuk meneliti pengaruh fluktuasi harga minyak mentah dan gas alam terhadap variabel makroekonomi (inflasi, nilai tukar, dan indeks produksi) dan stock return valuation Indeks Harga Saham Gabungan (IHSG) dan saham sektoral pertambangan di Indonesia. Penelitian menggunakan sampel dari harga komoditas minyak mentah dan gas alam serta return variabel makroekonomi dan saham indeks gabungan dan sektoral pertambangan di Indonesia pada periode tahun 2010-2020. Metode penelitian yang digunakan adalah regresi data panel (timeseries). Penelitian ini menemukan bahwa, pertama, hanya nilai tukar Rupiah terhadap Dollar Amerika Serikat pada variabel makroekonomi yang terpengaruh secara signifikan oleh fluktuasi harga minyak mentah, sedangkan inflasi dan indeks produksi tidak terpengaruh secara signifikan oleh fluktuasi harga minyak mentah. Kedua, penelititan ini juga menemukan bahwa hanya nilai tukar Rupiah terhadap Dollar Amerika Serikat yang secara signifikan terpengaruh oleh pergerakan harga gas alam. Inflasi dan Indeks produksi industri di Indonesia tidak terpengaruh secara signifikan dikarenakan gas alam bukan salah satu komoditas utama untuk kegiatan ekspor impor di Indonesia. Terakhir, ditemukan bahwa return IHSG terpengaruh secara signifikan oleh pergerakan positif atau negatif kedua komoditas dari harga minyak mentah dan gas alam di Indonesia. Return sektoral saham pertambangan hanya terpengaruh signifikan oleh pergerakan harga dari minyak mentah.

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This study aims to examine the effect of fluctuations in crude oil and natural gas prices on macroeconomic variables (inflation, exchange rates, and production index) and stock return valuation of the Composite Stock Price Index (IDX) and mining sector stocks in Indonesia. This study uses a sample of commodity prices for crude oil and natural gas as well as macroeconomic variable returns and stock index and mining sector composites in Indonesia in the period 2010-2020. The research method used is panel data regression (timeseries). This study finds that, firstly, only the exchange rate of the Rupiah against the United States Dollar on macroeconomic variables is significantly affected by fluctuations in crude oil prices, while inflation and production index are not significantly affected by fluctuations in crude oil prices. Second, this study also finds that only the exchange rate of the Rupiah against the United States Dollar is significantly affected by the movement of natural gas prices. Inflation and industrial production index in Indonesia are not significantly affected because natural gas is not one of the main commodities for export and import activities in Indonesia. Finally, it was found that IDX returns were significantly affected by positive or negative movements of the two commodities of crude oil and natural gas prices in Indonesia. Mining stock sector returns are only significantly affected by price movements of crude oil. "