Abstrak
Penelitian ini menganalisis pengaruh volatilitas harga minyak dunia (VarO) dan volatilitas nilai tukar USD/IDR (VarE) terhadap volatilitas pasar saham Indonesia (varR), serta mengevaluasi peran mediasi varR terhadap return pasar saham (RETURN), menggunakan data harian periode 2015?2024 (2.520 observasi). Volatilitas diukur dengan model ARIMA(1,1)-GARCH(1,1), sedangkan analisis hubungan antar variabel dilakukan melalui Tobit Regression, SEM, serta regresi Probit dan Logit. Hasil menunjukkan bahwa VarO dan VarE berpengaruh positif signifikan terhadap varR (koefisien masing-masing 0,0373 dan 0,9510; p < 0,01). Namun, varR tidak terbukti menjadi mediator dalam hubungan antara VarO dan VarE terhadap RETURN (p > 0,4), dan tidak ada pengaruh signifikan terhadap arah return (PRET). Temuan ini menegaskan bahwa di pasar saham Indonesia, volatilitas eksternal lebih berdampak pada risiko pasar ketimbang arah atau besaran return harian, sehingga strategi pengelolaan risiko perlu difokuskan pada mitigasi ketidakpastian akibat fluktuasi global.
......This study examines the impact of global oil price volatility (VarO) and USD/IDR exchange rate volatility (VarE) on the volatility of the Indonesian stock market (varR), and evaluates the mediating role of varR on stock market returns (RETURN), using daily time series data from 2015 to 2024 (2,520 observations). Volatility was measured using the ARIMA(1,1)-GARCH(1,1) model, while the relationships between variables were tested using Tobit Regression, Structural Equation Modeling (SEM), and Probit/Logit regression. Results show that VarO and VarE have a positive and significant effect on varR (coefficients = 0.0373 and 0.9510; p < 0.01). However, varR does not mediate the relationship between VarO/VarE and RETURN (p > 0.4), and no significant effect was found on the return direction (PRET). These findings suggest that in the Indonesian stock market, external volatility mainly increases market risk rather than determining the direction or magnitude of daily returns, highlighting the importance of risk management strategies in response to global fluctuations.
