ABSTRACT
This study aims to determine the effect of Bitcoin price, world commodity prices such as gold and crude oil, as well as the number of active cases of Covid-19 in Indonesia on the volatility of the Indonesia Stock Exchange. This study uses quantitative methods and the data collection used is secondary data with daily data and the period from March 2, 2020 - March 2, 2022. The number of observations used in this study amounted to 477 observations. Secondary data sources are obtained through the Yahoo Finance website and the official WHO website. The data processing technique will be carried out using Stata 16 software and using the Multiple Linear Regression method and also the Classical Assumption Test. The results of this study show that the price of Bitcoin, the price of gold, Crude oil prices have a positive and significant effect on the volatility of the Indonesia Stock Exchange and only the number of active cases of Covid-19 in Indonesia has a positive but not significant effect. This indicates that Bitcoin prices, world gold prices, and world oil prices are good market indicators. In this case, the results found can be useful information for investors and portfolio managers when they want to invest in the Indonesia Stock Exchange, especially in uncertain periods such as during the Covid-19 pandemic.
- Goh, T. S., Henry, H., & Albert, A. (2021). Determinants and Prediction of the Stock Market during COVID-19: Evidence from Indonesia. Journal of Asian Finance, Economics and Business, 8(1), 001–006. https://doi.org/10.13106/jafeb.2021.vol8.no1.001Google ScholarCross Ref
- Gunawan, D., Sinurat, M., Cahyadi, L., & Ilham, R. N. (2021). Investigating the Dynamic Relationship Among JKSE, S&P 500, Cryptocurrencies and Gold Price After Covid-19 Outbreak. Proceedings of the International Conference on Strategic Issues of Economics, Business and, Education (ICoSIEBE 2020), 163(ICoSIEBE 2020), 71–75. https://doi.org/10.2991/aebmr.k.210220.014Google ScholarCross Ref
- Indrastuti, D. K. (2021). Impact of Confirmed, Death, and Recovered Cases of COVID-19 Toward Stock Exchange Composite Index. Review of Integrative Business and Economics Research, 10(1), 1–10.Google Scholar
- Corbet, S., Larkin, C., & Lucey, B. (2020). The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies. Finance Research Letters, 35(April), 101554. https://doi.org/10.1016/j.frl.2020.101554Google ScholarCross Ref
- Gil-Alana, L. A., Abakah, E. J. A., & Rojo, M. F. R. (2020). Cryptocurrencies and stock market indices. Are they related? Research in International Business and Finance, 51. https://doi.org/10.1016/j.ribaf.2019.101063Google ScholarCross Ref
- Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.xGoogle ScholarCross Ref
- Pransuamitra, P. A. (2021a). Bursa Saham Berantakan Gegara Corona Omicron, Lebay Gak Sih? CNBC Indonesia.Google Scholar
- Hidayat, K. (2021). Tertekan kabar varian baru Covid-19, IHSG longsor 2,06% pada Jumat (26/11). https://investasi.kontan.co.id/news/tertekan-kabar-varian-baru-covid-19-ihsg-longsor-206-pada-jumat-2611Google Scholar
- Pransuamitra, P. A. (2021b). Rupiah Ngamuk & IHSG Nyaris Rekor, Emas Antam Tekor! CNBC Indonesia.Google Scholar
- Suryahadi, A. (2020). Anjloknya harga minyak dunia bakal menyeret IHSG tergelincir lebih dalam. Investasi Kontan.Google Scholar
- Putra. (2022). Rusia & Ukraina Membara, Minyak Mentah Meluncur To The Moon. CNBC Indonesia.Google Scholar
- Sidik, S. (2021). Mengkhawatirkan! Transaksi di Bursa RI Seret, Lari ke Kripto. CNBC Indonesia.Google Scholar
- Hass, M. (2018). The Cost & Sustainability of Bitcoin — Part IV — Perfect Competition & Microeconomics. Medium, August. https://medium.com/@hassmccook/the-economic-environmental-cost-of-bitcoin-part-iv-perfect-competition-bitcoin-9f31156034ae#_edn21Google Scholar
- Urquhart, A. (2016). The inefficiency of Bitcoin. Economics Letters, 148, 80–82. https://doi.org/10.1016/j.econlet.2016.09.019Google ScholarCross Ref
- Lo, S., & Wang, J. . C. (2014). Bitcoin as Money? Motivation. Current Policy Perspectivesves, 14, 1–28.Google Scholar
- DeVries, P. (2016). An Analysis of Cryptocurrency, Bitcoin, and the Future. International Journal of Business Management and Commerce, 1(2), 1–9.Google Scholar
- Putra, N., & Robiyanto. (2021). Korelasi Dinamis Pergerakan Cryptocurrency dan Indeks Harga Saham Sektoral di Bursa Efek Indonesia. Jurnal Management & Accounting Expose, 4(1), 35–44. http://jurnal.usahid.ac.id/index.php/accounting/article/view/275/337Google Scholar
- Pamilangan, A., & Robiyanto, R. (2019). Perumusan Portofolio Dinamis Cryptocurrency Dengan Saham-Saham Lq45. Jurnal Ilmu Sosial Dan Humaniora, 8(2), 283. https://doi.org/10.23887/jish-undiksha.v8i2.23065Google ScholarCross Ref
- Hartono, P., & Robiyanto, R. (2021). Can Cryptocurrency, Gold and Bonds Play a Role as a Safe Haven for the Indonesian Capital Market? Jurnal Ekonomi Kuantitatif Terapan, 1. https://doi.org/10.24843/jekt.2021.v14.i01.p01Google ScholarCross Ref
- Toraman, C., Başarır, Ç., & Bayramoğlu, M. F. (2011). Determination of Factors Affecting the Price of Gold: A Study of MGARCH Model. Business and Economics Research Journal, 2(4), 37–50. www.berjournal.comGoogle Scholar
- 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. https://doi.org/10.9744/jmk.20.1.45-52Google ScholarCross Ref
- Sunariyah. (2011). Pengantar Pengetahuan Pasar Modal. https://openlibrary.telkomuniversity.ac.id/pustaka/10261/pengantar-pengetahuan-pasar-modal-6-e-.htmlGoogle Scholar
- Robiyanto, Robiyanto, Wahyudi Sugeng, Pangestuti Demi, I. R. (2017). Testing Commodities As Save Haven And Hedging Instrument On Asean's Five Stock Markets Robiyanto*. 231–238.Google Scholar
- Gumilang, R. C., Hidayat, R. R., & NP Endang, M. G. W. (2014). Pengaruh Variabel Makro Ekonomi, Harga Emas Dan Harga Minyak Dunia Terhadap Indeks Harga Saham Gabungan. Jurnal Administrasi Bisnis (JAB), 14(2), 1–9. http://administrasibisnis.studentjournal.ub.ac.id/index.php/jab/article/view/586Google Scholar
- Goodstein, D. (2004). Out of Gas: The End of the Age Oil. W.W. Norton & Company.Google Scholar
- Ardiatma, D., & Sasmita, Y. (2019). Optimasi Dosis Injeksi Reverse Demulsifier Dalam Mengatasi Masalah Emulsi Pada Pengolahan Air Terproduksi Pt Pertamina Hulu Mahakam. Jurnal Teknologi Dan Pengelolaan Lingkungan, 6(1), 1–7.Google Scholar
- S M Rashed Jahangir, B. Y. D. (2018). Crude oil, natural gas, and economic growth: impact and causality analysis in Caspian Sea region. International Journal of Management and Economics, 54(3), 227–244.Google Scholar
- Luo, J., & Ji, Q. (2018). High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets. Energy Economics, 76, 424–438. https://doi.org/10.1016/j.eneco.2018.10.031Google ScholarCross Ref
- 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). https://doi.org/10.21002/icmr.v8i1.5442Google ScholarCross Ref
- Djamaluddin, S., Ardoni, R., & Herawati, A. (2020). STOCK PRICE INDEX (CSPI)IN INDONESIA STOCK EXCHANGE (IDX) PERIOD 2014-2018. 1(1), 40–53.Google Scholar
- Hersugondo Hersugondo, R. D. L. (2020). The Effect of Crude Oil Price and Macro Economic Variables on Aggregate Stock Index in Emerging Capital Markets Southeast Asia ’ s. International Journal of Environmental Science, 5, 185–191.Google Scholar
- Fauci, A. S., Lane, H. C., & Redfield, R. R. (2020). Covid-19 — Navigating the Uncharted. New England Journal of Medicine, 382(13), 1268–1269. https://doi.org/10.1056/nejme2002387Google ScholarCross Ref
- Wu, F., Zhao, S., Yu, B., Chen, Y. M., Wang, W., Song, Z. G., Hu, Y., Tao, Z. W., Tian, J. H., Pei, Y. Y., Yuan, M. L., Zhang, Y. L., Dai, F. H., Liu, Y., Wang, Q. M., Zheng, J. J., Xu, L., Holmes, E. C., & Zhang, Y. Z. (2020). A new coronavirus associated with human respiratory disease in China. Nature, 579(7798), 265–269. https://doi.org/10.1038/s41586-020-2008-3Google ScholarCross Ref
- World Health Organization. (2020). Coronavirus disease 2019 (COVID-19) Situation Report – 97.Google Scholar
- Haleem, A., Javaid, M., & Vaishya, R. (2020). Effects of COVID-19 pandemic in daily life. Current Medicine Research and Practice, 10(2), 78–79. https://doi.org/10.1016/j.cmrp.2020.03.011Google ScholarCross Ref
- Nour Halisa, N., & Annisa, S. (2020). Pengaruh Covid-19 terhadap Pergerakan Indeks Harga Saham Gabungan (IHSG). Jurnal Manajemen Dan Organisasi, 11(3), 170–178. https://doi.org/10.29244/jmo.v11i3.32657Google ScholarCross Ref
- Rabhi, A. (2020). Stock market vulnerability to the Covid-19 pandemic: Evidence from emerging Asian stock markets Stock market vulnerability to the Covid-19 pandemic: Evidence from emerging Asian stock markets. 101774.Google Scholar
- Uyanık, G. K., & Güler, N. (2013). A Study on Multiple Linear Regression Analysis. Procedia - Social and Behavioral Sciences, 106, 234–240. https://doi.org/10.1016/j.sbspro.2013.12.027Google ScholarCross Ref
- Karafiath, I. (2009). Is there a viable alternative to ordinary least squares regression when security abnormal returns are the dependent variable? Review of Quantitative Finance and Accounting, 32(1), 17–31. https://doi.org/10.1007/s11156-007-0079-yGoogle ScholarCross Ref
- Marill, K. A. (2004). Advanced Statistics: Linear Regression, Part II: Multiple Linear Regression. Academic Emergency Medicine, 11(1), 94–102. https://doi.org/10.1197/j.aem.2003.09.006Google ScholarCross Ref
- MARDIATMOKO, G.-. (2020). Pentingnya Uji Asumsi Klasik Pada Analisis Regresi Linier Berganda. BAREKENG: Jurnal Ilmu Matematika Dan Terapan, 14(3), 333–342. https://doi.org/10.30598/barekengvol14iss3pp333-342Google ScholarCross Ref
- Prasetio, A. (2011). Manajemen Pemasaran, Analisis Perencanaan dan Pengendalian. Management Analysis Journal, 1(4).Google Scholar
- Wooldridge, Jeffrey M. (2004). On the robustness of fixed effects and related estimators in correlated random coefficient panel data models. Working Papers, August, 22. http://www.cemmap.ac.uk/publications.php?publication_id=2621Google Scholar
- Andrews, D. F. (1974). A robust method for multiple linear regression. Technometrics, 16(4), 523–531. https://doi.org/10.1080/00401706.1974.10489233Google ScholarCross Ref
- Haryati, B., Nugroho, S., & Etis Sunandi. (2014). Metode Standard Error Newey West Untuk Autokorelasi Pada Analisis Regresi Data Panel. Matematika, FMIPA, Universitas Bengkulu, 1–14.Google Scholar
- Gujarati. (2004). Basic Econometrics 4 th edition. The McGrawHill Companies.Google Scholar
- STATA. (2022). Regression with Newey–West standard errors.Google Scholar
- Wooldridge, J. M. (2020). Introductory Econometrics. In Tolerance Analysis of Electronic Circuits Using MATHCAD. https://doi.org/10.1201/9781315215402-43Google ScholarCross Ref
- Nurlaila, Z., SUSILAWATI, M., & NILAKUSMAWATI, D. P. E. (2017). Penerapan Metode Newey West Dalam Mengoreksi Standard Error Ketika Terjadi Heteroskedastisitas Dan Autokorelasi Pada Analisis Regresi. E-Jurnal Matematika, 6(1), 7. https://doi.org/10.24843/mtk.2017.v06.i01.p142Google ScholarCross Ref
- Sami, M., & Abdallah, W. (2021). How does the cryptocurrency market affect the stock market performance in the MENA region? Journal of Economic and Administrative Sciences, 37(4), 741–753. https://doi.org/10.1108/jeas-07-2019-0078Google ScholarCross Ref
- Bhullar, P., & Bhatnagar, D. (2020). Bitcoins as a determinant of stock market movements: A comparison of Indian and Chinese Stock Markets. Theoretical and Applied Economics, XXVII(3), 193–202.Google Scholar
- Mohd Thas Thaker, H., & Ah Mand, A. (2021). Bitcoin and stock markets: a revisit of relationship. Journal of Derivatives and Quantitative Studies: 선물연구, 29(3), 234–256. https://doi.org/10.1108/jdqs-07-2020-0016Google ScholarCross Ref
- Sihombing, M. S. P., Nawir, J., & Mulyantini, S. (2020). CRYPTOCURRENCY, NILAI TUKAR DAN REAL ASSET TERHADAP HARGA SAHAM PADA PERBANKAN INDONESIA YANG TERDAFTAR DI BURSA EFEK INDONESIA.Google Scholar
- Handiani, S. (2014). Pengaruh Harga Emas Dunia, Harga Minyak Dunia dan Nilai Tukar Dolar Amerika/Rupiah Terhadap Indeks Harga Saham Gabungan Pada Periode 2008-2013. E-Journal Graduate Unpar, 1(1), 85–93. http://journal.unpar.ac.id/index.php/unpargraduate/article/view/552Google Scholar
- Rusmijati. (2019). 338 | DINAMIC: Directory Journal of Economic Volume 1 Nomor 3 Tahun 2019. 1, 338–347.Google Scholar
- Prawirosaputro, B., & Hapsari, Y. D. (2017). the Effects of Rupiah Currency, World Oil Prices, and World Gold Price on Composited Stock Price Index (Ihsg) in 2016. Jurnal Manajemen, 14(2), 144–151. https://doi.org/10.25170/jm.v14i2.784Google ScholarCross Ref
- Lubis, S. W., Alfarisi, M. F., & Adrianto Fajri. (2021). The Effect of Oil Prices, Gold and Exchanges on JCI During the Covid-19. Enrichment: Journal of Management, 12(1), 135–145.Google Scholar
- Irianto, G. (2002). Pengaruh Bunga Deposito, Kurs Mata Uang, dan Harga Emas terhadap Indeks Harga Saham Gabungan (Ihsg). The Winners, 3(1), 1. https://doi.org/10.21512/tw.v3i1.3827Google ScholarCross Ref
- Purnamasari, D., & Sukmana, R. (2017). Pengaruh Harga Emas Dunia, Harga Minyak Mentah Dunia dan Indeks Produksi Industri Terhadap Indeks Saham di Jakarta Islamic Index (JII) Dalam Jangka Panjang dan Jangka Pendek (Periode Januari 2005-Desember 2015). Jurnal Ekonomi Syariah Teori Dan Terapan, 4(7), 515. https://doi.org/10.20473/vol4iss20177pp515-530Google ScholarCross Ref
- 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.Google Scholar
- Prasetiono, D. W. (2010). Analisis Pengaruh Faktor Fundamental Ekonomi Makro Dan Harga Minyak Terhadap Saham Lq45 Dalam Jangka Pendek Dan Jangka Panjang. Journal of Indonesian Applied Economics, Vol. 4(1), 11–25.Google ScholarCross Ref
- Gunistiyo, G., Waskito, J., & Utami, Y. (2021). Indonesia stock exchange: Abnormal return amid pandemic. Jurnal Inovasi Ekonomi, 6(01), 15–20. https://doi.org/10.22219/jiko.v6i01.16056Google ScholarCross Ref
- Ong, M., & Khornida Marheni, D. (2021). the Effect of Covid-19 on Stock Market Return in Consumer Goods Sector in Indonesia. Jurnal Ilmiah MEA (Manajemen, Ekonomi, & Akuntansi), 5(3), 1779–1793.Google Scholar
- Azhar Susanto & Meiryani. 2018. How user ability and top management support influence on accounting information system quality and its impact on the quality of accounting information. Journal of Engineering and applied sciences, 13(16), pp-6645-6652.Google Scholar
- Meiryani.,Siagian,P.,Puspokusurno, R.A.A.W.,Lusianah. 2020. Decision Making and Management Information Systems. Journal of Critical Reviews.7(7), pp. 320-325Google Scholar
- Susanto,A.,Meiryani. The Importance of Risk Management in an Organizations. International Journal of Scientific and Technology Research, 7(11), pp. 103-107.Google Scholar
Index Terms
- Bitcoin, Global Gold and Crude Oil Prices, Covid-19 Active Cases in Indonesia: Determinants of Indonesia Stock Exchange Volatility During the Covid-19 Pandemic
Recommendations
Impact of COVID-19 on volatility of BSE Sensex stock index
The present study investigates the impact of COVID-19 on the volatility of BSE Sensex stock index. The weekly data on COVID-19 fatality cases, an independent variable, in India from 1 March 2020 to 27 December 2020 has been taken from the official website ...
Does COVID-19 Outbreak Push Saudi Crude Oil to Connect with Selected GCC Equity Market? Insight of Time Varying Linkage
AbstractThis paper attempts to investigate the dynamic linkages between Saudi crude oil prices to the select GCC (Gulf Cooperation Council) equity market during COVID-19 outbreak. We measure the Saudi oil market as Saudi Aramco share price while equity ...
The Impact of the COVID-19 Pandemic on the Stock Market Returns: Evidence from the Chinese Stock Market
ICCMB '23: Proceedings of the 2023 6th International Conference on Computers in Management and BusinessThis study investigates the association between the Chinese stock market returns and the COVID-19 pandemic. The empirical results reveal that the COVID-19 pandemic negatively impacts stock market returns. We report our findings first by investigating ...
Comments