<![CDATA[Purpose: This study addresses limited evidence on the joint relationship between global commodity returns and Indonesian stock-market dynamics by examining gold, oil, and coal returns alongside volatility clustering in the Jakarta Composite Index (JCI).Research Methodology: Daily data from January 2014 to December 2024 were transformed into logarithmic returns and aligned across common trading dates, yielding 2,586 observations. The ARCH (1) model was estimated using Maximum Likelihood Estimation.Results: Gold and oil returns have positive and statistically significant associations with JCI returns, whereas coal returns show no significant association. The significant ARCH coefficient confirms that past return shocks influence current conditional volatility, indicating volatility clustering.Conclusions: Global commodities differ in their associations with JCI returns, while JCI volatility remains time-varying and sensitive to previous market shocks.Limitations: The model excludes other macro-financial variables and does not capture asymmetric volatility responses.Contributions: This study extends the application of financial contagion theory and the volatility clustering hypothesis by integrating global commodity returns with conditional stock-market volatility. It provides empirical evidence that gold and oil returns are significantly associated with JCI returns, while coal returns exhibit no significant relationship. The findings reinforce the relevance of time-varying volatility theory by demonstrating the persistence of market shocks through ARCH effects. By distinguishing commodity-specific return associations from conditional volatility dynamics, this study advances the understanding of cross-market linkages and offers theoretical insights into commodity–equity interactions in emerging markets, particularly Indonesia.]]>
