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All Journal Economic Journal of Emerging Markets Jurnal Ekonomi Kuantitatif Terapan MATRIK: JURNAL MANAJEMEN, STRATEGI BISNIS, DAN KEWIRAUSAHAAN JURNAL BISNIS STRATEGI Jurnal Ilmu Sosial dan Humaniora Jurnal Keuangan dan Perbankan Al-Iqtishad : Jurnal Ilmu Ekonomi Syariah (Journal of Islamic Economics) Journal of Economics, Business, & Accountancy Ventura Gadjah Mada International Journal of Business Among Makarti Proceeding SENDI_U International Research Journal of Business Studies (E-Journal) Jurnal Ekonomi dan Bisnis Jurnal Dinamika Ekonomi dan Bisnis Jurnal Riset Akuntansi dan Keuangan AFRE Accounting Financial Review Jurnal Organisasi Dan Manajemen Fokus Ekonomi Equilibria Pendidikan : Jurnal Ilmiah Pendidikan Ekonomi International Journal of Social Science and Business Magisma: Jurnal Ilmiah Ekonomi dan Bisnis Atma Jaya Accounting Reseach (AJAR) JIMEK : Jurnal Ilmiah Mahasiswa Ekonomi JASF (Journal of Accounting and Strategic Finance) Jurnal Ekonomi Dan Bisnis Jurnal Manajemen Jurnal Pasar Modal dan Bisnis Inobis: Jurnal Inovasi Bisnis dan Manajemen Indonesia Journal of Management and Entrepreneurship Research Management and Accounting Expose Jurnal Akuntansi Keuangan dan Bisnis Jurnal Manajemen dan Kewirausahaan Indonesian Journal of Sustainability Accounting and Management
Robiyanto
Universitas Kristen Satya Wacana
Religion Arts Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Environmental Science Law, Crime, Criminology & Criminal Justice Social Sciences Other

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Journal : Among Makarti

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VOLATILITY OF GOLD AND OIL PRICES ON THE INDONESIAN STOCK MARKET IN GEOPOLITICAL CRISIS Hadi, Natanael Kristolife Ardana; Robiyanto, Robiyanto
Among Makarti Vol 18, No 1 (2025): Among Makarti
Publisher : STIE AMA Salatiga

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.52353/ama.v18i1.815

Abstract

Abstract : This study investigates the impact of oil and gold price volatility on stock market returns in Indonesia during periods of geopolitical instability, specifically the Russia-Ukraine conflict and the Israel-Hamas crisis. Utilizing secondary data, the research analyzes the daily closing prices of West Texas Intermediate (WTI) crude oil, Brent Crude Oil, gold, and the Jakarta Composite Index (JCI). The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) (1,1) model is employed as the primary analytical framework. The findings reveal that oil and gold price volatility exerts a positive and unidirectional influence on Indonesian stock returns during the aforementioned geopolitical crises. This suggests that investors tend to seek safe-haven assets, such as gold, in times of economic uncertainty and geopolitical turmoil. The increased volatility in gold prices is indicative of heightened market instability, particularly during financial crises and geopolitical disruptions. These results corroborate the notion of gold serving as a reliable safe-haven asset during periods of economic and geopolitical uncertainty.Abstrak : Penelitian ini menyelidiki dampak volatilitas harga minyak dan emas terhadap imbal hasil pasar saham di Indonesia selama periode ketidakstabilan geopolitik, khususnya konflik Rusia-Ukraina dan krisis Israel-Hamas. Dengan memanfaatkan data sekunder, penelitian ini menganalisis harga penutupan harian minyak mentah West Texas Intermediate (WTI), Brent Crude Oil, emas, dan Indeks Harga Saham Gabungan (IHSG). Model Generalized Autoregressive Conditional Heteroskedasticity (GARCH) (1,1) digunakan sebagai kerangka analisis utama. Temuan penelitian ini mengungkapkan bahwa volatilitas harga minyak dan emas memberikan pengaruh positif dan searah terhadap imbal hasil saham Indonesia selama krisis geopolitik tersebut. Hal ini menunjukkan bahwa investor cenderung mencari aset safe haven, seperti emas, di saat ketidakpastian ekonomi dan gejolak geopolitik. Meningkatnya volatilitas harga emas merupakan indikasi meningkatnya ketidakstabilan pasar, terutama selama krisis keuangan dan gangguan geopolitik. Hasil ini menguatkan gagasan bahwa emas berfungsi sebagai aset safe haven yang andal selama periode ketidakpastian ekonomi dan geopolitik.
Co-Authors A. Harijono Adi Cahya Stefanus Adi Rahadi Putra Adiputri, Bio Labora Afi Virna Noviani Akhmadi Akhmadi Alfi Syahri Alfi Syahri Anggraeny, Wafa Anggreini Pamilangan Anisha Cahyaningrum Apriani Dorkas Rambu Atahau Ardilla Putri Naina Sari Ashalia Fitri Yuliana Ashalia Fitri Yuliana Bonita Restu Dwijayati Budi Frensidy Budi Frensidy, Budi Cahyono, Aji Wikan Christina, Olivia Christopher Anthony Surya Dharma Dea Prastica Alsyahrin Dilla Andharini Eka Handriani Enrico Pranata Adiwidjojo Etheldreda Gladys Salvatori Eva Nurlita Fahmi Ihwanul Arifin Farrel Tegar Giovanni Fatikasari, Imania Gabriela Elvina Dwiastuti Siahaan Hadi, Natanael Kristolife Ardana Happy Catherine Harjum Muharam Hartanto, Aldhi Fajar Heny Handayani Hizkisevia Ayu Cahyapuspita Irene Rini Demi Pangestuti Isna Anggita Jenifer Christiani Bowa Kezia Viona Sugiyanto Kristiana Oktavia Kristiana Oktavia Kumar, Joseph John Allwyn Lakaba, Angriana Maria Magdalena Marwanti Mesakh Prihanto Surya Putra Mikha Mandela Kapahang Nila Listiana Nurlita, Eva Nurohman Nurohman P Purwanto Pamilangan, Anggreini Patrisinus Ceasar Gunadi Paulus Hartono Petrus Wijayanto Prayogo Prayogo Rihfenti Ernayani Ryan Bagas Wikantyoso Samuel Martono Silvia Putri Faridayanti Sintikhe Mega Treisya Siska Gita Pratiwi Siska Gita Pratiwi Siti Puryandani Stefan, Yonatan Alvin Stefanus, Adi Cahya Stefany Cindy Sugiyanto Sudjinan Sudjinan Sugeng Wahyudi, Sugeng Suryani, Cyndi Susanto, Auberta Danice Triyanto Ullanchiang Meillenia Tumbal Venina Cindy Kusumawati Vicho Dwindra Arisandhi Wafa Anggraeny Wisnu Mawardi Yahya Rechtiawan Djari Yehezkiel Chris Setiawan Yonatan Alvin Stefan Yunita Yunita Yunita Yunita Yunita Yunita Yuvica Lara Rovantiane Yuvica Lara Rovantiane Adicondro