Analisis Dinamika Ketidakpastian Global dan Investasi Asing pada Pasar Saham dan Obligasi Indonesia

Abstract

ABDURRAHMAN MAHDIDDARY. Analisis Dinamika Ketidakpastian Global dan Investasi Asing pada Pasar Saham dan Obligasi Indonesia. Dibimbing oleh FAHMI SALAM AHMAD

Arus modal portofolio asing di Indonesia rentan terhadap ketidakpastian global. Penelitian ini menganalisis dampak guncangan CBOE Volatility Index (VIX) terhadap kondisi makroekonomi dan investasi asing di pasar saham dan obligasi selama 2006–2025 menggunakan Vector Error Correction Model (VECM). Hasil Impulse Response Function (IRF) menunjukkan bahwa kenaikan VIX menyebabkan Rupiah melemah dan diikuti penyesuaian suku bunga oleh Bank Indonesia. Kondisi tersebut menekan IHSG dan meningkatkan yield SBN, sehingga mendorong arus modal keluar dari pasar saham dan obligasi, dengan tekanan yang lebih besar pada pasar surat utang hingga terbentuk keseimbangan baru. Hasil Forecast Error Variance Decomposition (FEVD) menunjukkan bahwa pasar surat utang terutama dipengaruhi oleh VIX dan risiko nilai tukar, sedangkan arus modal saham semakin dipengaruhi oleh perpindahan investasi dari pasar obligasi. Oleh karena itu, diperlukan penguatan stabilitas nilai tukar, pengelolaan arus modal jangka pendek, hingga pendalaman pasar SBN.

Kata kunci: arus modal asing, ketidakpastian global, realokasi aset silang, VECM, volatilitas

ABDURRAHMAN MAHDIDDARY. Analysis of Global Uncertainty Dynamics and Foreign Investment in Indonesia’s Stock and Bond Markets. Supervised by FAHMI SALAM AHMAD.

Foreign portfolio capital flows in Indonesia are vulnerable to global uncertainty. This study examines the effects of CBOE Volatility Index (VIX) shocks on domestic macroeconomic conditions and foreign investment in equity and bond markets during 2006–2025 using the Vector Error Correction Model (VECM). Impulse Response Function (IRF) results show that higher VIX causes rupiah depreciation, followed by interest rate adjustments by Bank Indonesia. This puts pressure on the IHSG and raises SBN yields, leading to capital outflows from both equity and bond markets, with greater pressure on the debt market until a new equilibrium is reached. Forecast Error Variance Decomposition (FEVD) results show that debt market movements are mainly influenced by VIX and exchange rate risks, while equity flows are increasingly affected by investment reallocation from the bond market. Therefore, stronger exchange rate stability, short-term capital flow management, and deeper government bond markets are needed.

Keywords: foreign capital flows, global uncertainty, cross-asset reallocation, VECM, volatility