Analisis Respons Indeks Harga Saham Gabungan terhadap Makroekonomi Domestik dan Global

Abstract

Indeks Harga Saham Gabungan rentan terhadap dinamika makroekonomi. Penelitian terdahulu menunjukkan hasil yang inkonsisten mengenai pengaruh harga emas, harga minyak, Indeks Harga Konsumen (IHK), dan kurs terhadap IHSG. Penelitian ini dirancang untuk menguji IHSG menggunakan makroekonomi domestik (obligasi pemerintah tenor 10 tahun, IHK, dan kurs rupiah), ekuitas global (Indeks S&P 500), dan komoditas global (emas dan minyak). Metode yang digunakan adalah Vector Error Correction Model dengan Efficient Market Hypothesis sebagai landasan teori. Periode penelitian mencakup Oktober 2004 Maret 2026. Impulse Response Function dan Forecast Error Variance Decomposition menunjukkan IHSG merespons positif guncangan S&P 500, harga emas, harga minyak, serta obligasi pemerintah tenor 10 tahun, dan merespons

The Jakarta Composite Index (JCI) is sensitive to macroeconomic dynamics. Previous studies have shown inconsistent results regarding the impact of gold prices, oil prices, Consumer Price Index (CPI), and exchange rates on the JCI. This study examines the JCI using domestic macroeconomic variables (10-year government bonds, CPI, and the rupiah exchange rate), global equities (S&P 500 Index), and global commodities (gold and oil). This study employs the Vector Error Correction Model, grounded in the Efficient Market Hypothesis. The period spans from October 2004 to March 2026. Impulse Response Function and Forecast Error Variance Decomposition analyses reveal that the JCI responds positively to shocks in the S&P 500, gold prices, oil prices, and 10 year government bonds, while responding negatively to shocks in the CPI and exchange rates. The contribution of the S&P 500 is substantial, whereas the contributions of gold and oil are relatively minor. Shocks related to exchange rates and government bonds dominate throughout the period. Declines in bond prices and exchange rate depreciation are key considerations for investors assessing investment risk. These conditions also warrant policymaker attention in maintaining monetary stability.