Analisis Hubungan Return Harga Komoditas dan Indeks Pasar Saham Indonesia Menggunakan Copula

Abstract

Indonesia is rich in natural resources and occupies an important position in the global raw materials market. The country's rich resources such as petroleum, coal, nickel and palm oil (CPO) have a significant impact on the economic situation. As one of the world's leading producers and exporters of raw materials, the fate of the Indonesian economy is closely related to price fluctuations. The effect of this is an increase in share prices due to higher future earnings and dividends. However, to better understand the relationship between commodity prices and stock market performance, more realistic modeling of the distribution of random variables is needed. The assumption that the distribution of random variables has a normal distribution is often unrealistic and there are many methods that can be used to determine the structure of the relationship between financial assets and commodities. This research adopts the copula method to analyze the dependence between stock returns and commodity prices, as well as to measure the relationship between main commodity prices (such as oil, coal, nickel and CPO) and the Indonesian Composite Stock Price Index (IHSG) from the period 29 September 2021 to 29 September 2023. By utilizing time series modeling, this research aims to describe the dynamics of the relationship between commodity price returns and IHSG. Through this approach, research can produce copula distributions that make it possible to more clearly visualize the relationship between commodity prices and the IHSG. Thus, this analysis provides a more in-depth picture of how commodity price fluctuations impact the performance of the Indonesian stock market, as well as how significant the dependence between the two is. This approach allows researchers to better understand the dynamics of Indonesian financial markets in the context of global commodity price fluctuations, which are key in making investment decisions and economic policies. The research results show that the correlation between commodity prices and the Indonesian stock index generally tends to be weak. This diverse research provides valuable insights into the complex interdependencies within Indonesia's financial landscape. Understanding the relationship between commodity prices and stock indices is of great importance for investors and policy makers, as it provides the basis for informed decision making in navigating the complex global economy. With a better understanding of these linkages, market players can plan smarter investment strategies and policymakers can devise more effective measures to maintain the country's economic stability.