Navigating Market Volatility: The Role of Gold,  Crude Oil, and COVID-19 on the Stock Price

Eudokimos Brian  Starli; Fitriya Fauzi

doi:10.47747/ijfr.v6i3.3233

Authors

Eudokimos Brian Starli Universitas Bina Nusantara
Fitriya Fauzi Sekolah Tinggi Ilmu Ekonomi Serelo Lahat, Indonesia

DOI:

https://doi.org/10.47747/ijfr.v6i3.3233

Keywords:

Gold price, Crude Oil, COVID-19, Stock price, Indonesia

Abstract

This study aims to analyze the influence of global gold prices, crude oil prices, and daily COVID-19 cases on the Indonesian Composite Index (IHSG) before, during, and after the COVID-19 pandemic. The study consists of three independent variables: global gold prices, crude oil prices, and daily COVID-19 cases, with one dependent variable: the IHSG. The data was taken from 2018 to 2023, covering the periods before, during, and after the pandemic. The data processing is divided into four periods: before, during, and after the pandemic, up to the overall period. This paper used the Quantile Regression 0.75 and Generalized Linear Model (GLM) research methods due to the presence of extreme outliers that prevented the data from meeting normality requirements. By using Quantile Regression 0.75 and GLM, data normality can be ruled out. Both research methods showed similar significant results. Gold has a positive effect on the IHSG, and crude oil has a larger coefficient than gold. Meanwhile, COVID-19 has a significant but negative effect, with a small coefficient, suggesting that the daily number of COVID-19 cases has no impact on the IHSG. These findings have practical implications for understanding the dynamics of the IHSG, engaging the reader's interest in the study's relevance.

References

Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities? Research in International Business and Finance, 54. https://doi.org/10.1016/j.ribaf.2020.101249

Azimli, A. (2020). The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach. Finance Research Letters, 36. https://doi.org/10.1016/j.frl.2020.101648

Fairuzie, A., Siagian, A., & Stefhani, Y. (2022). Analisis pengaruh earning per share, harga emas dunia, inflasi terhadap harga saham perusahaan sektor pertambangan di bursa efek Indonesia pada masa pandemi Covid-19. Jurnal Manajemen, 6(2), 37-52. https://doi.org/10.54964/manajemen/37

Ghazali, M. F., Lean, H. H., & Bahari, Z. (2020). Does gold investment offer protection against stock market losses? evidence from five countries. Singapore Economic Review, 65(2), 275–301. https://doi.org/10.1142/S021759081950036X

Ghorbali, B., & Naoui, K. (2022). Does gold act as a safe haven and hedge for G7 stock markets? A Comparative Assessment between COVID-19 versus Global Financial Crisis (GFC).

Hasibuan, L. H., Yanuar, F., Devianto, D., & Maiyastri, M. (2024). Quantile Regression Analysis; Simulation Study With Violation of Normality Assumption. JOSTECH Journal of Science and Technology, 4(2), 133-142.

Ikhsani, C. O., Rosita, I., & Rissi, D. M. (2023). Pengaruh Nilai Tukar, Inflasi Dan Harga Minyak Dunia Terhadap Harga Saham Perusahaan Migas Pada Masa Pandemi Covid-19. Accounting Information System, Taxes, and Auditing, 2(2), 30–41. https://akuntansi.pnp.ac.id/aista

Mellquist, & Markus. (2007). The Relationship Between the Price of Oil and Unemployment in Sweden.

Mensi, W., Vo, X. V., & Kang, S. H. (2022). COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets. Economic Analysis and Policy, 74, 702–715. https://doi.org/10.1016/j.eap.2022.04.001

Munawaroh, H. (2019). Pengaruh BI Rate, Kurs Rupiah, Tingkat Inflasi Harga Minyak Dunia, Harga Emas Dunia Terhadap Indeks Harga Saham Gabungan (IHSG)(Studi pada Perusahaan yang terdaftar di Bursa Efek Indonesia Periode 2013-2018) (Doctoral dissertation, Universitas Brawijaya).

Nurhasanah, S., Puri, P. A., & Wilis, R. A. (2021). Pengaruh harga minyak dunia, harga emas dunia, tingkat inflasi, kurs rupiah, Indeks Dow Jones dan Indeks Shanghai Composite Terhadap indeks harga saham gabungan yang terdaftar di Bursa Efek Indonesia periode 2015-2019. Jurnal Ilmiah Manajemen, Ekonomi, & Akuntansi (MEA), 5(3), 2935-2949.

Phillips, P. J., & Pohl, G. (2024). Gold Mining, Capital, and the Gold Standard. Capital, and the Gold Standard (September 23, 2024).

Priyana, E., Hidayatullah, H., & Rosaria, D. (2024). Analisis pengaruh harga minyak dunia, nilai tukar rupiah, inflasi dan suku bunga SBI terhadap indeks harga saham gabungan (IHSG). Journal of Management and Innovation Entrepreneurship (JMIE), 1(4), 963-975.

Rahayu, P. S. P. S., & Diatmika, I. P. G. (2023). Pengaruh inflasi, harga minyak dunia, dan Dow Jones Industrial Average terhadap indeks harga saham gabungan di Bursa Efek Indonesia (Periode Januari 2019-Agustus 2022). JIMAT (Jurnal Ilmiah Mahasiswa Akuntansi) Undiksha, 14(04), 1104-1120.

Rahim, R. (2021). Pengaruh Nilai Tukar IDR dan Harga Emas Terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (BEI) saat Pandemi Covid-19. www.bi.go.id,

Robiyanto, R., Nugroho, B. A., Handriani, E., & Huruta, A. D. (2020). Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities. Financial Innovation, 6(1). https://doi.org/10.1186/s40854-020-00199-w

Rotinsulu, R. Y., Mangantar, M., & Untu, V. N. (2021). Uji kausalitas beberapa indeks saham global, harga emas dan minyak mentah dunia terhadap kinerja indeks harga saham gabungan (IHSG) periode 2016-2020. Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 9(3), 1611-1619.

Saidi, S., Herawati, N., & Nisa, K. (2021). Modeling with generalized linear model on covid-19: Cases in Indonesia. International Journal of Electronics and Communications System, 1(1), 25-33. http://ejournal.radenintan.ac.id/index.php/IJECS/index://creativecommons.org/licenses/by-sa/4.0/

Septiana, E. D., Wahono, B., & Mustapita, A. F. (2021). Pengaruh Harga Minyak Dunia, Harga Emas Dunia Dan Inflasi Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia (BEI) Periode 2018-2020. E-JRM: Elektronik Jurnal Riset Manajemen, 10(10).

Sinlapates, P., & Chancharat, S. (2024). Impact of Oil and Gold Prices on Southeast Asian Stock Markets: Empirical Evidence from Quantile Regression Analysis. ABAC Journal, 44(2), 123-137. https://doi.org/10.59865/ABACJ.2024.17

Sugiyono. (2019). Metode Penelitian Kuantitatif. Bandung: Alfabeta.

Tuna, G., & Tuna, V. E. (2022). Are effects of COVID-19 pandemic on financial markets permanent or temporary? Evidence from gold, oil and stock markets. Resources Policy, 76. https://doi.org/10.1016/j.resourpol.2022.102637

Yan, L. (2012). Analysis of the international oil price fluctuations and its influencing factors. American Journal of Industrial and business management, 2(2), 39-46. https://doi.org/10.4236/ajibm.2012.22006

Zeinedini, S., Karimi, M. S., & Khanzadi, A. (2022). Impact of global oil and gold prices on the Iran stock market returns during the Covid-19 pandemic using the quantile regression approach. Resources Policy, 76, 102602. https://doi.org/10.1016/j.resourpol.2022.102602