The impact of oil price shocks, inflation rate, exchange rate, and industrial production index on stock market returns in indonesia

Mohammad Sultan Basyiruddin, Dr. Leo Indra Wardhana, S.E., M.Sc., CFP

2024 | Tesis | S2 MANAJEMEN (MM) JAKARTA

Penelitian ini bertujuan untuk mengetahui dampak dari oil shocks price (minyak Brent) dan variabel makroekonomi terhadap return pasar saham di Indonesia selama periode 2013 – 2023. Studi ini dilakukan berdasarkan penelitian sebelumnya yang terkait dengan pengembalian saham dan variabel makroekonomi yang dipengaruhi oleh guncangan harga minyak mentah Brent. Dalam penelitian ini, penulis menggunakan metode SVAR (Structural Vector Regression) untuk melihat pengaruh guncangan harga minyak Brent terhadap variabel dependen. Untuk menentukan durasi dan visualisasi guncangan tersebut, penulis menggunakan metode dekomposisi varians dan respons impuls.Return saham diwakili oleh Indeks Harga Saham Gabungan (IHSG), sedangkan variabel makroekonomi diwakili oleh tiga variabel: tingkat inflasi, nilai tukar (Rupiah Indonesia terhadap Dolar AS), dan indeks produksi industri. Temuan dari penelitian ini menunjukkan bahwa guncangan harga minyak secara signifikan berpengaruh positif terhadap return IHSG, sedangkan variabel makroekonomi (tingkat inflasi, nilai tukar, dan indeks produksi industri) berpengaruh negatif terhadap pengembalian pasar saham di Indonesia.

This research is aimed to acknowledge the impact of drastic changes world crude oil prices (Brent oil) and macroeconomic variables on stock market returns in Indonesia during period 2013 – 2023. The study was conducted based on previous research which related to stock return and macroeconomic variables that are affected by shocks of brent crude oil prices. In this research, the author used SVAR (Structural Vector Regression) method to see the effect of shocks from Brent crude oil prices on dependent variable. In order to determine the duration and of the shocks and visualize them, the author employs the variance decomposition and impulse response method. The stock return is represented by the Indonesia Composite Stock Price Index (IHSG), while the macroeconomic variables are represented by three variables: inflation rate, exchange rate (Indonesian Rupiah against the US Dollar), and industrial production index. The findings of this research indicate that oil price shocks significantly positively influence stock market returns, whereas the macroeconomic variables (inflation rate, exchange rate, and industrial production index) negatively affect stock market returns in Indonesia.

Kata Kunci : World crude oil prices (Brent oil), Oil Price Shocks, Indonesia Composite Stock Price Index (IHSG), Inflation Rate, Exchange Rate, Industrial Production Index.