Korelasi Dinamis Antara Pergerakan Harga Minyak Dunia dan Indeks Harga Saham Sektoral di Bursa Efek Indonesia

Yunita Dewi Safitri, Robiyanto Robiyanto


Changes in the situation that move very quickly on the commodity market have an impact on financial markets, one of which is the stock market in Indonesia. Therefore this study aims to examine the dynamic correlation between the movement of world oil prices and the Sectoral Stock Price Index listed on the Indonesia Stock Exchange (IDX). The data used is obtained from secondary data in the form of daily closing price data for world oil prices and Sectoral Stock Price Index from January 2017 to June 2020. The analysis technique used is Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH), due to previous studies mostly using a static approach. The results of this study show that the DCC-GARCH value between world oil prices (Brent and WTI) and Sectoral Stock Price Index tends to be very weak. A negative dynamic correlation was also found in the Consumer Goods Sector. This research can be a reference for investors who want to invest stocks in Indonesia by looking at the correlation between world oil prices and the Sectoral Stock Price Index.


Europe Brent; West Texas Intermediate (WTI); Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH); Sectoral Stock Price Index

Full Text:



Alghalith, M. (2010). The Interaction Between Food Prices and Oil Prices. Energy Economics, 32(6), 1520–1522.

Alkhateeb, T. T. Y., & Sultan, Z. A. (2019). Oil price and economic growth: The case of Indian economy. International Journal of Energy Economics and Policy, 9(3), 274–279.

Arouri, M. E. H. (2011). Does Crude Oil Move Stock Markets in Europe? A sector Investigation. Economic Modelling, 28(4), 1716–1725.

Arouri, M. E. H., Lahiani, A., & Nguyen, D. K. (2015). World gold prices and stock returns in China: Insights for hedging and diversification strategies. Economic Modelling, 44, 273–282.

Basit, A. (2020). Pengaruh Harga Emas dan Minyak Dunia Terhadap Indeks Harga Saham Gabungan (IHSG) Periode 2016-2019. Jurnal Aplikasi Akuntansi, 5(1), 42–51.

Bjørnland, H. C. (2008). Monetary policy and exchange rate interactions in a small open economy. The Scandinavian Journal of Economics, 110(1), 197–221.

Bursa Efek Indonesia. (2010). Buku Panduan Indeks Harga Saham Bursa Efek Indonesia. https://idx.co.id/media/1481/buku-panduan-indeks-2010.pdf

Cermeño, R., & Grier, K. B. (2001). Modeling GARCH processes in Panel Data: Theory, Simulations and Examples. The University of Oklahoma, Working Paper. https://www.semanticscholar.org/paper/Modeling-GARCH-processes-in-Panel-Data-%3A-Theory-%2C-Cermeño-Grier/39f13de7087e03eb635f3aaef4792f26fa5a9d78

Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20(3), 339–350.

Filis, G., Degiannakis, S., & Floros, C. (2011). Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries. International Review of Financial Analysis, 20(3), 152–156.

Gumelar, G. (2016). ESDM Pilih Dated Brent Jadi Formula Harga Minyak Baru. Diakses 25 September 2020, https://www.cnnindonesia.com/ekonomi/20160720153618-85-145901/esdm-pilih-dated-brent-jadi-formula-harga-minyak-baru

Gumilang, R. C., Hidayat, R. R., & Endang NP, M. G. W. (2014). Pengaruh Variabel Makro Ekonomi, Harga Emas Dan Harga Minyak Dunia Terhadap Indeks Harga Saham Gabungan. Jurnal Administrasi Bisnis (JAB), 14(2), 1–9.

Handiani, S. (2014). Pengaruh Harga Emas Dunia, Harga Minyak Dunia dan Nilai Tukar Dolar Amerika/Rupiah Terhadap Indeks Harga Saham Gabungan Pada Periode 2008-2013. E-Journal Graduate Unpar, 1(1), 85–93.

Hersugondo, S., Robiyanto, R., Wahyudi, S., & Muharam, H. (2015). The world oil price movement and stock return in several Southeast Asia’s Capital Markets. International Journal of Applied Business and Economic Research, 13(2), 527–534.

Hussin, M. Y. M., Muhammad, F., Razak, A. A., Tha, G. P., & Marwan, N. (2013). The Link Between Gold Price, Oil Price and Islamic Stock Market: Experience from Malaysia. Journal of Studies in Social Sciences, 4(2), 161–182.

Istamar, Sarfiah, S. N., & Rusmijati. (2019). Analisis Pengaruh Harga Minyak Dunia, Harga Emas, dan Nilai Kurs Rupiah Terhadap Indeks Harga Saham Gabungan di Bursa Efek Indonesia tahun 1998-2018. DINAMIC: Directory Journal of Economic, 1(4), 433–442.

Jubinski, D., & Lipton, A. F. (2013). VIX, Gold, Silver, and Oil: How do Commodities React to Financial Market Volatility? Journal of Accounting and Finance, 13(1), 70–88.

Klein, T. (2018). Trends and contagion in WTI and Brent crude oil spot and futures markets - The role of OPEC in the last decade. Energy Economics, 75, 636–646.

Le, T.-H., & Chang, Y. (2011). Dynamics Between Strategic Commodities and Financial Variables. In Economic Growth Centre Working Paper (No. 1104). https://ideas.repec.org/p/nan/wpaper/1104.html

Lin, B., Wesseh, P. K., & Appiah, M. O. (2013). Oil Price Fluctuation, Volatility Spillover, And The Ghanaian Equity Market: Implication For Portfolio Management And Hedging Effectiveness. Energy Economics, 42, 172–182.

Malkiel, B. G. (2011). The efficient market hypothesis and financial crisis. Working Paper. https://www.russellsage.org/sites/all/files/Rethinking-Finance/Malkiel.

Masih, R., Peters, S., & Mello, L. D. (2011). Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea. Energy Economics, 33(5), 975–986.

Mensi, W. (2019). Global Financial Crisis and Co-movements between Oil Prices and Sector Stock Markets in Saudi Arabia: A VaR based Wavelet. Borsa Istanbul Review, 19(1), 24–38.

Newey, W., & Mcfadden, D. (1994). Large sample estimation testing. Handbook of Econometrics (Vol. 4, hal. 2113–2245). North-Holland: Elsevier.

Pamungkas P. B. S., & Prasetiono, P. (2018). Analisis Pengaruh Harga Minyak Dunia, Kurs Rupiah/US$, dan Fed Rate terhadap Indeks Sektoral Pasar Saham di Indonesia (Periode Januari 2006-Desember 2016). Diponegoro Journal of Management, 7(2), 102–115.

Papiez, M., & Smiech, S. (2012). Causality in mean and variance between returns of crude oil and metal prices, agricultural prices and financial market prices. 30th International Conference Mathematical Methods in Economics, at Karviná: Silesian Univerity, School of Business Administration, 675–680.

Raraga, F., Chabachib, M., & Muharam, H. (2012). Analisis Pengaruh Harga Minyak dan Harga Emas Terhadap Hubungan Timbal-Balik Kurs dan Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia (BEI) 2000 -2013. Jurnal Bisnis Strategi, 21(1), 72–94.

Ratti, R. A., & Vespignani, J. L. (2015). OPEC and non-OPEC oil production and the global economy. Energy Economics, 50, 364–378.

Riga, M. H., Indriana, V., & Rahmanto, F. (2016). The Effects of Crude Oil Price Changes on the Indonesian Stock Market: A Sector Investigation. Indonesian Capital Market Review, 8(1), 12–22.

Robiyanto, R. (2017). The Analysis of Capital Market Integration in Asean Region By Using the Ogarch Approach. Jurnal Keuangan dan Perbankan, 21(2), 169–175.

Robiyanto, R., Wahyudi, S., & Pangestuti, I. R. D. (2017). The volatility–variability hypotheses testing and hedging effectiveness of precious metals for the Indonesian and Malaysian capital markets. Gadjah Mada International Journal of Business, 19(2), 167–192.

Safitri, K. (2020). Harga Minyak Minus, Bagaimana IHSG Hari Ini? Diakses 19 Mei 2020, https://money.kompas.com/read/2020/04/21/081817926/harga-minyak-minus-bagaimana-ihsg-hari-ini

Scholtens, B., & Yurtsever, C. (2012). Oil Price Shocks and European Industries. Energy Economics, 34(4), 1187–1195.

Souček, M. (2013). Crude oil , equity and gold futures open interest co-movements. Energy Economics, 40, 306–315.

Suryajaya, S., & Kurnia, K. (2019). Pengaruh Nilai Tukar, Harga Minyak, Inflasi Terhadap Delta Properti di Pasar Saham Indonesia. Jurnal Akuntansi Maranatha, 11(1), 146–165.

Suryanto, S. (2017). Pengaruh Harga Minyak Dan Emas Terhadap Indeks Harga Saham Gabungan Di Bursa Efek Indonesia. JURISMA : Jurnal Riset Bisnis & Manajemen, 7(1), 1–13.

Trabelsi, N. (2017). Tail Dependence Between Oil and Stocks of Major Oil-Exporting Countries Using The CoVaR Approach. Borsa Istanbul Review, 17(4), 228–237.

Tursoy, T., & Faisal, F. (2018). The impact of gold and crude oil prices on stock market in Turkey: Empirical evidences from ARDL bounds test and combined cointegration. Resources Policy, 55, 49–54.

DOI: http://dx.doi.org/10.26418/jebik.v9i3.42949


  • There are currently no refbacks.





Faculty of Economics and Business
Universitas Tanjungpura

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.


real time web analytics View My Stats