Integrasi Pasar Saham Indonesia Dengan Pasar Saham di Dunia dan Pasar Komoditas Serta Pengujian Emas Dunia Sebagai Safe Haven
Abstract
Studi ini meneliti integrasi pasar saham Indonesia dengan pasar saham Singapore, Malaysia, Jepang, China, Amerika Serikat serta minyak dunia dan emas dunia pada periode sebelum dan selama pandemi Covid-19. Studi ini juga meneliti peran emas sebagai safe haven untuk semua pasar saham tersebut dan minyak dunia selama periode pandemi Covid-19. Alat analisis yang digunakan yaitu Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroscedasticity (DCC GARCH). Hasil penelitian menunjukan bahwa pasar saham Indonesia memiliki perbedaan integrasi yang signifikan dengan pasar saham Singapore, Malaysia, China, Amerika Serikat serta dengan minyak dunia dan emas dunia pada periode sebelum dan selama pandemi Covid-19, namun pasar saham Indonesia tidak memiliki perbedaan integrasi dengan pasar saham Jepang pada periode sebelum dan selama pandemi Covid-19. Integrasi pada periode selama pandemi Covid-19 lebih tinggi dibandingkan periode sebelum pandemi Covid-19. Hasil tersebut mengindikasikan bahwa seluruh pasar saham, minyak dunia dan emas dunia dipengaruhi oleh faktor internasional yang sama selama periode pandemi Covid-19. Hasil penelitian lainnya menemukan bahwa emas tidak dapat digunakan sebagai safe haven untuk seluruh pasar saham dan minyak dunia pada seluruh periode selama pandemi Covid-19, namun dapat digunakan sebagai safe haven untuk pasar saham Indonesia, Singapore, Malaysia, Jepang, China dan Amerika Serikat hanya saat terjadi guncangan. Hasil tersebut menunjukan bahwa aset safe haven berumur pendek.
Kata Kunci: Integrasi pasar saham, Safe Haven, Diversifikasi, Korelasi Dinamis, DCC GARCH, Pandemi Covid-19.
Full Text:
Download PDFReferences
Adam, P., Rianse, U., Cahyono, E., & Rahim, M. (2015). International Journal of Energy Economics and Policy Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia. International Journal of Energy Economics and Policy, 5(2), 550–557.
Akhtaruzzaman, M., Boubaker, S., & Sensoy, A. (2020). Financial contagion during COVID–19 crisis. Finance Research Letters, May, 101604. https://doi.org/10.1016/j.frl.2020.101604
Baker, S. R., Bloom, N., Davis, S. J., Kost, K., Sammon, M., & Viratyosin, T. (2020). The Unprecedented Stock Market Reaction to COVID-19. The Review of Asset Pricing Studies, 1(DP 14543), 33–42. https://doi.org/10.1093/rapstu/raaa008
Baruník, J., Kočenda, E., & Vácha, L. (2016). Gold, oil, and stocks: Dynamic correlations. International Review of Economics and Finance, 42, 186–201. https://doi.org/10.1016/j.iref.2015.08.006
Baur, D. G., & Glover, K. J. (2012). The Destruction of a Safe Haven Asset? SSRN Electronic Journal, 1–19. https://doi.org/10.2139/ssrn.2142283
Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.x
Baur, D. G., & McDermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking and Finance, 34(8), 1886–1898. https://doi.org/10.1016/j.jbankfin.2009.12.008
Baur, D. G., & McDermott, T. K. J. (2016). Why is gold a safe haven? Journal of Behavioral and Experimental Finance, 10, 63–71. https://doi.org/10.1016/j.jbef.2016.03.002
Bracker, K., Docking, D. S., & Koch, P. D. (1999). Economic determinants of evolution in international stock market integration. Journal of Empirical Finance, 6(1), 1–27. https://doi.org/10.1016/S0927-5398(98)00007-3
Chkili, W. (2016). Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries. Research in International Business and Finance, 38, 22–34. https://doi.org/10.1016/j.ribaf.2016.03.005
Click, R. W., & Plummer, M. G. (2005). Stock market integration in ASEAN after the Asian financial crisis. Journal of Asian Economics, 16(1), 5–28. https://doi.org/10.1016/j.asieco.2004.11.018
Do, G. Q., & Nimanussornkul, C. (2016). Examining Interdependencies among International Gold and 5-ASEAN Stock Markets through the Conditional Correlations. InternatIonal Journal of IntellIgent TechnologIes and ApplIed StatIstIcs, 9, 153–167. https://doi.org/10.6148/IJITAS.2016.0902.05
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. https://doi.org/10.1198/073500102288618487
Engle, R. F., & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation , Estimation , and Testing. The Econometric Society Stable, 55(2), 251–276. http://www.jstor.org/stable/1913236
Gürgün, G., & Ünalmiş, I. (2014). Is gold a safe haven against equity market investment in emerging and developing countries? Finance Research Letters, 11(4), 341–348. https://doi.org/10.1016/j.frl.2014.07.003
Joyo, A. S., & Lefen, L. (2019). Stock market integration of Pakistan with its trading partners: A multivariate DCC-GARCH model approach. Sustainability (Switzerland), 11(2). https://doi.org/10.3390/su11020303
Kapahang, M. M., & Robiyanto, R. (2018). Apakah Logam Mulia Merupakan Safe Haven atau Hedge pada Beberapa Pasar Modal di Dunia? Jurnal Fokus Ekonomi, 13(2), 280–300.
Karim, B. A., & Karim, Z. A. (2012). Integration of ASEAN-5 stock markets: A revisit. Asian Academy of Management Journal of Accounting and Finance, 8(2), 21–41.
Kenani, J. M., Purnomo, J., & Maoni, F. (2013). The Impact of the Global Financial Crisis on the Integration of the Chinese and Indonesian Stock Markets. International Journal of Economics and Finance, 5(9), 69–81. https://doi.org/10.5539/ijef.v5n9p69
Lim, K., Lee, H., & Liew, K. (2003). International Diversification Benefits in Asean Stock Markets : a Revisit. Economics Working Paper, UniversityPutra, Malaysia, 1978(2000), 1–17. http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.199.8899&rep=rep1&type=pdf
Lucey, B. M., & Li, S. (2015). What precious metals act as safe havens, and when? Some US evidence. Applied Economics Letters, 22(1), 35–45. https://doi.org/10.1080/13504851.2014.920471
Majid, M. S. A., Meera, A. K. M., & Omar, M. A. (2008). Interdependence of asean-5 stock markets from the us and Japan. Global Economic Review, 37(2), 201–225. https://doi.org/10.1080/12265080802021201
Maneenop, S., & Kotcharin, S. (2020). The impacts of COVID-19 on the global airline industry: An event study approach. Journal of Air Transport Management, 89(August), 101920. https://doi.org/10.1016/j.jairtraman.2020.101920
Markowitz, H. M. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77–91. http://www.jstor.org/stabl
Muharam, H., Robiyanto, R., Pangestuti, I. R. D., & Mawardi, W. (2020). Measuring asian stock market integration by using orthogonal generalized autoregressive conditional heteroscedasticity. Montenegrin Journal of Economics, 16(1), 121–137. https://doi.org/10.14254/1800-5845/2020.16-1.8
Mukherjee, K., & Mishra, R. K. (2007). International stock market integration and its economic determinants: A study ofindian and world equity markets. Vikalpa, 32(4), 29–44. https://doi.org/10.1177/0256090920070403
Nguyen, C., Bhatti, M. I., Komorníková, M., & Komorník, J. (2016). Gold price and stock markets nexus under mixed-copulas. Economic Modelling, 58, 283–292. https://doi.org/10.1016/j.econmod.2016.05.024
Putra, M. P. S., Atahau, A. D. R., & Robiyanto, R. (2018). Cross–asset class portfolio between gold and stocks in Indonesia. Economic Journal of Emerging Markets, 10(1), 69–81. https://doi.org/10.20885/ejem.vol10.iss1.art8
Reboredo, J. C. (2013). Is gold a hedge or safe haven against oil price movements? Resources Policy, 38(2), 130–137. https://doi.org/10.1016/j.resourpol.2013.02.003
Robiyanto, R. (2018a). Gold VS bonds: What is the safe haven for the indonesian and Malaysian capital market? Gadjah Mada International Journal of Business, 20(3), 277–302. https://doi.org/10.22146/gamaijb.27775
Robiyanto, R. (2018b). Indonesian stock market’s dynamic integration with Asian stock markets and world stock markets. Jurnal Pengurusan, 52, 181–192. https://doi.org/10.17576/pengurusan-2018-52-15
Robiyanto, R. (2018c). The Dynamic Correlation between ASEAN-5 Stock Markets and World Oil Prices. Jurnal Keuangan Dan Perbankan, 22(2), 198–210. https://doi.org/10.26905/jkdp.v22i2.1688
Robiyanto, R., Wahyudi, S., & Pangestuti, I. R. D. (2017). Testing Commodities As Save Haven And Hedging Instrument On Asean’s Five Stock Markets. JURNAL EKONOMI KUANTITATIF TERAPAN, 10(2), 231–238.
Selmi, R., Mensi, W., Hammoudeh, S., & Bouoiyour, J. (2018). Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold. Energy Economics, 74(December 2016), 787–801. https://doi.org/10.1016/j.eneco.2018.07.007
Shabri Abd Majid, M., Kameel Mydin Meera, A., Azmi Omar, M., & Abdul Aziz, H. (2009). Dynamic linkages among ASEAN-5 emerging stock markets. International Journal of Emerging Markets, 4(2), 160–184. https://doi.org/10.1108/17468800910945783
Sharif, A., Aloui, C., & Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 70(May), 101496. https://doi.org/10.1016/j.irfa.2020.101496
DOI: https://doi.org/10.37531/sejaman.v4i1.1136
Refbacks
- There are currently no refbacks.
