Dampak Covid-19 Terhadap Pola Prediksi Return Pasar Berdasarkan Harga Minyak Dunia dengan Indeks Dow Jones Sebagai Variabel Intervening

Universe Universe; Hersugondo Hersugondo

doi:10.29040/jap.v23i2.7174

Dampak Covid-19 Terhadap Pola Prediksi Return Pasar Berdasarkan Harga Minyak Dunia dengan Indeks Dow Jones Sebagai Variabel Intervening

Universe Universe, Hersugondo Hersugondo

Abstract

The Covid-19 pandemic has had a very serious impact, not only on the health sector, but also on the economic sector. Investors cannot predict the effect of a decline or increase in world oil prices during the Covid-19 pandemic on their investment choice decisions. Through this research, an analysis will be carried out on whether Covid-19 will have an influence on the effect of the relationship between world oil prices and market return predictions using daily Jakarta Composite Index (JCI) data from 03/01/2011 to 14/03/2022. The data to be analyzed will be divided into 3 types of data panels to facilitate the analysis in finding a comparison of the effect of Covid-19 based on a certain period of time by using the dow jones index as an intervening variable. Panel A presents full sample data, Panel B contains pre Covid-19 sample data and Panel C presents data for samples during the time of Covid-19. Based on the results of the study, it can be inffered that the effect of the Covid-19 pandemic can decrase the effectiveness of economic activities and make the capital market unstable, so that the effect of oil prices on market returns is inaccurate.

Keywords : Covid-19, Oil Prices, Market Returns

References

Ahmad, F. (2021). Analisis Pengaruh Makroekonomi, Komoditas Dunia, dan Indeks Dunia terhadap Indeks Harga Saham Gabungan (IHSG) pada Periode 2014-2019. Jurnal Ilmu Manajemen, 9(1), 295. https://doi.org/10.26740/jim.v9n1.p295-310

Akua Miyanti, G. A. D., & Wiagustini, L. P. (2018). Pengaruh Suku Bunga the Fed, Harga Minyak Dan Inflasi Terhadap Indeks Harga Saham Gabungan (Ihsg) Di Bursa Efek Indonesia. E-Jurnal Ekonomi Dan Bisnis Universitas Udayana, 5,1261. https://doi.org/10.24843/eeb.2018.v07.i05.p0

Angelidis, T., Degiannakis, S., & Filis, G. (2015). US stock market regimes and oil price shocks. Global Finance Journal, 28, 132–146. https://doi.org/10.1016/j.gfj.2015.01.006

Astuty, P., & Permana, D. C. (2020). Determinan Indek Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (Nilai Tukar, Harga Emas Dunia, Harga Minyak). Jurnal Ekonomi, 22(3), 218–238. https://ejournal.borobudur.ac.id/index.php/1/article/view/728

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. https://doi.org/10.29303/jaa.v5i1.89

Beureukat, & Andriani, E. Y. (2021). Pengaruh Harga Minyak Dunia, Indeks Dow Jones Dan Indeks Hang Seng Terhadap Indeks Harga Saham Gabungan Periode 2016-2020. Oikonomia: Jurnal Manajemen, 17(1), 1–12. http://dx.doi.org/10.47313/oikonomia.v17i1.1129

Devpura, N., & Narayan, P. K. (2020). Hourly Oil Price Volatility : The Role of COVID-19. 1, 1–5. https://doi.org/10.46557/001c.13683

Fahmi, Irham danYovi L Hadi. 2009. Teori Portofolio dan Analisis Investasi. Bandung: Alfabeta

Fu, M., & Shen, H. (2020). COVID-19 and Corporate Performance in the Energy Industry COVID-19 and corporate performance in the energy industry. August, 1–6. https://doi.org/10.46557/001c.12967

Garcia D. (2013). Sentiment during recessions. The Journal of Finance LXVIII:1267–1300. https://doi.org/10.1111/jofi.12027

Ghozali, I. (2016). Aplikasi Analisis Multivariete dengan Program IBM SPSS 23(VIII). Semarang: Badan Penerbit Universitas Diponegoro

Gil-alana, L. A. (2020). The COVID-19 IMPACT on the ASIAN STOCK MARKETS. 1, 1–4. https://doi.org/10.46557/001c.17656

Godil, D. I., Sarwat, S., Sharif, A., & Jermsittiparsert, K. (2020). How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique. Resources Policy, 66(February). https://doi.org/10.1016/j.resourpol.2020.101638

Huda, Nurul dan Mustafa Edwin Nasution dkk. (2008). Ekonomi Makro Islam Pendekatan Teoretis, Jakarta: KENCANA.

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 Volume 1 Nomor 3 Tahun 2019. 1, 338–347. https://doi.org/10.31002/dinamic.v1i4.805

Kamaludin, K., Sundarasen, S., & Ibrahim, I. (2021). Covid-19, Dow Jones and equity market movement in ASEAN-5 countries: evidence from wavelet analyses. Heliyon, 7(1). https://doi.org/10.1016/j.heliyon.2020.e05851

Kendall, M. (1953). The analysis of economic time series, part 1: prices. Journal of the Royal Statistical Society, 116, 11-34. https://www.jstor.org/stable/2980947

Kurniawan, Yohanes Jhony. (2013). Analisis Pengaruh Earning Per Share (EPS), Debt to equity ratio (DER), Return On Asset (ROA), Return on equity (ROE) Terhadap Return Saham. Jurnal Mahasiswa, Universitas Dian Nuswantoro Semarang.

Lewellen, J. (2004). Predicting returns with financial ratios $. 74, 209–235. Lewellen, J. (2004). Predicting Returns with Financial Ratios. Journal of Financial Economics (74):209-235. https://doi.org/10.1016/j.jfineco.2002.11.002

Lubis, S. W., Alfarisi, M. F., & Adrianto, F. (2021). The Effect of Oil Prices, Gold and Exchanges on JCI During the Covid-19. Enrichment: Journal of Management, 12(1), 135–145. https://www.enrichment.iocspublisher.org/index.php/enrichment/article/view/167/130

Lutfiyah, N. (2022). Pengaruh Covid-19, Tingkat Inflasi dan Harga Minyak Mentah Terhadap Keputusan Investasi di Bursa Efek Indonesia. 3(2), 83–91. https://doi.org/10.47747/jismab.v3i2.664

Maddala, G. S. (1992). Introduction to Econometrics, Second Edition (p. 631).

Nizar, M. A. (2012). Dampak Fluktuasi Harga Minyak Dunia Terhadap Perekonomian Indonesia. Buletin Ilmiah Litbang Perdagangan, 6(2), 189–210. http://scholar.google.co.id/scholar_url?url=http://jurnal.kemendag.go.id/index.php/bilp/article/download/131/91&hl=en&sa=X&ei=NsiHX5KDBvOC6rQPuPKK6A8&scisig=AAGBfm0ziWInbdWyEwfhSBLo4TeyLCRMAA&nossl=1&oi=scholarr

Nurhasanah, S., Puri, P. A., & Wilis, R. A. (2021). Pengaruh Hargaminyak Dunia, Harga Emas Dunia, Tingkat Inflasi, Kurs Rupiah, Indeks Dow Jones Dan Indeks Shanghai Composite Terhadap Indeks Harga Sahamgabungan Yang Terdaftar Dibursa Efek Indonesia Periode 2015-2019. Jurnal Ilmiah MEA (Manajemen, Ekonomi, Dan Akuntansi), 5(3), 2935–2949.

Padhan, R., & Prabheesh, K. P. (2021). The economics of COVID-19 pandemic: A survey. Economic Analysis and Policy, 70, 220–237. https://doi.org/10.1016/j.eap.2021.02.012

Ranto, S. R. (2019). Terhadap Ihsg Di Bursa Efek Indonesia Dengan Pendekatan Error Correction Model (Ecm). 6(1), 12–24. https://doi.org/10.31316/j.derivat.v6i1.332

Robiyanto, R., Alexander, M., Dorkas, A., Atahau, R., & Harijono, H. (2019). The Indonesia Stock Exchange and Its Dynamics : An Analysis of the Effect of Macroeconomic Variables. 15(4), 59–73. https://doi.org/10.14254/1800-5845/2019.15-4.5

Rohmawati, S., Munasirotul Mutmainnah, Fitria Asas, & Ulfatul Khasanah. (2022). Analysis Of The Effect Of The Rupiah Exchange, World Oil Price, World Gold Price On The Joint Stock Price Index In The Indonesia Stock Exchange. International Journal of Science, Technology & Management, 3(1), 153–166. https://doi.org/10.46729/ijstm.v3i1.432

Rotinsulu, R. Y., & 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. https://doi.org/10.35794/emba.v9i3.35879

Sunariyah. (2010). Pengantar Pengetahuan Pasar Modal Edisi keenam. UPP STIM YKPN: Yogyakarta

Sunariyah. (2011). Pengantar Pengetahuan Pasar Modal, Edisi ke empat. Yogyakarta: Unit Penerbit dan Percetakan AMP YKPN.

Septiana, E. Di., Wahono, B., & Mustapiya, 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 – Jurnal Riset Manajemen, 10(10), 82–94. http://riset.unisma.ac.id/index.php/jrm/article/view/14017/10775

Setyadi, D. A. (2012). Studi Komparasi Pengelolaan Geopark di Dunia untuk Pengembangan Pengelolaan Kawasan Cagar Alam Geologi Karangsambung. Jurnal Pembangunan Wilayah & Kota, 8(4), 392. https://doi.org/10.14710/pwk.v8i4.6496

Sha, Y., & Sharma, S. S. (2020). Research on Pandemics Special Issue of the Journal Emerging Markets Finance and Trade. Emerging Markets Finance and Trade, 56(10), 2133–2137. https://doi.org/10.1080/1540496X.2020.1795467

Tandelilin, Eduardus. 2017. Manajemen Portofolio dan Investasi. Yogyakarta: KANISIUS Edisi Elektronik

Tisdell, C. A. (2020). Economic , social and political issues raised by the COVID-19 pandemic. Economic Analysis and Policy, 68, 17–28. https://doi.org/10.1016/j.eap.2020.08.002

Tjandrasa, B. B., & Sutjiati, R. (2016). Effect of World Gold Price, Crude Oil Price and Interest Rate to Jakarta Composite Index. International Journal of Education and Research, 4(7), 215–222. www.ijern.com

Westerlund J & Narayan PK. (2012). Does the choice of estimator matter when forecasting returns?. Journal of Banking Finance, 36, 2632–2640. https://doi.org/10.1016/j.jbankfin.2012.06.005

Westerlund J & Narayan PK. (2015). Testing for predictability in conditionally heteroskedastic stock returns. Journal of Banking Finance, 13, 342–375. https://doi.org/10.1093/jjfinec/nbu001

Zhang, F., Narayan, P. K., & Devpura, N. (2021). Has COVID-19 changed the stock return-oil price predictability pattern? Financial Innovation, 7(1). https://doi.org/10.1186/s40854-021-00277-7

DOI: http://dx.doi.org/10.29040/jap.v23i2.7174