PENGARUH HARGA MINYAK KELAPA SAWIT DAN BATU BARA TERHADAP RETURN INDEKS HARGA SAHAM GABUNGAN

Authors

  • Otniel William Universitas Kristen Petra
  • Samuel

DOI:

https://doi.org/10.33197/jlscc.v1i2.967

Keywords:

Minyak Kelapa Sawit, Batubara, Indeks Harga Saham Gabungan, Komoditas

Abstract

Penelitian ini bertujuan untuk menganalisa pengaruh harga komoditas minyak kelapa sawit dan batubara terhadap return indeks harga saham gabungan. Penelitian menggunakan data sekunder yang diambil dari data historical atas harga futures komoditas minyak kelapa sawit dan batubara selama lima tahun. Teknik analisa yang digunakan dalam penelitian ini adalah Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) dengan menggunakan bantuan program EViews 12 SV. Hasil penelitian membuktikan bahwa harga batubara tidak berpengaruh signifikan positif terhadap return indeks harga saham gabungan, namun harga komoditas minyak kelapa sawit tidak berpengaruh signifikan positif terhadap return indeks harga saham gabungan.

References

Aprina, H. (2014). The Impact of Crude Palm Oil Price on Rupiah’S Rate. Buletin Ekonomi Moneter Dan Perbankan, 16(4), 295–314. https://doi.org/10.21098/bemp.v16i4.448.

Budhidharma, V. (2020). Impact of Financial and Economic Factors to Palm Oil Price in Indonesia. Jurnal Penelitian Akuntansi.Vol. 1, No. 2, Oktober 20201(2), 166–175.

Degiannakis, S., Filis, G., & Arora, V. (2018). Oil prices and stock markets: A review of the theory and empirical evidence. The Energy Journal, 39(01). https://doi.org/10.5547/01956574.39.5.sdeg.

Engle, Robert. 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics." Journal of Economic Perspectives, 15 (4): 157-168.

GAPKI (2022, January 28). Retrieved November 16, 2022 from https://gapki.id/en/news/21136/palm-oil-performance-in-2021-and-prospect-in-2022.

IEA Iea.org. Retrieved June 27, 2022 from https://www.iea.org/reports/coal-2021/executive-summary.

Ildirar, Mustafa & Iscan, Erhan. (2015). The Interaction between Stock Prices and Commodity Prices: East Europe and Central Asia Countries. 41-47. 10.36880/C06.01350.

Nugroho, H. 2017. Batubara Sebagai Pemasok Energi Nasional ke Depan: Apa yang Perlu Dipersiapkan? Jurnal Perencanaan Pembangunan, 24(1).

S Purnomo, R. S. D. (2014). Buku Pintar Investasi dan Gadai Emas. Jakarta: Gramedia Pustaka Utama.

Lukanima, B. (2014). Equity Index. In: Michalos, A.C. (eds) Encyclopedia of Quality of Life and Well-Being Research. Springer, Dordrecht. https://doi.org/10.1007/978-94-007-0753-5_912.

Sipayung T. 2012. Ekonomi Agribisnis Minyak Sawit. IPB Press: Bogor.

Black, A. et al. (2014). “Forecasting Stock Returns: Do Commodity Prices Help?”, Journal of Forecasting,33(8).

Buyuksahin, B. Et al. (2010). “Commodities and Equities: Ever a “Market of One?” The Journal of Alternative Investments, Winter 2010, Vol. 12, No. 3: p. 76.

Tang, K., Xiong, W. (2012). “Index Investment and the Financialization of Commodities”, Financial Analysts Journal, Volume:68, Number: 6, p. 54.

Putra, Adi & Robiyanto, Robiyanto. (2019). The effect of commodity price changes and USD/IDR exchange rate on Indonesian mining companies’ stock return. Jurnal Keuangan dan Perbankan. 23. 10.26905/jkdp.v23i1.2084.

Nordin, Norhafiza & Nordin, Sabariah & Ismail, Rusmawati. (2020). The Impact of Commodity Prices, Interest Rate and Exchange Rate on Stock Market Performance: An Empirical Analysis from Malaysia. Malaysian Management Journal. 10.32890/mmj.18.2014.9015.

Downloads

Published

2023-01-30

How to Cite

William, O., & Christian, S. (2023). PENGARUH HARGA MINYAK KELAPA SAWIT DAN BATU BARA TERHADAP RETURN INDEKS HARGA SAHAM GABUNGAN. Jurnal Logic: Logistics & Supply Chain Center, 1(2), 67–72. https://doi.org/10.33197/jlscc.v1i2.967