Pengaruh Harga Komoditas Dunia Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia Dengan Menggunakan Vector Error Correction Model (VECM)

Ahmad Ernanda Dwi Saputra; Giriati Giriati; Anggraini Syahputri; Wendy Wendy; Anwar Azazi

doi:10.35870/jemsi.v12i3.6489

Open Access Articles

Pengaruh Harga Komoditas Dunia Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia Dengan Menggunakan Vector Error Correction Model (VECM)

Ahmad Ernanda Dwi Saputra^1*
Giriati Giriati²
Anggraini Syahputri³
Wendy Wendy⁴
Anwar Azazi⁵

^1,2,3,4,5 Tanjungpura University

* Corresponding Author: Ahmad Ernanda Dwi Saputra

DOI

https://doi.org/10.35870/jemsi.v12i3.6489

Published 2026-06-01

Pages 2656-2667

Issue Vol. 12 No. 3 (2026): Juni 2026

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Abstract

This study aims to analyze whether global commodity prices, namely palm oil, gold, and crude oil, affect the Jakarta Composite Index (JCI) on the Indonesia Stock Exchange during the 2020–2024 period, focusing on short-term and long-term impacts through the Vector Error Correction Model (VECM). Based on the analysis, it is concluded that the three commodities have different influence patterns. Palm oil prices have a significant negative impact on the JCI in both the short and long term. Gold prices have a significant positive impact in both time frames. Meanwhile, crude oil prices only show a significant positive impact in the short term, and an insignificant impact in the long term. VECM estimation supports the understanding of transmission mechanisms in an open economy. Global commodity price shocks do not directly affect the domestic stock market permanently, but rather through different adjustment processes between commodities. The variation between short-term and long-term impacts confirms that each commodity has a unique role, level of influence, and duration of impact on the JCI movement.

Keywords

VECM Jakarta Composite Index Palm Oil Price Gold Price Crude Oil Price

How to Cite

Citation Format

Saputra, A. E. D., Giriati, G., Syahputri, A., Wendy, W., & Azazi, A. (2026). Pengaruh Harga Komoditas Dunia Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia Dengan Menggunakan Vector Error Correction Model (VECM). JEMSI (Jurnal Ekonomi, Manajemen, Dan Akuntansi), 12(3), 2656-2667. https://doi.org/10.35870/jemsi.v12i3.6489

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