Volatilitas Nilai Tukar dan Harga Komoditas Global selama Krisis Laut Merah

Published: Aug 20, 2024

Abstract:

Purpose: This study aims to determine the most suitable model for assessing the volatility of currency exchange rates for Indonesia, Malaysia, and Singapore, as well as global commodity prices, specifically gold and crude oil.

Methodology: The research was conducted by performing various tests using the SPSS version 25 application, followed by a volatility analysis employing the GARCH method with the E-Views version 9 application.

Results: The study reveals that the Red Sea crisis significantly impacts global investment volatility. The EGARCH(1,1) model best describes the volatility of USD/IDR, USD/SGD, and crude oil prices, while the GJR-GARCH(1,1) model is most suitable for USD/MYR, and the GARCH(1,1) model fits gold price volatility.

Limitations: This study is limited by its focus on only three countries (Indonesia, Malaysia, and Singapore) and two commodities (gold and crude oil). Additionally, the analysis only covers the period following the first attack in the Red Sea crisis.

Contribution: This research provides valuable insights for decision-makers and investors by highlighting the impact of global events on market volatility.

Keywords:
1. Exchange Rate
2. Gold
3. Crude Oil
4. Crisis
5. GARCH
Authors:
1 . Agustina Agustina
2 . Andreani Caroline Barus
3 . Syafira Ulya Firza
4 . Fandi Halim
5 . Litka Tiadoraria Br Ginting
How to Cite
Agustina, A., Barus, A. C. ., Firza, S. U., Halim, F., & Br Ginting, L. T. (2024). Volatilitas Nilai Tukar dan Harga Komoditas Global selama Krisis Laut Merah . Jurnal Akuntansi, Keuangan, Dan Manajemen, 5(4), 327–339. https://doi.org/10.35912/jakman.v5i3.3336

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References

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    Ain Shahrier, N. (2022). Contagion effects in ASEAN-5 exchange rates during the Covid-19 pandemic. North American Journal of Economics and Finance, 62. https://doi.org/10.1016/j.najef.2022.101707

    Aliu, F., Ku?era, J., & Horák, J. (2024). Exchange rate instabilities during the Russia-Ukraine war: Evidence from V4 countries. Heliyon, 10(3). https://doi.org/10.1016/j.heliyon.2024.e25476

    Arisandhi, V. D., & Robiyanto, R. (2022). Exchange Rate, Gold Price, And Stock Price Correlation In Asean-5: Evidence From Covid-19 Era. Jurnal Manajemen Dan Kewirausahaan, 24(1), 22–32. https://doi.org/10.9744/jmk.24.1.22-32

    Bigerna, S. (2024). Connectedness analysis of oil price shocks, inflation, and exchange rate for the MENA region countries. Resources Policy, 88. https://doi.org/10.1016/j.resourpol.2023.104344

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    Ghozali, I. (2018). Aplikasi Analisis Multivariete SPSS 25. Badan Penerbit Universitas Diponegoro.

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    Ruangsrimun, P. (2024). Exchange Rate Volatility and Cointegration of ASEAN Member Countries. Interdisciplinary Research Review, 19(1).

    Salikin, N., & Wahab, N. A. (2024). Gold as Safe Haven Strategy During Covid-19 Pandemic: The Case of Bursa Malaysia. 2, 2024. https://ejournal.unida.gontor.ac.id/index.php/FICCOMSS

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    Taera, E. G., Setiawan, B., Saleem, A., Wahyuni, A. S., Chang, D. K. S., Nathan, R. J., & Lakner, Z. (2023). The impact of Covid-19 and Russia–Ukraine war on the financial asset volatility: Evidence from equity, cryptocurrency and alternative assets. Journal of Open Innovation: Technology, Market, and Complexity, 9(3). https://doi.org/10.1016/j.joitmc.2023.100116

    Tetteh, B., & Ntsiful, E. (2023). A comparative analysis of the performances of macroeconomic indicators during the Global Financial Crisis, COVID-19 Pandemic, and the Russia-Ukraine War: The Ghanaian case. Research in Globalization, 7. https://doi.org/10.1016/j.resglo.2023.100174

    Triki, M. B., & Ben Maatoug, A. (2021). The GOLD market as a safe haven against the stock market uncertainty: Evidence from geopolitical risk. Resources Policy, 70. https://doi.org/10.1016/j.resourpol.2020.101872

    Tunnisa, I. F., & Darmawan, S. (2023). Comparative performance analysis of bitcoin cryptocurrency, stocks and gold as investments alternative. Journal of Business and Information Systems (e-ISSN: 2685-2543), 5(2), 234–246. https://doi.org/10.36067/jbis.v5i2.214

    Xu, J., Khan, K., & Cao, Y. (2023). Conflict and exchange rate valuation: Evidence from the Russia-Ukraine conflict. Heliyon, 9(6). https://doi.org/10.1016/j.heliyon.2023.e16527

    Zhang, S., & Mani, G. (2021). Popular cryptoassets (Bitcoin, Ethereum, and Dogecoin), Gold, and their relationships: Volatility and correlation modeling. Data Science and Management, 4, 30–39. https://doi.org/10.1016/j.dsm.2021.11.001

  1. Agustina, A., & Barus, A. C. (2023). Investasi Safe Haven: Dampak Perang Rusia - Ukraina. Owner, 7(3), 2330–2339. https://doi.org/10.33395/owner.v7i3.1523
  2. Ahsanah, D. N. (2022). Emas Sebagai Instrumen Investasi Jangka Panjang. Jurnal Kajian Ekonomi Hukum Syariah, 8(1), 177–187.
  3. Ain Shahrier, N. (2022). Contagion effects in ASEAN-5 exchange rates during the Covid-19 pandemic. North American Journal of Economics and Finance, 62. https://doi.org/10.1016/j.najef.2022.101707
  4. Aliu, F., Ku?era, J., & Horák, J. (2024). Exchange rate instabilities during the Russia-Ukraine war: Evidence from V4 countries. Heliyon, 10(3). https://doi.org/10.1016/j.heliyon.2024.e25476
  5. Arisandhi, V. D., & Robiyanto, R. (2022). Exchange Rate, Gold Price, And Stock Price Correlation In Asean-5: Evidence From Covid-19 Era. Jurnal Manajemen Dan Kewirausahaan, 24(1), 22–32. https://doi.org/10.9744/jmk.24.1.22-32
  6. Bigerna, S. (2024). Connectedness analysis of oil price shocks, inflation, and exchange rate for the MENA region countries. Resources Policy, 88. https://doi.org/10.1016/j.resourpol.2023.104344
  7. Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. In Journal of Econometrics (Vol. 31).
  8. Chemkha, R., BenSaïda, A., Ghorbel, A., & Tayachi, T. (2021). Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold. Quarterly Review of Economics and Finance, 82, 71–85. https://doi.org/10.1016/j.qref.2021.07.006
  9. Daskalakis, N., & Daglis, T. (2023). The Russian War in Ukraine and its Effect in the Bitcoin Market. In International Journal of Economics and Business Administration: Vol. XI (Issue 1).
  10. Fareed, Z., Abbas, S., Madureira, L., & Wang, Z. (2022). Green stocks, crypto asset, crude oil and COVID19 pandemic: Application of rolling window multiple correlation. Resources Policy, 79. https://doi.org/10.1016/j.resourpol.2022.102965
  11. Ghozali, I. (2018). Aplikasi Analisis Multivariete SPSS 25. Badan Penerbit Universitas Diponegoro.
  12. Hamil, N. W. B., Zainudin, A. D. Bin, & Wider, W. (2023). Evidence of COVID-19’s financial epidemiology on the ASEAN-5 stock indices. Asian Economic and Financial Review, 13(3), 180–191. https://doi.org/10.55493/5002.v13i3.4739
  13. Indah, O.?:, & Dewi, P. (2020). Pengaruh Inflasi, Kurs, Dan Harga Minyak Dunia Terhadap Indeks Harga Saham Gabungan Di Bursa Efek Indonesia The Effect Of Inflation, Exchange Rate, And World Oil Prices On Indonesia Composite Index At Indonesia Stock Exchange. In Jurnal Ilmu Manajemen (Vol. 17).
  14. Karmakar, M. (2005). Modeling Conditional Volatility of the Indian Stock Markets. VIKALPA, 30(3).
  15. Kayral, I. E., Jeribi, A., & Loukil, S. (2023). Are Bitcoin and Gold a Safe Haven during COVID-19 and the 2022 Russia–Ukraine War? Journal of Risk and Financial Management, 16(4). https://doi.org/10.3390/jrfm16040222
  16. Nelson, D. B. (1991). Conditional Heteroskedasticity In Asset Returns: A New Approach. In Source: Econometrica (Vol. 59, Issue 2).
  17. Nguyen, V. C., & Nguyen, T. T. (2022). Dependence between Chinese stock market and Vietnamese stock market during the Covid-19 pandemic. Heliyon, 8(10). https://doi.org/10.1016/j.heliyon.2022.e11090
  18. Olayungbo, D. O., Zhuparova, A., Al-Faryan, M. A. S., & Ojo, M. S. (2024). Global oil price and stock markets in oil exporting and European countries: Evidence during the Covid-19 and the Russia-Ukraine war. Research in Globalization, 8. https://doi.org/10.1016/j.resglo.2024.100199
  19. Pham, T. A. T., Nguyen, T. T., Nasir, M. A., & Duc Huynh, T. L. (2023). Exchange rate pass-through: A comparative analysis of inflation targeting & non-targeting ASEAN-5 countries. Quarterly Review of Economics and Finance, 87, 158–167. https://doi.org/10.1016/j.qref.2020.07.010
  20. Ruangsrimun, P. (2024). Exchange Rate Volatility and Cointegration of ASEAN Member Countries. Interdisciplinary Research Review, 19(1).
  21. Salikin, N., & Wahab, N. A. (2024). Gold as Safe Haven Strategy During Covid-19 Pandemic: The Case of Bursa Malaysia. 2, 2024. https://ejournal.unida.gontor.ac.id/index.php/FICCOMSS
  22. Samsudin, A., Nirawati, L., Rifqi, M. K., Fortuna, A. T., Dara Puspita, H., & Yudhiane, F. (2023). Pengaruh Inflasi dan Suku Bunga terhadap Perubahan Nilai Kurs Negara Asia Tenggara dengan Acuan Kurs Rupiah Tahun 2014-2021. 4(6), 1469. https://www.bi.go.id
  23. Taera, E. G., Setiawan, B., Saleem, A., Wahyuni, A. S., Chang, D. K. S., Nathan, R. J., & Lakner, Z. (2023). The impact of Covid-19 and Russia–Ukraine war on the financial asset volatility: Evidence from equity, cryptocurrency and alternative assets. Journal of Open Innovation: Technology, Market, and Complexity, 9(3). https://doi.org/10.1016/j.joitmc.2023.100116
  24. Tetteh, B., & Ntsiful, E. (2023). A comparative analysis of the performances of macroeconomic indicators during the Global Financial Crisis, COVID-19 Pandemic, and the Russia-Ukraine War: The Ghanaian case. Research in Globalization, 7. https://doi.org/10.1016/j.resglo.2023.100174
  25. Triki, M. B., & Ben Maatoug, A. (2021). The GOLD market as a safe haven against the stock market uncertainty: Evidence from geopolitical risk. Resources Policy, 70. https://doi.org/10.1016/j.resourpol.2020.101872
  26. Tunnisa, I. F., & Darmawan, S. (2023). Comparative performance analysis of bitcoin cryptocurrency, stocks and gold as investments alternative. Journal of Business and Information Systems (e-ISSN: 2685-2543), 5(2), 234–246. https://doi.org/10.36067/jbis.v5i2.214
  27. Xu, J., Khan, K., & Cao, Y. (2023). Conflict and exchange rate valuation: Evidence from the Russia-Ukraine conflict. Heliyon, 9(6). https://doi.org/10.1016/j.heliyon.2023.e16527
  28. Zhang, S., & Mani, G. (2021). Popular cryptoassets (Bitcoin, Ethereum, and Dogecoin), Gold, and their relationships: Volatility and correlation modeling. Data Science and Management, 4, 30–39. https://doi.org/10.1016/j.dsm.2021.11.001