TRANSMISI INFORMASI MAKROEKONOMI, BERITA POLITIK, DAN SENTIMEN GLOBAL TERHADAP VOLATILITAS PASAR SAHAM INDONESIA
Abstract
ABSTRAK
Penelitian ini bertujuan untuk menganalisis respons dinamis volatilitas Indeks Harga Saham Gabungan (IHSG) terhadap guncangan informasi makroekonomi, berita politik, dan sentimen global. Populasi dalam penelitian ini mencakup keseluruhan aktivitas perdagangan di Bursa Efek Indonesia, dengan penentuan sampel berupa observasi data time-series harian IHSG selama periode 2020–2024. Metode analisis data dilakukan menggunakan model Autoregressive with Exogenous Variables (AR-X) dengan penyesuaian Heteroskedasticity and Autocorrelation Consistent (HAC) Newey-West. Hasil penelitian menunjukkan bahwa volatilitas pasar secara signifikan didominasi oleh pergerakan historisnya sendiri (volatility clustering) dan sentimen risiko global (Indeks VIX). Sebaliknya, pengumuman BI7DRR, inflasi, dan berita politik tidak berpengaruh signifikan, yang memperkuat keberlakuan Efficient Market Hypothesis (EMH) karena informasi tersebut telah terantisipasi (priced-in). Namun, anomali ditemukan pada rilis surplus neraca perdagangan yang terbukti secara signifikan mampu meredam volatilitas. Implikasi penelitian ini merekomendasikan investor untuk memprioritaskan pemantauan Indeks VIX dan neraca perdagangan sebagai instrumen mitigasi risiko harian, serta menghindari aksi jual panik saat munculnya ketidakpastian politik.
ABSTRACT
This study aims to analyze the dynamic response of the Jakarta Composite Index (JCI) volatility to macroeconomic information shocks, political news, and global sentiment. The population in this study encompasses all trading activities on the Indonesia Stock Exchange (IDX), with the sample determined as daily time-series observations of the JCI during the 2020–2024 period. The data analysis method employs the Autoregressive with Exogenous Variables (AR-X) model with the Newey-West Heteroskedasticity and Autocorrelation Consistent (HAC) adjustment. The results indicate that market volatility is significantly dominated by its historical movements (volatility clustering) and global risk sentiment (VIX Index). Conversely, the BI7DRR announcements, inflation, and political news do not have a significant effect, strengthening the applicability of the Efficient Market Hypothesis (EMH) as the information has been anticipated (priced-in). However, an anomaly is found in the trade balance surplus release, which is proven to significantly dampen volatility. The implications of this study recommend investors to prioritize monitoring the VIX Index and trade balance as daily risk mitigation instruments, and to avoid panic selling during times of political uncertainty.
Keywords
References
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DOI: 10.34203/jimfe.v11i2.13292
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