Analisis Volatilitas IHSG dan Kurs Rupiah terhadap Guncangan Harga Minyak Dunia di Tengah Ketegangan Geopolitik Timur Tengah

Abstract

The global economic landscape is increasingly volatile, heavily influenced by exogenous shocks such as geopolitical tensions and fluctuations in world oil prices. This study aims to analyze the simultaneous impact of global oil price shocks and exchange rate volatility on the Composite Stock Price Index (IHSG) in Indonesia during the period of June 2023 to June 2026. This research employs a quantitative approach using the ARIMA-EGARCH hybrid model to capture the asymmetric nature and volatility clustering inherent in financial time-series data. The findings indicate that global oil price shocks and exchange rate fluctuations significantly influence IHSG movement simultaneously. Furthermore, the results confirm the presence of a strong leverage effect, where negative oil price shocks trigger higher volatility in both the exchange rate and the Indonesian stock market compared to positive shocks, reflecting asymmetric market responses to geopolitical uncertainty in the Middle East. These findings imply that the Indonesian capital market exhibits high sensitivity to external energy shocks, exacerbated by geopolitical risks. Investors are advised to utilize defensive portfolio strategies and consider the asymmetric nature of these shocks, while policymakers need to enhance exchange rate stability frameworks to mitigate the transmission of imported inflation and financial contagion from global energy market instability.