Pengaruh Harga Cryptocurrency dan Komoditas Terhadap Indeks Harga Saham Gabungan (IHSG) Periode 2020-2024
DOI:
https://doi.org/10.62710/xg5xjs58Keywords:
IHSG ; Bitcoin ; Ethereum ; Gold 4 World Crude Oil , Efficient Market HypothesisAbstract
This study aims to investigate the impact of cryptocurrency and commodity prices on the movement of the Composite Stock Price Index (IHSG) in Indonesia during the period 2020–2024. Motivated by the increasing complexity and interconnectivity of global financial markets, this study examines the independent variables of Bitcoin, Ethereum, gold, and world crude oil prices against the dependent variable of the IHSG, based on the Efficient Market Hypothesis (EMH). Using a quantitative approach, this study analyses monthly secondary data through a multiple linear regression model. The results of the analysis show that, simultaneously, the four independent variables have a significant effect on the IHSG. However, partial testing produced different findings: only the prices of gold and global crude oil were found to have a significant effect, while the prices of Bitcoin and Ethereum did not show a statistically significant effect. Furthermore, the coefficient of determination (Adjusted R Square) value of 0.874 indicates that 87.4% of the variation in the IHSG can be explained collectively by the four predictor variables in this model.
Downloads
References
Adrian, T., Iyer, T., & Qureshi, M. S. (2022). Crypto Prices Move More in Sync With Stocks, Posing New Risks.
Ahmed, M. Y., Sarkodie, S. A., & Leirvik, T. (2023). Mutual coupling between stock market and cryptocurrencies. Heliyon, 9(5). https://doi.org/10.1016/j.heliyon.2023.e16179
Alpinansyah, N., Yusuf, M., Sofian Maksar, M., Studi Manajemen, P., Ekonomi Dan Bisnis Islam, F., & Muhammadiyah Kendari, U. (2025). ANALISIS VOLATILITY CONTAGION ANTARA MATA UANG KRIPTO, EMAS, MINYAK DAN PASAR SAHAM INDONESIA. 9(1), 2025.
Aprilianti, M., Endah, D. P., & Meilin, V. (2023). ProBisnis : Jurnal Manajemen The Effect of Liquidity, Solvency, and Profitability Ratios on Transportation Sub-Sector Companies Listed on The Bei in 2017-2021. www.idx.co.id.
Arikunto, S. (2013). Prosedur Penelitian: Suatu Pendekatan Praktik. Rineka Cipta. Jakarta.
Arner, D., Barberis, J., Buckley, R., & Law, U. (2016). THE EVOLUTION OF FINTECH: A NEW POST-CRISIS PARADIGM?
Ayu Pramesthi, A., Leonardo Hutajulu, D., Zahira Putri, N., & Kartiasih, F. (2024). Analisis Pengaruh Harga Minyak Mentah dan Nilai Tukar terhadap Indeks Harga Saham Gabungan (IHSG) di Indonesia.
Basit, A. (2020). Pengaruh Harga Emas Dan Minyak Dunia Terhadap Indeks Harga Saham Gabungan (IHSG) Periode 2016-2019. REVENUE: Jurnal Manajemen Bisnis Islam, 1(2), 73–82. https://doi.org/10.24042/revenue.v1i2.6073
Bursa Efek Indonesia. (2023). Panduan Indeks Harga Saham Gabungan (IHSG). Bursa Efek Indonesia. https://www.idx.co.id/id/produk/indeks. Diakses pada tanggal 27 April 2025
Buterin, V. (2014). Ethereum: A Next-Generation Smart Contract and Decentralized Application Platform.
Corbet, S., Lucey, B., Urquhart, A., & Yarovaya, L. (2019). Cryptocurrencies as a financial asset: A systematic analysis. International Review of Financial Analysis, 62, 182–199. https://doi.org/10.1016/j.irfa.2018.09.003
Dimasti, D., & Bawang, T. (2022). ANALISIS DAMPAK KONFLIK RUSIAUKRAINA TERHADAP HARGA BAHAN BAKAR MINYAK INDONESIA. 2(3). https://tradingeconomics.com/commodity/crude-oil
Dyhrberg, A. H. (2016). Bitcoin, gold and the dollar - A GARCH volatility analysis. Finance Research Letters, 16, 85–92. https://doi.org/10.1016/j.frl.2015.10.008
Evandarius, V. (2023). DAMPAK PANDEMI COVID-19 TERHADAP BURSA SAHAM DI INDONESIA. 7(1), 2023.
Fama, E. F. (1965). The Behavior of Stock-Market Prices. In Source: The Journal of Business (Vol. 38, Issue 1).
Fidelity Digital Assets. (2022). Ethereum investment thesis. Fidelity Digital Assets. Retrieved August 21, 2025, from https://www.fidelitydigitalassets.com/research-and-insights/ethereuminvestment-thesis Diakses pada tanggal 21 Augustus 2025
Firdaus, & Zamzam, F. (2018). Aplikasi Metodologi Penelitian. Deepublish. Yogyakarta
Ghazani, M. M., & Jafari, M. A. (2021). Cryptocurrencies, gold, and WTI crude oil market efficiency: a dynamic analysis based on the adaptive market hypothesis. Financial Innovation, 7(1). https://doi.org/10.1186/s40854-021- 00246-0
Ghozali, I. (2016). Aplikasi Analisis Multivariate dengan Program IBM SPSS (7th ed.). Badan Penerbit Universitas Diponegoro. Semarang.
Ghozali, I. (2017). Aplikasi Analisis Multivariate dengan Program IBM SPSS (8th ed.). Badan Penerbit Universitas Diponegoro. Semarang.
Gitman, L. J., & Zutter, C. J. (2019). Principles of Managerial Finance (15th ed.). Pearson Education. Boston.
Gupta, M. (2017). Blockchain IBM Limited Edition. http://www.wiley.com/go/permissions.
Hartono, J. (2013). Teori Portofolio dan Analisis Investasi (Vol. 8). BPFE. Yogyakarta.
Hidayah, N., & Nur Saidah, A. (2024). UNVEILING THE DYNAMICS : IMPACT OF CRYPTOCURRENCY RETURNS, FOREX RATES AND GOLD PRICES ON IHSG. 8(3).
Hidayati, N. I., & Baehaqi, A. (2018). Faktor Penentu Kinerja Investasi Asuransi Jiwa Syariah di Indonesia. Muqtasid: Jurnal Ekonomi Dan Perbankan Syariah, 9(2), 93. https://doi.org/10.18326/muqtasid.v9i2.93-108
International Monetary Fund. (2022). World Economic Outlook: Countering the Cost-of-Living Crisis.
Investing.com. (2025). Harga Historis dan Volatilitas Bitcoin, Ethereum, Emas, Minyak, dan IHSG (2020–2024). https://www.investing.com/. Diakses pada tanggaal 27 April 2025
Kartikaningsih, D. (2020). Bisma: Jurnal Bisnis dan Manajemen PENGARUH NILAI TUKAR TERHADAP HARGA SAHAM PERUSAHAAN SEKTOR FOOD AND BEVERAGE DI MASA PANDEMI COVID-19 (Vol. 14, Issue 2). https://jurnal.unej.ac.id/index.php/BISMA
Kementerian Keuangan Republik Indonesia. (2021). APBN Kita: Edisi Desember 2021. https://djpk.kemenkeu.go.id/?portfolio=apbn-kita-edisi-desember-2021
Kementerian Keuangan Republik Indonesia. (2023). APBN Kita Edisi Maret 2023. https://djpk.kemenkeu.go.id/?portfolio=apbn-kita-edisi-maret-2023
Komang, N., Tulus Sawitri, A., Darmita, M. Y., & Dwitrayani, M. C. (2023). PENGARUH INFLASI, SUKU BUNGA, DAN HARGA MINYAK DUNIA TERHADAP INDEKS HARGA SAHAM GABUNGAN (Studi pada Bursa Efek Indonesia Periode 2018-2021). In Journal Research of Accounting (JARAC (Vol. 4, Issue 2). www.bi.go.id
Küfeoğlu, S., & Özkuran, M. (2019). ENERGY CONSUMPTION OF BITCOIN MINING.
Kurniawan, R. (2019, October 2). Investasi emas untuk persiapan dana pendidikan, apakah solusi? https://blog.rivankurniawan.com/2019/10/02/investasi-emasuntuk-dana-pendidikan/. Diakses pada tanggal 22 April 2025
Malkiel, B. G., & Fama, E. F. (1970). EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*. The Journal of Finance, 25(2), 383–417. https://doi.org/10.1111/j.1540-6261.1970.tb00518.x
Munthe, K., & Harefa, C. J. (2020). PENGARUH VARIABEL MAKRO EKONOMI TERHADAP HARGA SAHAM DENGAN PROFITABILITAS SEBAGAI VARIABEL INTERVENING PADA PERUSAHAAN MANUFAKTUR DI BURSA EFEK INDONESIA. http://ejournal.ust.ac.id/index.php/JIMB_ekonomi
Nakamoto, S. (2008). Bitcoin: A Peer-to-Peer Electronic Cash System. www.bitcoin.org. Diakses pada tanggal 24 April 2025
Nuryanto, U. W., & Pramudianto, P. (2021). REVOLUSI DIGITAL & DINAMIKA PERKEMBANGAN CRYPTOCURRENCY DITINJAU DARI PERSPEKTIF LITERATUR REVIEW. National Conference on Applied Business, Education, & Technology (NCABET), 1(1), 264–291. https://doi.org/10.46306/ncabet.v1i1.22
Otoritas Jasa Keuangan. (2020). Laporan Tahunan DIGITAL CAPABILITIES TO ADVANCE FURTHER. https://idx.co.id/media/9969/2020.pdf Diakses pada tanggal 4 Juli 2025
Otoritas Jasa Keuangan. (2022). Laporan Tahunan Otoritas Jasa Keuangan Tahun 2022. https://ojk.go.id/id/data-dan-statistik/laporan-tahunan/Pages/LaporanTahunan-OJK-2022.aspx. Diakses pada tanggal 15 Juni 2025
Prasada, M. D., & Pangestuti, I. R. D. (2022). Analisis Pengaruh Harga Minyak Mentah Dunia, Harga Batubara, Harga Emas, Inflasi, dan Nilai Tukar terhadap IHSG. DIPONEGORO JOURNAL OF MANAGEMENT, 11(1). https://ejournal3.undip.ac.id/index.php/djom/index
Purnomo, S. D., Istiqomah, I., & Badriah, L. S. (2020). PENGARUH HARGA MINYAK DUNIA TERHADAP PERTUMBUHAN EKONOMI, INFLASI, DAN PENGANGGURAN DI INDONESIA. Jurnal PROFIT Kajian Pendidikan Ekonomi Dan Ilmu Ekonomi, 7(1), 13–24. https://doi.org/10.36706/jp.v7i1.11025
Rahmasari, F., Putu, N., Denisha, A., Saraswati, K., Mardoni, R. T., & Rachmawati, S. (2023). Pengaruh Harga Minyak Dunia dan Uang Kuasi terhadap Indeks Harga Saham Gabungan (IHSG) di Indonesia.
Reilly, F. K., & Brown, K. C. (2002). Investment Analysis and Portfolio Management (7th ed.). Thomson Learning. South-Western.
Reilly, F. K., & Brown, K. C. (2012). Investment Analysis and Portfolio Management (10th ed.). Cengage Learning. Mason.
Safitri, A. M., & Anwar, K. (2021). Pengaruh Harga Minyak Dunia terhadap Inflasi di Indonesia. Jurnal Ekonomi Regional Unimal, 3(2), 45–55. https://ojs.unimal.ac.id/ekonomi_regional/article/view/4567
Samudera, B. (2024). Simak Kelebihan Emas sebagai Aset Safe Haven. https://blog.hsb.co.id/emas/emas-sebagai-aset-safe-haven/ Diakses pada tanggal 12 Agustus 2025
Sarumaha, A. (2023). Pengaruh Cryptocurrency Terhadap Harga Saham dalam Negeri Kurun Waktu 2019-2021. Syntax Literate ; Jurnal Ilmiah Indonesia, 8(3), 2011–2021. https://doi.org/10.36418/syntax-literate.v8i3.11504
Shafira, D. E., Ferli, O., Haryanti, E., & Wijaya, E. (2023). Analisis Korelasi dan Pergerakan bersama Saham, Emas dan Bitcoin Studi Kasus Pasar Indonesia. Journal of Management and Business Review, 20(3), 207–220. https://doi.org/10.34149/jmbr.v20i3.604
Sugiyono. (2012). Metode Penelitian Kuantitatif, Kualitatif, dan R&D. Alfabeta. Bandung.
Sugiyono. (2017). Metode Penelitian Kuantitatif, Kualitatif, dan R&D. Alfabeta. Bandung.
Sugiyono. (2018). Metode Penelitian Kuantitatif, Kualitatif, dan R&D. Alfabeta. Bandung.
Sukirno, S. (2015). Makroekonomi: Teori Pengantar. Raja Grafindo Persada. Jakarta.
Fidelity Digital Assets. (2022). Ethereum investment thesis. Fidelity Digital Assets. Retrieved August 21, 2025, from https://www.fidelitydigitalassets.com/research-and-insights/ethereuminvestment-thesis
Tandelilin, E. (2010). Portofolio dan Investasi: Teori dan Aplikasi. Kanisius. Yogyakarta.
Tandelilin, E. (2023). Portofolio dan Investasi: Teori dan Aplikasi (Revisi). Kanisius. Yogyakarta.
Wijaya, C. A., & Ulpah, M. (2022). The Analysis of the Roles of Bitcoin, Ethereum, and Gold as Hedge and Safe-Haven Assets on the Indonesian Stock Market before and during the COVID-19 Pandemic. The Indonesian Capital Market Review, 14(1), 51–62. https://doi.org/10.21002/icmr.v14i1.1140
World Gold Council. (2020, January). Gold investment jumps on spike in global political tensions. https://www.gold.org/goldhub/gold-focus/2020/01/goldinvestment-jumps-spike-global-political-tensions Diakses pada tanggal 12 Agustus 2025
Wulan, R., Nurpadilah, N., Pebrian, R., & Nusa Putra, U. (2023). Jurnal Pijar Studi Manajemen dan Bisnis PENGARUH INFLASI, HARGA MINYAK DUNIA, DAN SUKU BUNGA (BI RATE) TERHADAP INDEKS HARGA SAHAM GABUNGAN (IHSG) (DATA PER BULAN PERIODE 2011-2020). 1(2), 130– 143. https://e-journal.naureendigition.com/index.php/pmb
Yunita, V., & Aryani, P. (2024). Pengaruh Harga Emas dan Nilai tukar terhadap Pergerakan Indeks Harga Saham Gabungan (IHSG) di BEI periode 2017-2023. INNOVATIVE: Journal Of Social Science Research, 4, 15494–15500.
Zimmermann, K., & Weber. (2014). BITCOIN-ASSET OR CURRENCY? REVEALING USERS’ HIDDEN INTENTIONS. http://ssrn.com/abstract=2425247
Downloads
Published
Issue
Section
License
Copyright (c) 2025 Azka Fadhilah, Rina Susanti (Author)
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
