Determinants of The Indonesian Composite Stock Index: An Error Correction Model Approach
DOI:
10.47353/ecbis.v4i5.457Published:
2026-07-05Downloads
Abstract
This study examines the effects of the Dow Jones Industrial Average (DJIA), world gold prices, world oil prices, and the rupiah exchange rate on the Composite Stock Price Index (CSPI) in Indonesia. The study uses monthly secondary data from January 2015 to December 2025, comprising 132 observations. CSPI data were obtained from the Indonesia Stock Exchange, DJIA, gold price, and oil price data were obtained from Investing.com, while exchange rate data were sourced from Bank Indonesia. The analysis employed the two-step Engle-Granger Error Correction Model (EG-ECM) to identify long-run relationships and short-run adjustment dynamics. The long-run results show that gold prices, world oil prices, and the DJIA have positive and significant effects on the CSPI, whereas the rupiah exchange rate has a negative but insignificant effect. In the short run, the exchange rate has a negative and significant effect on the CSPI, while gold prices, oil prices, and the DJIA have positive and significant effects. The Error Correction Term coefficient of -0.1325 is negative and significant, indicating that approximately 13.25% of short-run disequilibrium is corrected each month toward long-run equilibrium. These findings imply that investors and policymakers should closely monitor global market conditions, commodity price movements, and exchange rate volatility to support investment decisions and maintain Indonesian capital market stability
Keywords:
CSPI DJIA Gold Price Oil Price Exchange Rate EG-ECMReferences
Antonius, S. (2019). Pengaruh Inflasi, Suku Bunga AS, Harga Emas, Harga Minyak Bumi, Inflasi AS, dan Kurs Rupiah terhadap Indeks Sektoral di Indonesia. Jurnal Manajemen Bisnis dan Kewirausahaan, 3(3), 46–53. https://doi.org/10.24912/jmbk.v3i3.4976
Azhari, A., Rahman, A., & Rauf, D. I. (2026). Optimizing Digital Marketing Strategy through Influencer Credibility, Content Quality, and Electronic Word of Mouth (E-WOM) in Building Customer Trust and Increasing Purchasing Decisions (Study on Erigo Fashion Brand in Makassar City). Jurnal Mebis (Manajemen Dan Bisnis), 11(1), 1–24. https://doi.org/10.33005/mebis.v11i1.750
Breusch, T. S. (1978). Testing for Autocorrelation in Dynamic Linear Models. Australian Economic Papers, 17(31), 334–355. https://doi.org/10.1111/j.1467-8454.1978.tb00635.x
Darmawan, S., & Saiful Haq, M. S. (2022). Analisis Pengaruh Makroekonomi, Indeks Saham Global, Harga Emas Dunia, dan Harga Minyak Dunia terhadap Indeks Harga Saham Gabungan (IHSG). Jurnal Riset Ekonomi dan Bisnis, 15(2), 95–107. https://doi.org/10.26623/jreb.v15i2.4381
Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987–1007. https://doi.org/10.2307/1912773
Engle, R. F., & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251–276. https://doi.org/10.2307/1913236
Gujarati, D. N., & Porter, D. C. (2009). Basic Econometrics (5th ed.). McGraw-Hill.
Gumilang, R. C., Hidayat, R. R., & Np, M. G. W. E. (2014). Pengaruh Variabel Makroekonomi, Harga Emas, dan Harga Minyak Dunia terhadap Indeks Harga Saham Gabungan pada Bursa Efek Indonesia Periode 2009–2013. Jurnal Administrasi Bisnis, 14(2).
Hantono. (2017). Pengaruh Variabel Makroekonomi terhadap Indeks Harga Saham Gabungan (IHSG). Jurnal Ekonomi Manajemen, 5(2), 112–124.
Kewal, S. S. (2012). Pengaruh Inflasi, Suku Bunga, Kurs, dan Pertumbuhan PDB terhadap Indeks Harga Saham Gabungan. Jurnal Economia, 8(1). https://doi.org/10.21831/economia.v8i1.801
Mansur, M. (2005). Pengaruh Indeks Bursa Global terhadap Indeks Harga Saham Gabungan (IHSG) pada Bursa Efek Jakarta Periode Tahun 2000–2002. Sosiohumaniora, 7(3), 203–219. https://doi.org/10.24198/sosiohumaniora.v7i3.5352
Natsir, K., [Lengkapi Nama Penulis Lain]. (2019). Analisis Kausalitas antara IHSG, Indeks Dow Jones Industrial, dan Nilai Tukar Rupiah/US$. Jurnal Manajemen dan Inovasi Ekonomi Bisnis, 3(2), 229–239. https://doi.org/10.24912/jmieb.v3i2.3398
Nuraeni, R., & Panjawa, J. L. (2021). Analisis Pengaruh Indeks Saham Asing terhadap Indeks Harga Saham Gabungan dengan Pendekatan Error Correction Model. Journal of Economics Research and Policy Studies, 1(1), 25–39. https://doi.org/10.53088/jerps.v1i1.37
Pramesthi, A. A., Hutajulu, D. L., Putri, N. Z., & Kartiasih, F. (2024). Analisis Pengaruh Harga Minyak Mentah dan Nilai Tukar terhadap Indeks Harga Saham Gabungan (IHSG) di Indonesia. Jurnal Ekonomi Bisnis, Manajemen dan Akuntansi, 4(1). https://doi.org/10.47709/jebma.v4i1.3451
Rahmadewi, P. W., & Abundanti, N. (2018). Pengaruh EPS, PER, CR, dan ROE terhadap Harga Saham di Bursa Efek Indonesia. E-Jurnal Manajemen Universitas Udayana, 7(4), 2106–2133. https://doi.org/10.24843/EJMUNUD.2018.v07.i04.p14
Rahmantya, Y. E. K. (2024). Prediktor Kinerja IHSG dengan Pendekatan Error Correction Model. Equilibrium: Jurnal Penelitian Pendidikan dan Ekonomi, 21(1), 113–124. https://doi.org/10.25134/equi.v21i01.7778
Ranto, S. R. (2019). Pengaruh Jangka Pendek dan Jangka Panjang Variabel Makroekonomi terhadap IHSG di Bursa Efek Indonesia dengan Pendekatan Error Correction Model (ECM). Jurnal Derivat: Jurnal Matematika dan Pendidikan Matematika, 6(1), 12–24. https://doi.org/10.31316/j.derivat.v6i1.332
Sari, A. P. N., Robiyanto, & Frensidy, B. (2024). Pengaruh Perubahan Harga Emas, Harga Minyak Dunia, Tingkat Suku Bunga BI, dan Nilai Tukar terhadap Return Saham pada IHSG dan JII. Jurnal Ekonomi dan Bisnis, 27(1), 36–48. https://www.jurnal.unikal.ac.id/index.php/jebi
Sopiyah, S., Safitri, L., Rodiyah, A., Anisah, E. N., Sundana, H., Afandi, A., & Sriyono. (2025). Pengaruh Harga Emas Dunia, Harga Minyak Dunia, dan Indeks Dow Jones (DJIA) terhadap Indeks Harga Saham Gabungan di Indonesia pada Periode Perang Dagang AS–Tiongkok. Paradoks: Jurnal Ilmu Ekonomi, 8(3), 234–251. https://doi.org/10.57178/paradoks.v8i3.1377
Suciningtias, S. A., & Khoiroh, R. (2015). Analisis Dampak Variabel Makroekonomi terhadap Indeks Saham Syariah Indonesia (ISSI). 2nd Conference in Business, Accounting, and Management, 2(1). https://jurnal.unissula.ac.id/index.php/cbam/article/view/323
Sunariyah. (2011). Pengantar Pengetahuan Pasar Modal (Ed. ke-6). UPP STIM YKPN.
Surya, B. A., & Nasher, T. G. (2011). Analysis of the Effect of SBI Interest Rate, Exchange Rate, Company Size, Debt to Equity Ratio and Bond on Corporate Bond Yields in Indonesia. Journal of Technology Management, 10(2).
Widarjono, A. (2018). Ekonometrika: Pengantar dan Aplikasinya (Ed. ke-5). UPP STIM YKPN.
Witjaksono, A. A. (2010). Analisis Pengaruh Tingkat Suku Bunga SBI, Harga Minyak, Harga Emas, Kurs Rupiah, Indeks Nikkei 225, dan Indeks Dow Jones terhadap IHSG (2000–2009) [Skripsi, Universitas Diponegoro].
Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning.
License
Copyright (c) 2026 Nindy Febriani, Wendy Wendy
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Downloads
How to Cite
