The Effect of Crude Oil, Coal, and Gold Price Volatility on the Volatility of the Composite Stock Price Index (JCI) on the Indonesia Stock Exchange during 2018–2025

Abstract

This research seeks to investigate the influence of volatility in crude oil, coal, and gold prices on the volatility of the Jakarta Composite Index on the Indonesia Stock Exchange over the 2018–2025 period. This timeframe was chosen due to its inclusion of key global events, including the US–China trade war, the Covid-19 pandemic, and Russia's invasion of Ukraine, which caused disruptions in global commodity prices. The study utilizes secondary data comprising daily prices of West Texas Intermediate (WTI) crude oil, Newcastle coal, London Gold Fixing prices, and the Indonesia Composite Index, sourced from Investing.com and Yahoo Finance. The analysis applies the TARCH (Threshold Autoregressive Conditional Heteroscedasticity) model, which effectively captures asymmetric effects, whereby negative news typically induces greater volatility than positive news. Findings reveal that volatility in oil and gold prices significantly impacts the volatility of the Indonesia Composite Index, whereas coal price volatility shows no significant effect. This is referred to as volatility spillover, wherein uncertainty from one market transmits to another. The study adds to the body of knowledge in economics and finance, while enriching the literature on linkages between global commodity markets and the Indonesian stock market.