Robiyanto Robiyanto


This study examines the effect of gold price (in Rupiah) changes, US Dollar exchange rate changes against Rupiah (USD / IDR), and BI rate on Jakarta Composite Index (JCI) return and Jakarta Islamic Index (JII) return in Stock Exchange Indonesia during the period of  June 2008 to September 2017. The data used in this study was obtained from the official website of Bank Indonesia and Bloomberg. Data analysis was done by using multiple regression techniques by previously doing classical assumption test. The result of this re­search is that the exchange rate of USD / IDR changes and BI rate has a significant negative effect on JCI re­turn.


USD/IDR exchange rate, gold price, BI rate, Jakarta Composite Index (JCI), Jakarta Islamic Index (JII).

Full Text:



Ang, R. (1997). Buku pintar pasar modal Indonesia. Jakarta: Mediasoft Indonesia.[CrossRef]

Atmadja, A. S. (2002). Analisa pergerakan nilai tukar rupiah terhadap dolar amerika setelah diterapkannya kebijakan sistem nilai tukar mengambang bebas di Indonesia. Jurnal Akuntansi dan Keuangan, 4(1), 69–76. [CrossRef]

Batten, J. A., Ciner, C., & Lucey, B. M. (2010). The macroeconomic determinants of volatility in precious metals markets. Resources Policy, 35(2), 65–71.[CrossRef]

Baur, D. G. & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. The Financial Review, 45, 217–229.[CrossRef]

Baur, D. G., & McDermott, T. K. (2009). Is gold a safe haven? International evidence. Journal of Banking and Finance, 34(8), 1886–1898.[CrossRef]

Beckmann, J. & Czudaj, R. (2012). Gold as an inflation hedge in a time varying coefficient framework. RUHR Economic Papers (362).[CrossRef]

Bank Indonesia (2017a). BI 7-day (reverse) repo rate. Retrieved October 17, 2017, from http:// www. De-fault.aspx.[CrossRef]

Bank Indonesia (2017b). BI rate. Retrieved October 13, 2017, from bi-rate/data/Default.aspx.[CrossRef]

Bloomberg (2017). Market data. Retrieved October 15, 2017, from[CrossRef]

Ernayani, R., Robiyanto, R., & Sudjinan, S. (2017). Factors influencing profit distribution management of sharia commercial banks in Indonesia. Journal of Economics, Business & Accountancy Ventura, 20(2), 187–192. [CrossRef]

Ernayani, R., Sari, O., & Robiyanto, R. (2017). The effect of return on investment, cash ratio, and debt to total assets towards dividend payout ratio (A study towards manufacturing companies listed in Indonesia stock exchange). Advanced Science Letters, 23(8), 7169–7199.[CrossRef]

Ghazali, M. F., Lean, H. H., & Bahari, Z. (2013). Is gold a hedge or a safe haven? An empirical evidence of gold and stocks in Malaysia. International Journal of Business and Society, 14(3), 428–443. [CrossRef]

------------- (2015). Sharia compliant gold investment in Malaysia: Hedge or safe haven? Pacific-Basin Finance Journal, 34, 192–204.[CrossRef]

Gumilang, R. C., Hidayat, R. R., & NP, M. G. W. E. (2014). Pengaruh variabel makro ekonomi, harga emas dan harga minyak dunia terhadap indeks harga saham gabungan (Studi pada bursa efek indonesia periode 2009–2013). Jurnal Administrasi Bisnis, 14(2). [CrossRef]

Haholongan, R. (2016). Kinerja lingkungan dan kinerja ekonomi perusahaan manufaktur go public. Jurnal Ekonomi dan Bisnis, 19(3), 413–424.[CrossRef]

Harmono, H. (2017). Relationship between macroeco-nomics fundamentals, bank credit scheme, firms performance, and firms value dimensions. Jurnal Keuangan dan Perbankan (JKP), 21(1), 82–94. [CrossRef]

Hersugondo, S., Robiyanto, R., Wahyudi, S., & Muha-ram, H. (2015). The world oil price movements and stock returns in several southeast asia's capital markets. International Journal of Applied Business and Economic Research, 13 (2), 527–534. [CrossRef]

Hoang, T. H. V., Lean, H. H., & Wong, W. K. (2015). Is gold good for portfolio diversification? a stochastic dominance analysis of the paris stock exchange. International Review of Financial Analysis, 42, 98–108.[CrossRef]

Hussin, M. Y. M., Muhammad, F., Awang, S. A., Marwan, N. F., & Razak, A. A. (2013). The dynamic interaction between islamic stock market and strategic commodities. Journal of Islamic Economics, Banking and Finance, 9(3), 53–68. [CrossRef]

Ibrahim, M. H. (2012). Financial risk market and gold investment in an emerging market: The case of Malaysia. International Journal of Islamic and Middle Eastern Finance and Management Research News, 5(1), 25–34.[CrossRef]

Ibrahim, M. H. & Baharom, A. H. (2011). The role of gold in financial investment: A Malaysian perspective. Economic Computation and Economic Cybernetics Studies and Research, 45(4), 227–238. [CrossRef]

Irianto, G. (2002). Pengaruh bunga deposito, kurs mata uang, dan harga emas terhadap indeks harga saham gabungan (IHSG). Journal The Winners, 3(1), 1–10. [CrossRef]

Joesoef, J. R. (2008). Pasar uang & pasar valuta asing. Jakarta Salemba Empat.[CrossRef]

Kumar, D. (2014). Return and volatility transmission between gold and stock sectors: Application of portfolio management and hedging effectiveness. IIMB Management Review, 26(1), 5–16.[CrossRef]

Kurniawati, E. (2015). Analisis pengaruh nilai tukar (kurs) dolar Amerika/rupiah (us$/rp), inflasi, bi rate, dan jumlah uang beredar terhadap harga saham pada perusahaan perbakan yang terdaftar di bursa efek Indonesia periode 2013. Skripsi, Universitas Muhammadiyah Surakarta, Surakarta. [CrossRef]

Nuryadin, D. & Santoso, B. (2004). Analisis aplikasi model neraca pembayaran dan model moneter terhadap nilai tukar rupiah/dolar, periode 1980.1 –2000.4. Buletin Ekonomi Moneter dan Perbankan, September, 273–296.[CrossRef]

Robiyanto, R. (2017a). The analysis of capital market integration in asean region by using the

OGARCH approach. Jurnal Keuangan dan Per-bankan (JKP), 21(2), 169–175. [CrossRef]

--------------- (2017b). Performance evaluation and risk aversion rate for several stock indices in Indonesia stock exchange. Jurnal Manajemen dan Kewirausahaan, 19(1), 60–64. [CrossRef]

Robiyanto, R., Wahyudi, S., & Pangestuti, I. R. D. (2017a). Testing commodities as safe haven and hedging instrument on asean's five stock markets. Jurnal Ekonomi Kuantitatif Terapan, 10 (2), 110–252. [CrossRef]

--------------- (2017b). The volatility variability hypotheses testing and hedging effectiveness of precious metals for the Indonesian and Malaysian capital markets. Gadjah Mada International Journal of Business, 19(2), 167–192.[CrossRef]

Triyono, D. & Robiyanto, R. (2017). The effect of foreign stock indexes and indonesia’s macro economics variables toward Jakarta composite stock price index (JCI). Advanced Science Letters, 23(8), 7211–7214.[CrossRef]

Tully, E. & Lucey, B. M. (2007). A power GARCH examination of the gold market. Research in International Business and Finance, 21, 316–325.[CrossRef]

Uligoma, M. N. (2014). Identifikasi korelasi nilai tukar rupiah dan indeks harga saham gabungan melalui ensemble empirical mode decomposition. Skripsi, Institut Pertanian Bogor, Bogor.[CrossRef]

Yuswandy, Y. (2013). Analisis pengaruh harga minyak dunia, harga emas dunia, nilai tukar RP terhadap USD dan indeks IHSG terhadap return saham (Studi kasus saham-saham Sinarmas Group). Working Paper.[CrossRef]


The Journal is published by Management Study Program, Faculty of Business and Economics, Petra Christian University. It available online supported by Directorate General of Higher Education - Ministry of Research, Technology and Higher Education of the Republic of Indonesia.

©All right reserved 2016.Jurnal Manajemen dan Kewirausahaan, ISSN: 1411-1438, e-ISSN: 2338-8234

web stats
View My Stats