Dynamic Correlation of Commodities, Stock Market and Exchange Rate in Period of Russia-Ukraine War

https://doi.org/10.36441/mae.v9i1.3494

Authors

Abstract

The purpose of this study is to determine the dynamic correlation between JCI (Jakarta Composite Index) and some commodities such as gold, oil, and the exchange rate of USD/IDR. The method used in the study is a quantitative approach with the time series analysis technique Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH). The data in this study are daily JCI data from the Indonesia Stock Exchange, gold prices, oil prices, and the dollar to rupiah (USD/IDR) exchange rate, starting from during the Covid-19 pandemic to December 30, 2023, during the Russia-Ukraine war. The results of this study found that changes in gold and oil prices, both Brent and WTI, have a significant effect on the volatility of the JCI during the Russia-Ukraine war period in 2022. However, there is a different correlation between JCI and USD/IDR exchange rates, where the dollar to rupiah exchange rate does not significantly affect JCI or can be said to have a weak correlation during the Russia-Ukraine war period.

Published

2026-06-16

Issue

Vol. 9 No. 1 (2026): Management and Accounting Expose 2026

Section

Artikel
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