Mahmudah, Farida Nur (2026) DETERMINAN INDEKS HARGA SAHAM GABUNGAN (IHSG) DIMEDIASI VOLATILITAS DI INDONESIA. Undergraduate thesis, UPN Veteran Jawa Timur.
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Abstract
Prior studies on the macro-financial determinants of the IDX Compositecovering cryptocurrency, foreign exchange rates, and gold priceshave produced inconsistent findings, and most treat market volatility solely as a dependent variable rather than as a mediating mechanism. This gap is particularly relevant in the post-pandemic period, marked by heightened macro-financial uncertainty. The purpose of this research is to conduct an empirical analysis of the macro-financial determinants of the Indonesia Composite Stock Price Index (IHSG) over a five-year period, from January 2020 to December 2024. This study assesses the direct effects of global gold prices, foreign exchange rates (IDR/USD), and cryptocurrency (Bitcoin) price dynamics on the composite index, as well as the indirect effects mediated by realized market volatility, using Signalling Theory and Arbitrage Pricing Theory (APT). The constructs were examined quantitatively using secondary monthly time series data (n = 60) and Partial Least Squares Structural Equation Modeling (PLS-SEM) with SmartPLS 4.0. The study found that the Foreign Exchange Rate and Volatility had a direct negative impact on the IDX Composite, accounting for 53.6% of the variation (R² = 0.536). The prices of gold and cryptocurrencies, on the other hand, show no discernible direct or indirect transmissions to the IDX Composite, indicating a structural decoupling between digital assets and the Indonesian equity market. These results have strategic ramifications for financial regulators under the Financial Services Authority (OJK) and Bank Indonesia in maintaining systemic capital market stability, as well as for institutional investors in portfolio diversification.
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