Bitcoin, Global Gold and Crude Oil Prices, Covid-19 Active Cases in Indonesia: Determinants of Indonesia Stock Exchange Volatility During the Covid-19 Pandemic

ABSTRACT

This study aims to determine the effect of Bitcoin price, world commodity prices such as gold and crude oil, as well as the number of active cases of Covid-19 in Indonesia on the volatility of the Indonesia Stock Exchange. This study uses quantitative methods and the data collection used is secondary data with daily data and the period from March 2, 2020 - March 2, 2022. The number of observations used in this study amounted to 477 observations. Secondary data sources are obtained through the Yahoo Finance website and the official WHO website. The data processing technique will be carried out using Stata 16 software and using the Multiple Linear Regression method and also the Classical Assumption Test. The results of this study show that the price of Bitcoin, the price of gold, Crude oil prices have a positive and significant effect on the volatility of the Indonesia Stock Exchange and only the number of active cases of Covid-19 in Indonesia has a positive but not significant effect. This indicates that Bitcoin prices, world gold prices, and world oil prices are good market indicators. In this case, the results found can be useful information for investors and portfolio managers when they want to invest in the Indonesia Stock Exchange, especially in uncertain periods such as during the Covid-19 pandemic. © 2022 ACM.