Volatility spillovers of Crude Palm Oil, Crude Oil, Coal, Exchange Rates and Indonesian Stock Market 2013-2023

Abstract

This research is meant to analyze Volatility spillover between energy commodity market future (Crude Oil, Coal, and Palm Oil) with the Indonesian JKSE stock market and IDR-USD exchange rate. The data used is daily data taken during May 2013 until September 2023 by BEKK Diagonal Model. This research found that there were different patterns in asset pairs in relation to pre-pandemic and pandemic. Crude oil and palm oil had a positive relationship before pandemic and during the pandemic coal and the exchange rate had a positive relationship. Meanwhile, after the Covid 19 pandemic, no covolatility spillover was found. An increase in covolatility spillover was found during the pandemic from exchange rate asset pairs. This research also shows the potential for portfolio diversification for each asset pair through optimal portfolio weights. Understanding volatility movements and interdependencies in Commodities Future, Stock Markets and Exchange Rates is important for proper investment management, and this research can help investors in making proper decisions.