Bitcoin vs. the Fed: Which Has a Greater Influence on the Indonesia Composite Index
DOI:
https://doi.org/10.55927/ijsmr.v4i6.58Keywords:
Bitcoin, FED interes rate, VECM, Investor sentiment, Efficient Market HypothesisAbstract
This study aims to analyze the effect of Bitcoin prices and the Federal Reserve (The Fed) interest rate on the Indonesia Composite Stock Price Index (IHSG) over the period January 2010 to December 2025. A descriptive quantitative approach is employed using the Vector Error Correction Model (VECM) to capture short-run and long-run dynamics among variables. Monthly secondary data were obtained from The Federal Reserve, Tradingview, and Investing.com. VECM estimation reveals that Bitcoin prices have a negative and significant effect on IHSG in the long run, while in the short run the effect remains negative but statistically insignificant. The Fed interest rate exhibits a negative and insignificant effect on IHSG in both the long and short run. These findings support the characterization of Bitcoin as a complementary asset to IHSG and imply that market participants should consider the dynamics of digital assets and global monetary policy in portfolio allocation strategies.
References
Ambarwati, R., & Saprudin, N. (2025). The Impact of Fed Interest Rate Fluctuations on Capital Outflows and the Stability of Indonesia’s Capital Market. Maneggio, 2(6), 89–98. https://doi.org/10.62872/wc5rq141
Dengah, D., Doda, I., & Aslan, A. (2023). The Effect of Gold Price and NIKKEI on Market Return in Indonesia. The Contrarian : Finance, Accounting, and Business Research, 2(1), 6–11. https://doi.org/10.58784/cfabr.19
Fadhilah, A., & Susanti, R. (2025). Pengaruh Harga Cryptocurrency dan Komoditas Terhadap Indeks Harga Saham Gabungan (IHSG) Periode 2020-2024. PENG: Jurnal Ekonomi Dan Manajemen, 3(1), 1041–1059. https://doi.org/10.62710/xg5xjs58
Fama, E. F. (1970). EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK. The Journal of Finance.
Gaol, T. R. L. (2023). Pengaruh Risiko Luar Negeri Terhadap Pasar Saham Indonesia Menggunakan Analisis ARDL. Jurnal Akuntansi Keuangan Dan Bisnis, 16(1), 90–99. https://jurnal.pcr.ac.id/index.php/jakb/
Heston, S. L., & Sadka, R. (2010). Seasonality in the cross section of stock returns: The international evidence. Journal of Financial and Quantitative Analysis. Retrieved from Cambridge Core.
Hidayah, N., & Nur Saidah, A. (2024). Unveiling The Dynamics : Impact Of Cryptocurrency Returns, Forex Rates And Gold Prices on IHSG. JIMEA Jurnal Ilmiah MEA (Manajemen, Ekonomi, Dan Akuntansi), 8(3).
Mankiw, N. G. (2016). Macroeconomics (9th ed.). Worth Publishers.
Najibullah. (2023). Pengaruh Indeks Global Terhadap Indeks Harga Saham Gabungan (IHSG): Bukti Empiris Menggunakan Data Harian. Jurnal Mahasiswa Akuntansi Samudra (JMAS), 4(4), 171–178.
Malini, H. (2021). Efficient market hypothesis and market anomalies of LQ 45 index: An empirical evidence. Jurnal Manajemen Teori dan Terapan, 14(3), 271-285.
Pastor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642–685.
Permana, I. I., & Pangestuti, I. R. D. (2021). Peran Emas Sebagai Heage Atau Safe Haven Terhadap Saham Pada Periode Sebelum Dan Selama Covid-19 Di Indonesia. SEIKO Journal of Management & Business , 4(1).
Putra, B. A. (2019). Analisis Pengaruh The Fed Rate, Inflasi, Indeks Dow Jones, Kurs, dan Harga Minyak Dunia Terhadap Indeks Harga Saham Gabungan (IHSG) Periode 2013:1-2017:12 (Pendekatan VECM) [Skripsi]. Universitas Muhammadiyah Yogyakarta.
Remesh, A., & Gaba, S. (2023, July 21). Efficient Market Hypothesis (EMH): Definition, history, how it works, and different forms. Strike.
Rosadi, D. (2015). Ekonometrika dan Analisis Runtun Waktu Terapan dengan EViews (Edisi 1). Yogyakarta: Andi Offset.
Safitri, A. (2025). Pengaruh Perubahan Suku Bunga The Fed Terhadap Nilai Tukar Rupiah dan IHSG. Jurnal Semesta Ilmu Manajemen Dan Ekonomi, 1(4), 1272–1277. https://doi.org/10.71417/j-sime.v1i4.521
Simanullang, R. M., Sembel, R., Kennedy, P. S. J., Lumbantoruan, R., & Tobing, S. J. (2023). Pengaruh Indeks Harga Saham Global terhadap Indeks Harga Saham Indonesia Studi Kasus Sebelum dan Selama Periode Covid-19. Jurnal Ikrath-Ekonomika, 6(2), 143–152. https://journals.upi-yai.ac.id/index.php/IKRAITH-EKONOMIKA
Soetjipto, B. E., & Wuryaningsih. (2022). Buku Ajar Pengantar Ekonometrika: Teori dan Praktik. Yogyakarta: Pustaka Pelajar.
Sugiyanto, K. V., & Robiyanto. (2022). Peran Emas sebagai Safe Haven untuk EIDO dan IHSG pada Periode Sebelum dan Selama Pandemi COVID-19. Management & Accounting Expose E-ISSN, 5(2), 24–35. http://jurnal.usahid.ac.id/index.php/accounting
Sugiyono. (2023). Metode Penelitian Kuantitatif, Kualitatif, dan R&D (Edisi 28). Bandung: Alfabeta.
Taha, A. A., & Bento, A. K. (2023). Dampak kenaikan suku bunga AS dan indeks pasar di Indonesia. Riset Akuntansi Dan Manajemen Pragmatis, 1(1), 28–40. https://doi.org/10.58784/ramp.77
Tunnisa, I. F., & Darmawan, S. (2023). Analisis Perbandingan Kinerja Cryptocurrency Bitcoin, Saham Dan Emas Sebagai Alternatif Investasi. Journal of Business and Information Systems (e-ISSN: 2685-2543), 5(2), 234–246. https://doi.org/10.36067/jbis.v5i2.214
Widhiarti, R. P., & Cahyaningrum, I. S. (2018). Analysis of investor sentiment impact in Indonesia Composite Index. Investment Management and Financial Innovations, 15(4), 1-12.
Wijayanti, I. (2017). Analisis Pengaruh Tingkat Inflasi, BI Rate, Kurs, dan Standard & Poor’s 500 Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia (BEI) Tahun 2014-2016 [Skripsi]. Universitas Muhammadiyah Surakarta.
Wulan, A., Zakiah Ma’mun, S., & Sofian Maksar, M. (2024). Analisis Aset Safe-Haven Untuk Pasar Saham Di Indonesia : Studi Pada Emas dan Bitcoin. JIMEA Jurnal Ilmiah MEA (Manajemen, Ekonomi, Dan Akuntansi), 8(1), 753–769.
Yu, I.-W., Fung, K.-P., & Tam, C.-S. (2010). Assessing financial market integration in Asia – Equity markets. Journal of Banking & Finance, 34(12), 2874–2885
