Global Shock Transmission dan Sectoral Systemic Risk di Indonesia

Authors

DOI:

https://doi.org/10.26623/slsi.v24i3.14358

Abstract

Penelitian ini bertujuan untuk menganalisis dinamika keterhubungan antar sektor saham di Indonesia serta implikasinya terhadap risiko sistemik dan diversifikasi portofolio selama periode yang ditandai oleh berbagai guncangan global. Penelitian ini menggunakan data harian sebelas indeks sektoral yang diklasifikasikan dalam Indonesia Stock Exchange Industrial Classification (IDX–IC) selama periode Januari 2021 hingga Oktober 2025. Penelitian ini menerapkan pendekatan Time-Varying Parameter Vector Autoregression (TVP–VAR) yang dikombinasikan dengan generalized forecast error variance decomposition (GFEVD) untuk mengukur tingkat dan arah transmisi risiko antar sektor. Hasil penelitian menunjukkan bahwa tingkat keterhubungan antar sektor bersifat tinggi dan meningkat secara signifikan selama periode krisis, yang tercermin dari lonjakan Total Connectedness Index (TCI). Penelitian ini juga menemukan bahwa keterhubungan bersifat dinamis dan menunjukkan perubahan peran sektor sebagai transmiter dan penerima risiko dari waktu ke waktu. Sektor berbasis komoditas dan keuangan secara konsisten berperan sebagai sumber utama transmisi risiko, sedangkan sektor teknologi dan kesehatan cenderung berperan sebagai penerima risiko. Temuan ini mengindikasikan adanya asimetri dalam struktur keterhubungan sektoral serta penurunan efektivitas diversifikasi selama periode tekanan pasar. Selain itu, kendala institusional dalam pasar domestik berperan dalam memperkuat transmisi risiko antar sektor. Penelitian ini memberikan implikasi penting bagi investor dalam merancang strategi portofolio yang adaptif serta bagi regulator dalam memperkuat pengawasan risiko sistemik berbasis sectoral.

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2026-07-16

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Vol. 24 No. 3 (2026): July

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Copyright (c) 2026 Dwi Tjahjo Purnomo, Dr. Rohmini Indah Lestari, S.T., MM

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How to Cite

Purnomo, D. T., & Lestari, R. I. . (2026). Global Shock Transmission dan Sectoral Systemic Risk di Indonesia. Solusi, 24(3), 354-369. https://doi.org/10.26623/slsi.v24i3.14358