Pengaruh Indeks iShares ESG Aware MSCI USA ETF (ESGU), Emas, Volatility Index, dan Bitcoin Terhadap Indeks Saham Amerika S&P 500
Keywords:
ESG; ARDL; S&P 500 ESG; emas; VIX; Bitcoin; keberlanjutan; pasar sahamAbstract
Penelitian ini bertujuan untuk menganalisis pengaruh Indeks iShares ESG Aware MSCI USA ETF (ESGU), harga emas (GOLD), indeks volatilitas pasar (VIX), dan harga Bitcoin (BTC) terhadap Indeks S&P 500 ESG (SPESG) dalam jangka pendek dan jangka panjang. Menggunakan pendekatan Autoregressive Distributed Lag (ARDL) dengan data time series periode 2020–2024 (60 observasi), penelitian ini menemukan bahwa dalam jangka pendek, VIX berpengaruh negatif signifikan dan BTC berpengaruh positif signifikan terhadap SPESG, sedangkan GOLD berpengaruh positif signifikan pada taraf 10%. ESGU tidak berpengaruh signifikan dalam jangka pendek maupun panjang. Dalam jangka panjang, GOLD dan BTC tetap memberikan kontribusi positif dan signifikan, sementara VIX berpengaruh negatif signifikan. Hasil uji kointegrasi (F-statistik = 21,089) mengkonfirmasi adanya hubungan keseimbangan jangka panjang antar variabel. Temuan ini mengimplikasikan bahwa instrumen tradisional (emas), aset digital (Bitcoin), dan sentimen pasar (VIX) memainkan peran penting dalam menentukan arah indeks saham berbasis ESG, dan memberikan implikasi strategis bagi investor dalam merancang portofolio berorientasi keberlanjutan yang tahan terhadap volatilitas pasar.
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