Impact of the Russia–Ukraine Conflict on Commodity-Driven Stock Price Volatility in the Indonesian Market

Abstract

This study analyzes the impact of the Russia–Ukraine conflict on the volatility of commodity-based stocks in Indonesia, especially the oil, gas, coal, gold, and wheat sectors. Using the BEKK-GARCH and Vector Autoregression (VAR) models, this study compares the periods before and during the conflict. The results show a significant increase in the spillover effect, especially in the coal and gold sectors. During the conflict, oil prices had a negative impact on ENRG, while coal prices that previously had a positive impact on ADRO turned negative. Gold volatility increased on PSAB, while its impact on ANTM weakened. Meanwhile, the effect of wheat prices on INDF became insignificant, but MYOR and ROTI experienced a change in the direction of spillover. These findings indicate the need for risk mitigation strategies and more adaptive policies in dealing with market volatility due to geopolitical instability.