THE EFFECT OF OIL PRICE CHANGES ON SECTOR INDICES RETURN IN INDONESIAN STOCK MARKET
| Main Authors: | , Prasasti Chandra Abadi, , Prof. Dr. Zaki Baridwan, M.Sc. |
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| Format: | Thesis NonPeerReviewed |
| Terbitan: |
[Yogyakarta] : Universitas Gadjah Mada
, 2012
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| Subjects: | |
| Online Access: |
https://repository.ugm.ac.id/99752/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=55826 |
Daftar Isi:
- Oil is the main source of energy for the world economic activities. As a consequence, oil price influence in economy condition can�t be neglected. The importance of oil price has attracted researchers for years to conduct studies on the relationship between oil price and stock market. However, studies that focused in the developing countries are still limited. Developing countries has unique characteristics compared to the developed countries, such as inefficient energy usage and fuel subsidy. Moreover, oil price changes will have different level of influence among industries, considering that the industries are not homogeneous. Therefore, study on sector indices will give deeper understanding about the oil impact to the stock market. This study will determine the effect of oil price changes on sector indices return in Indonesian Stock Market. Stock returns and oil price changes from January 1, 2006 to December 31, 2010 will be examined in daily basis. Purposive sampling method was used. Some data are not fit due to the difference of national holiday. Therefore, these data are not included in the analysis. Normality test was conducted with Kolmogorov-Smirnov Test. The result has shown that no variable follows normal distribution. Thus, non-parametric test with Spearman rank correlation coefficient was used. Analysis result on oil price changes and sector indices has found that agriculture, mining and trade and services indices have correlation coefficient that significantly different from zero. Therefore, it can be concluded that these three variables are affected by oil price changes. On the other hand, it can be concluded as well that oil price changes doesn�t have effect on basic industry, consumer goods, financial, infrastructure, miscellaneous industry, and property indices.