Research Article
The Effect of Changes in Oil Prices and Gold Prices on the Return of the Sectoral Stock Index in Indonesia from 1999-2019
@INPROCEEDINGS{10.4108/eai.31-3-2022.2320947, author={Nabila Octaviola Rosanti and Dewi Hanggraeni}, title={The Effect of Changes in Oil Prices and Gold Prices on the Return of the Sectoral Stock Index in Indonesia from 1999-2019 }, proceedings={Proceedings of the 1st International Conference on Contemporary Risk Studies, ICONIC-RS 2022, 31 March-1 April 2022, South Jakarta, DKI Jakarta, Indonesia}, publisher={EAI}, proceedings_a={ICONIC-RS}, year={2022}, month={8}, keywords={changes in oil price changes in gold price sectoral stock index returns structural break}, doi={10.4108/eai.31-3-2022.2320947} }- Nabila Octaviola Rosanti
Dewi Hanggraeni
Year: 2022
The Effect of Changes in Oil Prices and Gold Prices on the Return of the Sectoral Stock Index in Indonesia from 1999-2019
ICONIC-RS
EAI
DOI: 10.4108/eai.31-3-2022.2320947
Abstract
This study aims to determine the effect of changes in oil and gold prices on sectoral stock index returns. Furthermore, this study evaluates the possibility of a structural break during the research period that could affect the stability of the asset-pricing model. This study uses samples from 10 sectoral stock indexes in Indonesia with the JASICA system listed on the Indonesia Stock Exchange from 1999 to 2019. Bai & Perron’s structural break test was used to evaluate the possibility of a structural break during the research period that could affect the stability of the asset-pricing model. The findings in this study are the effect of changes in oil prices and gold prices on the return of sectoral stock indexes in Indonesia varies in each sector. In addition, there is one structural break in the six sector index models with the 1999-2019 research period.