THE DYNAMIC CORRELATION BETWEEN OIL PRICES AND THE INDONESIAN OIL COMPANIES’ STOCK PRICE

Image : Jurnal Riset Manajemen Pub Date : 2021-07-02 DOI:10.17509/image.v10i1.31283

Otniel Syebastian Agusto Potto, R. Robiyanto

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引用次数: 1

Abstract

This study aims to analyze the correlation between oil prices and the Indonesian oil companies’ stock price during the pandemic of COVID-19 by testing the effect of oil price changes on companies' stock return and stock volatility. Also, by considering the dynamic correlation between oil prices and the Indonesian oil companies’ stock prices. The data were collected from secondary data at www.finance.yahoo.com, Oil prices, and the Indonesian oil companies’ stock price period from January 2020 to June 2020 during the pandemic of COVID-19. Further, the data were analyzed by using a GARCH method to examine the effect of changes in oil prices for stock return and stock volatility. Also, the DCC-GARCH method was used to see the dynamic correlation between oil prices and the Indonesian oil companies’ stock price. The result showed that changes in oil prices have a significant effect on stock price volatility and the presence of a positive dynamic correlation between oil prices and the Indonesian oil companies’ stock price. This research can be used as a reference for investors for their investments by looking at the relationship between the oil price and The Indonesian oil companies’ stock price.

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石油价格与印尼石油公司股价之间的动态相关性

本研究旨在通过检验油价变化对公司股票收益和股票波动率的影响，分析COVID-19大流行期间油价与印尼石油公司股价的相关性。此外，通过考虑油价与印尼石油公司股价之间的动态相关性。数据收集自2019冠状病毒病大流行期间2020年1月至2020年6月期间www.finance.yahoo.com、油价和印度尼西亚石油公司股价的二手数据。进一步，运用GARCH方法对数据进行分析，检验油价变化对股票收益和股票波动率的影响。此外，采用DCC-GARCH方法观察油价与印尼石油公司股价之间的动态相关性。结果表明，油价变化对股价波动有显著影响，油价与印尼石油公司股价之间存在正动态相关关系。本研究可以作为投资者的投资参考，看看油价和印尼石油公司的股价之间的关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Image : Jurnal Riset Manajemen

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