Effects of Energy Price Fluctuations on Stock Return of Energy Companies in Indonesia: The Effect of Macroeconomic Variables and Subsidy Policy
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Abstract
This study aims to analyze the effect of global energy price fluctuations, inflation, interest rates, exchange rates, and subsidy policies on stock returns of energy companies listed on the Indonesia Stock Exchange. The method used is panel data regression with the Fixed Effects Model (FEM) approach to capture unique characteristics between companies and simultaneous time variations. The results show that energy prices have a positive influence on stock returns, while inflation, interest rates, and exchange rates tend to have a negative impact. Energy subsidy policies also show a relevant relationship to the stock performance of energy companies. The findings provide insights for investors and policy makers in considering energy price dynamics and macroeconomic factors in investment strategies and energy sector policies in Indonesia.
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References
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https://doi.org/10.3390/en16083406
Zhang, C. (2021). Monetary policy, inflation, and stock market performance: Evidence from emerging economies. Journal of Financial Economic Policy, 13(4), 567–584. https://doi.org/10.1108/JFEP-09-2020-0225
Anwar, I. L., Fitrianti, R., Slamet, S., Amri, A., & Rahman, A. (2023). the Effect of Macroeconomic Variables on the Price of Sharia Health Sector Shares Listed on the Jakarta Islamic Index 70 (Jii70) for the Period 2018-2022. Marginal Journal of Management Accounting General Finance and International Economic Issues, 3(2), 410–419.
https://doi.org/10.55047/marginal.v3i2.994
Badan Pusat Statistik. (2019–2024). Statistik Indonesia dan indikator makroekonomi. https://www.bps.go.id
Bank Indonesia. (2019–2024). Statistik ekonomi dan keuangan Indonesia (SEKI). https://www.bi.go.id
Cheng, H., & Hsiao, C. (2020). Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation. Econometric Reviews, 39(8), 858–874. https://doi.org/10.1080/07474938.2020.1772571
Darsono, S. N. A. C., Muttaqin, E. I., Rahmadani, R. A., & Ha, N. T. T. (2024). Unveiling the Nexus of Consumer Price Index, Economic Policy Uncertainty, Geopolitical Risks, and Gold Prices on Indonesian Sustainable Stock Market Performance. International Journal of Economics and Financial Issues , 14(6), 128–135. https://doi.org/10.32479/ijefi.16685
EIA – U.S. Energy Information Administration. (2019–2024). International energy statistics. https://www.eia.gov/international/
Fahda Aulia, A., & Angelica, D. (2024). Analysis of The Influence of Foreign Direct Investment, Exchange Rate, Inflation on Indonesian Non Oil and Gas Exports 2015-2022. Desrita Angelica INNOVATIVE: Journal Of Social Science Research, 4, 2807–2816.
Haida, N., Tamara, I., & Habibah, S. A. (2024). Analysis of Macroeconomic Indicators Affecting Sharia Stock Return in Indonesia. Proceedings International Conference of Bunga Bangsa (ICOBBRA), 2(1), 527–547. https://journal.epublish.id/index.php/icobba/
Handayani, R., Juzilam, S., Daulay, M., & Ruslan, D. (2020). The implementation of energy subsidy reduction policy on the Indonesian economy performance. International Journal of Financial, Accounting, and Management, 1(4), 235–246. https://doi.org/10.35912/ijfam.v1i4.154
Index Mundi. (2019–2024). Commodity prices: Coal, natural gas, crude oil. https://www.indexmundi.com
Kementerian Energi dan Sumber Daya Mineral. (2020). Laporan prospek energi tahunan. Diakses dari https://www.esdm.go.id
Kementerian Energi dan Sumber Daya Mineral Republik Indonesia. (2019–2024). Laporan subsidi energi dan kebijakan energi nasional. https://www.esdm.go.id
Kementerian Energi dan Sumber Daya Mineral. (2022). Penyesuaian kebijakan subsidi energi di Indonesia. Diakses dari https://www.esdm.go.id
KZfSS. (2020). Let’s Talk About Fixed Effects: All the Good Things and the Bad Things. Köln Zeitschrift für Soziologie und Sozialpsychologie.
Perbanas. (2020–2024). Laporan ekonomi dan perbankan Indonesia. https://www.perbanas.id
Putra, A. A. A. T., Darma, I. K., & Tantra, I. G. L. P. (2024). The Influence of Interest Rate, Inflation, and Exchange Rate on Stock Price Return of Companies Listed in the KOMPAS 100 Index. Atlantis Press International BV.
https://doi.org/10.2991/978-94-6463-244-6_2
Rahman, R. G., & Mursalini, W. I. (2024). The Influence Of Interest Rates And Inflation On Stock Returns In Food And Beverage Industry Sub-Sector. 1(1), 295–308.
Rheynaldi, P. K., Endri, E., & Pratomo, D. S. (2023). Harga energi dan pengembalian saham: Bukti sektor energi perusahaan di Indonesia. International Journal of Energy Economics and Policy, 13(1), 85–94.
Robiyanto, R., Santoso, M. A., Atahau, A. D. R., & Harijono, H. (2019). The Indonesia stock exchange and its dynamics: An analysis of the effect of macroeconomic variables. Montenegrin Journal of Economics, 15(4), 59–73.
https://doi.org/10.14254/1800-5845/2019.15-4.5
Ross, S. A. (1976). The arbitrage theory of capital asset pricing (Working Paper Version). Journal of Economic Theory, 13(3), 341–360. http://www.investmentanomalies.com/articles/031.pdf
Sari, I., Manurung, A. H., Buchdadi, A. D., Yusuf, M., & Price, S. (2024). Moderation Analysis of Inflation and Interest Rates on the Effect of PBV and ROA on the Share Price of the Infrastructure Sector Listed on the IDX. 1(2), 46–57.
Trading Economics. (2019–2024). Historical data: Crude oil, natural gas, coal prices, exchange rates. https://www.tradingeconomics.com
Wahyu Umaryadi, M. E., Hamdana, Saragih, D. A., & Burhan, H. (2021). Interest Rate, Inflation and Jakarta Composite Index on Digital Media Based Companies Stock Return in Indonesia. Journal of Physics: Conference Series, 1807(1). https://doi.org/10.1088/1742-6596/1807/1/012025
World Bank. (2024). Commodity Markets Outlook: Oil and Energy Prices. https://www.worldbank.org/en/research/commodity-markets
Yahoo Finance. (2024). IDX Energy Index Historical Data. https://finance.yahoo.com
Zahari, T. N., & McLellan, B. C. (2023). Review of Policies for Indonesia’s Electricity Sector Transition and Qualitative Evaluation of Impacts and Influences Using a Conceptual Dynamic Model. Energies, 16(8).
https://doi.org/10.3390/en16083406
Zhang, C. (2021). Monetary policy, inflation, and stock market performance: Evidence from emerging economies. Journal of Financial Economic Policy, 13(4), 567–584. https://doi.org/10.1108/JFEP-09-2020-0225