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ABSTRACT
This research is aimed to look at the impact of oil price movements in each industry sector in Indonesia following the fluctuations in fuel price policy. Economic theories have established that oil price causes chain reaction effects on the real economic activities. Also, oil price changes and shocks is said to be one of the factors that influence the performance of the stock market. In this paper, Vector Autoregression (VAR) approach was used to determine the impact of the oil price changes on each industry sector and the mining sector listed on Bursa Efek Indonesia by way of analysing the trend of the return on the three Industry Indices and one Mining Indices, during two periods: October 2013 until October 2014 when fuel prices are still subsidized by the government and November 2014 until November 2015 when the fluctuations in fuel price policy is applied. Test results showed that the movement of world oil prices give a positive impact on mining sector and a negative impat on the basic industries and miscellaneous industries sector.
Keywords: oil price, stock market return, Vector Autoregression, fuel price fluctuations policy
SARIPATI
Penelitian ini bertujuan untuk melihat dampak dari pergerakan harga minyak di sektor masing-masing industri di Indonesia pasca kebijakan fluktuasi harga BBM. Teori ekonomi telah menetapkan bahwa harga minyak menyebabkan efek reaksi berantai pada kegiatan ekonomi riil. Selain itu, perubahan harga minyak dikatakan salah satu faktor yang mempengaruhi kinerja pasar saham. Dalam tulisan ini, Vector Autoregression (VAR) digunakan untuk menentukan dampak dari perubahan harga minyak pada setiap sektor industri dan sektor pertambangan yang terdaftar di Bursa Efek Indonesia dengan cara menganalisis tren pengembalian pada tiga Indeks Industri dan satu Indeks Pertambangan, selama 2 periode yaitu Oktober 2013 hingga Oktober 2014 ketika harga BBM masih disubsidi pemerintah dan November 2014 sampai November 2015 saat kebijakan fluktuasi harga BBM dilakukan. Dari hasil pengujian didapatkan bahwa pergerakan harga minyak dunia memberikan pengaruh positif terhadap nilai indeks di sektor pertambangan dan pengaruh negatif terhadap nilai indeks di sektor industri dasar dan aneka industri.
Kata Kunci: harga minyak dunia, return saham, Vector Autoregression, kebijakan
