the analysis of world's oil price movement to - SGU Repository

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THE ANALYSIS OF WORLD’S OIL PRICE MOVEMENT TO THE VOLATILITY OF INDONESIAN NATURAL RESOURCES COMMODITIES STOCK PRICE WITHIN PERIOD OF MARCH

2007 UNTIL THE FIRST QUARTER OF 2008

By

Janet Felicia Gunadi

A Bachelor’s Thesis Submitted to the Faculty of BUSINESS ADMINISTRATION

In partial fulfillment of the Requirements for the Degree of

BACHELOR OF BUSINESS ADMINISTRATION

SWISS GERMAN UNIVERSITY Campus German Centre Bumi Serpong Damai – 15321

Island of Java, Indonesia www.sgu.ac.id

July 2008

Revision after the thesis defense on 2 August 2008

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STATEMENT BY THE AUTHOR

I hereby declare that this submission is my own work and to the best of my knowledge, it contains no material previously published or written by another person, not material which to a substantial extent has been accepted for the award of may other degree or diploma at any educational institution, except where due acknowledgement is made in the thesis.

_______________________________________ ________________

Janet Felicia Gunadi July, 14^th 2008

Approved by:

________________________________________ __________________

Yosman Bustaman July, 14^th 2008

______________________________________ _________________

Chairman of the Examination Steering Committee July, 14^th 2008

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ABSTRACT

The Analysis of World’s Oil Price Movement to The Volatility of Indonesian Natural Resources Stock Price within Period of March 2007 until The First Quarter of 2008

By

SWISS GERMAN UNIVERSITY Bumi Serpong Damai

Yosman Bustaman, Thesis Advisor Dwi Widayatmoko, Thesis Co-Advisor

This thesis research has a purpose to investigate how oil price fluctuations or movements give affects to the Indonesian natural resources commodities stock price that occurred between March 2007 until the next first quarter of 2008. As we have known that since 2003 the oil price rise so high until it reach more than $110/barrel by the midst of March 2008. Of course it will definitely influence any aspects in world’s economic. One of the aspects is the hardcore natural resources commodity stock price in Indonesia. With the risen of oil price, the stock of natural resources commodities are definitely rises also. This study intends to prove these impacts.

The methodology of this research focuses examining ahead the impact world’s oil price fluctuation on Indonesian hardcore commodities stock price. The author will focuses on the oil price and commodities stock price time frame between March 2007 and the end of March 2008. Even though, author will also take some research data

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regression model, (2) descriptive statistics, and (3) one sample test (t-test & Z-test) will be used in this research. Furthermore, in fundamental analysis, author will analyze the situation taken from the ROA, ROE and PER of those companies that relates to the two components of this research. As there has been major global oil price hikes between 2003 and present day, it is therefore significant to test how this affects the Indonesian economy especially in hard commodities stock price

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DEDICATION

This thesis is dedicated to Edwin Ardhian Herianto for guiding, supporting, and giving a lot of knowledge, advices, and support in order to complete this thesis. In addition, author would also like to thank the families for their support and caring so author could finish her study.

Author would also like to give special thanks to my advisor, Yosman Bustaman and co-advisor, Dwi Widayatmoko. With a lot of hard works and time, they had brought guidance to the right path in completing this thesis.

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ACKNOWLEDGMENTS

This thesis was acknowledged to my friend, Edwin Ardhian Herianto. Without his guidance and knowledge in this research, I won’t be able to complete my thesis. Also, to my parents for support and loving that keep me motivated through the way in finishing my thesis. And for the most at all, to God, Jesus Christ that with his blessings I could completed this research.

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TABLE OF CONTENTS

STATEMENT BY THE AUTHOR ... 2

ABSTRACT ... 4

DEDICATION ... 6

ACKNOWLEDGMENTS ... 7

CHAPTER 1 – INTRODUCTION ... 14

1.1 Background ... 14

1.1.1 Companies’ Profile ... 15

1.1.1.1 PT. Aneka Tambang Tbk. ... 15

1.1.1.2 PT. Bumi Resources Tbk. ... 15

1.1.1.3 PT Energi Mega Persada Tbk. ... 16

1.1.1.4 PT INCO Tbk. ... 16

1.1.1.5 PT. Medco Energi Tbk. ... 16

1.1.1.6 PT Perusahaan Gas Negara (Persero) Tbk. ... 17

1.1.1.7 PT Tambang Batubara Bukit Asam Tbk. ... 17

1.1.1.8 PT Timah Tbk. ... 17

1.1.1.9 PT Apexindo Pratama Duta Tbk. ... 18

1.1.1.10 PT Elnusa Tbk. ... 18

1.1.1.11 PT Indo Tambangraya Megah Tbk. ... 18

1.1.1.12 PT Perdana Karya Perkasa Tbk. ... 19

1.2 Objective of the Research ... 19

1.3 Significance of Thesis ... 19

1.4 Contribution to Knowledge ... 20

1.5 Research Design ... 20

1.6 Research Hypotheses ... 20

1.7 Hypotheses Testing ... 22

1.8 Research Limitations ... 22

1.9 Research Structure ... 22

CHAPTER 2 – LITERATURE REVIEW ... 23

2.1 Blue-chip and Non Blue-chip Stocks ... 36

CHAPTER 3 – METHODOLOGY ... 38

3.1 Research Process ... 38

3.3 Theoretical Framework ... 40

3.4 Hypotheses ... 41

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3.6.2 One Sample Test - t test ... 44

3.6.3 Regression Analysis ... 44

3.6.4 Descriptive Statistic ... 45

3.7 Timeframe of Study ... 46

CHAPTER 4 – RESULT & DISCUSSION ... 47

4.1 ANTM (Aneka Tambang Persero Tbk) ... 48

4.2 BUMI (Bumi Resources Tbk) ... 52

4.3 ENRG (Energi Mega Persada Tbk) ... 55

4.4 INCO (International Nickel Ind. Tbk.) ... 57

4.5 MEDC (Medco Energi International Tbk.) ... 61

4.6 PGAS (Perusahaan Gas Negara Tbk) ... 64

4.7 PTBA (Tambang Batubara Bukit Asam Tbk) ... 67

4.8 TINS (Timah Tbk) ... 70

4.9 APEX (Apexindo Pratama Duta Tbk) ... 73

4.10 ELSA (Elnusa Tbk) ... 77

4.11 ITMG (Indo Tambangraya Megah Tbk) ... 80

4.12 PKPK (Perdana karya Perkasa Tbk) ... 82

4.13 Return on Equity, Return on Asset, & Price Earning Ratio ... 85

CHAPTER 5 – CONCLUSION AND RECOMMENDATION ... 91

5.1 Conclusion ... 91

5.1.1 Hypothesis I ... 91

5.1.2 Hypothesis II ... 92

5.1.3 Hypothesis III ... 93

5.1.4 Hypothesis IV ... 94

5.2 RECOMMENDATIONS ... 94

GLOSSARY ... 96

REFERENCES ... 101

APPENDICES ... 106

Appendices 1: Graph of Oil Price per Week based on WTI Spot Price ... 106

Appendices 2: Stock’s Line Fit Plots ... 106

Appendices 3: Regression Analysis Summary Output ... 111

CURRICULUM VITAE ... 124