Analyzes The Comovement of World Oil Prices And 5 Indonesian Stocks in LQ45 Index Through Wavelet Coherence Method
Complex system is a field of science studying how parts of a system give rise to the collective behaviors of the system, and how the system interacts with its environment. The financial market is an example of a complex system in economics and finance. Interaction of ag...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/23749 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Complex system is a field of science studying how parts of a system give rise to the collective behaviors of the system, and how the system interacts with its environment. The financial market is an example of a complex system in economics and finance. Interaction of agents will affect financial index and can cause financial dynamics. Comovement is a phenomenon where asset price move together and affects investor in making investment decisions. Comovement is influenced by external factors then cause price movement simultaneously. World oil price is one of the factors that affect the stock index in a country. In 2014 the price of oil (West Texas Intermediate / WTI) has decreased from $100 to $30 due to the abundant supply of oil in the world market. The decline was followed by the price of shares in the country. The purpose of this research is to analyze the comovement of world crude oil price to 5 shares of Indonesia which joined in LQ45 index during oil price decline (March 2014-March 2017). The LQ45 index is grouping 45 selected stocks based on the consideration of liquidity and market capitalization. Five stocks were included in this research ; Adaro Energy Tbk (ADRO), Aneka Tambang Tbk (ANTM), Vale Indonesia Tbk (INCO), Perusahaan Gas Negara (Persero) Tbk (PGAS) and Tambang Batubara Bukit Asam (Persero) Tbk (PTBA). The method used wavelet coherence method. Based on this method, time series data can be analyzed in time domain and frequency domain. The contour of the wavelet coherence obtained through the MATLAB program that provides comovement information of two time series. The comovement analysis of the world oil price (WTI) on Indonesia stocks shows that the most significant comovement is Adaro Energy Tbk (ADRO) stock. Meanwhile, the lowest comovement is stock of Perusahaan Gas Negara (Persero) Tbk (PGAS). Low comovement indicates a stable stock price or is unaffected by oil prices while high comovement indicates a high risk because stock prices move following an increase or decrease in oil prices. <br />
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