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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Main Author: Amalia (NIM. 10213095), Qoniti
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
id id-itb.:23749
spelling id-itb.:237492017-11-10T09:11:30ZAnalyzes The Comovement of World Oil Prices And 5 Indonesian Stocks in LQ45 Index Through Wavelet Coherence Method Amalia (NIM. 10213095), Qoniti Indonesia Final Project INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/23749 Complex system is a &#64257;eld 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 &#64257;nancial market is an example of a complex system in economics and &#64257;nance. Interaction of agents will a&#64256;ect &#64257;nancial index and can cause &#64257;nancial dynamics. Comovement is a phenomenon where asset price move together and a&#64256;ects investor in making investment decisions. Comovement is in&#64258;uenced by external factors then cause price movement simultaneously. World oil price is one of the factors that a&#64256;ect 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 signi&#64257;cant 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 una&#64256;ected by oil prices while high comovement indicates a high risk because stock prices move following an increase or decrease in oil prices. <br /> text
institution Institut Teknologi Bandung
building Institut Teknologi Bandung Library
continent Asia
country Indonesia
Indonesia
content_provider Institut Teknologi Bandung
collection Digital ITB
language Indonesia
description Complex system is a &#64257;eld 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 &#64257;nancial market is an example of a complex system in economics and &#64257;nance. Interaction of agents will a&#64256;ect &#64257;nancial index and can cause &#64257;nancial dynamics. Comovement is a phenomenon where asset price move together and a&#64256;ects investor in making investment decisions. Comovement is in&#64258;uenced by external factors then cause price movement simultaneously. World oil price is one of the factors that a&#64256;ect 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 signi&#64257;cant 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 una&#64256;ected by oil prices while high comovement indicates a high risk because stock prices move following an increase or decrease in oil prices. <br />
format Final Project
author Amalia (NIM. 10213095), Qoniti
spellingShingle Amalia (NIM. 10213095), Qoniti
Analyzes The Comovement of World Oil Prices And 5 Indonesian Stocks in LQ45 Index Through Wavelet Coherence Method
author_facet Amalia (NIM. 10213095), Qoniti
author_sort Amalia (NIM. 10213095), Qoniti
title Analyzes The Comovement of World Oil Prices And 5 Indonesian Stocks in LQ45 Index Through Wavelet Coherence Method
title_short Analyzes The Comovement of World Oil Prices And 5 Indonesian Stocks in LQ45 Index Through Wavelet Coherence Method
title_full Analyzes The Comovement of World Oil Prices And 5 Indonesian Stocks in LQ45 Index Through Wavelet Coherence Method
title_fullStr Analyzes The Comovement of World Oil Prices And 5 Indonesian Stocks in LQ45 Index Through Wavelet Coherence Method
title_full_unstemmed Analyzes The Comovement of World Oil Prices And 5 Indonesian Stocks in LQ45 Index Through Wavelet Coherence Method
title_sort analyzes the comovement of world oil prices and 5 indonesian stocks in lq45 index through wavelet coherence method
url https://digilib.itb.ac.id/gdl/view/23749
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