Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia

Volume: 5 Number: 2 June 1, 2015
  • Pasrun Adam
  • Usman Rianse
  • Edi Cahyono
  • Manat Rahim
International Journal of Energy Economics and Policy Cover
International Journal of Energy Economics and Policy
PDF Download
EN

Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia

Abstract

This study aims to examine the dynamics of the relationship between world crude oil prices and Indonesian stock market within the period of January 1st, 2004 to December 31st, 2013. The world crude oil prices referred to the price of West Texas Intermediate crude oil (WTI), whereas the composite indexes at the Indonesian Stock Exchange were used as indicators of the stock market in Indonesia. Daily data were analyzed by employing the LVAR causal model. The test results showed that there was a significant dynamical relationship between world crude oil prices and Indonesian composite index, both in the long-term and in the short-term. The dynamics of this relationship is positive, meaning that if the world crude oil price rises (falls), then the composite index also rises (falls). This finding is in the need for Indonesian government to be considered in their economic policy, as well as for investors to manage their investment portfolio.

Keywords

Details

Primary Language

English

Subjects

-

Journal Section

-

Authors

Pasrun Adam This is me

Usman Rianse This is me

Edi Cahyono This is me

Manat Rahim This is me

Publication Date

June 1, 2015

Submission Date

June 1, 2015

Acceptance Date

-

Published in Issue

Year 2015 Volume: 5 Number: 2

IZ

https://izlik.org/JA97PM45JF

Cite

RIS / Bibtex
APA
Adam, P., Rianse, U., Cahyono, E., & Rahim, M. (2015). Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia. International Journal of Energy Economics and Policy, 5(2), 550-557. https://izlik.org/JA97PM45JF
AMA
1.Adam P, Rianse U, Cahyono E, Rahim M. Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia. IJEEP. 2015;5(2):550-557. https://izlik.org/JA97PM45JF
Chicago
Adam, Pasrun, Usman Rianse, Edi Cahyono, and Manat Rahim. 2015. “Modeling of the Dynamics Relationship Between World Crude Oil Prices and the Stock Market in Indonesia”. International Journal of Energy Economics and Policy 5 (2): 550-57. https://izlik.org/JA97PM45JF.
EndNote
Adam P, Rianse U, Cahyono E, Rahim M (June 1, 2015) Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia. International Journal of Energy Economics and Policy 5 2 550–557.
IEEE
[1]P. Adam, U. Rianse, E. Cahyono, and M. Rahim, “Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia”, IJEEP, vol. 5, no. 2, pp. 550–557, June 2015, [Online]. Available: https://izlik.org/JA97PM45JF
ISNAD
Adam, Pasrun - Rianse, Usman - Cahyono, Edi - Rahim, Manat. “Modeling of the Dynamics Relationship Between World Crude Oil Prices and the Stock Market in Indonesia”. International Journal of Energy Economics and Policy 5/2 (June 1, 2015): 550-557. https://izlik.org/JA97PM45JF.
JAMA
1.Adam P, Rianse U, Cahyono E, Rahim M. Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia. IJEEP. 2015;5:550–557.
MLA
Adam, Pasrun, et al. “Modeling of the Dynamics Relationship Between World Crude Oil Prices and the Stock Market in Indonesia”. International Journal of Energy Economics and Policy, vol. 5, no. 2, June 2015, pp. 550-7, https://izlik.org/JA97PM45JF.
Vancouver
1.Pasrun Adam, Usman Rianse, Edi Cahyono, Manat Rahim. Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia. IJEEP [Internet]. 2015 Jun. 1;5(2):550-7. Available from: https://izlik.org/JA97PM45JF