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Crude Oil Price Movement and Stock Market Trading Activity: Evidence from Indonesia

Indra Darmawan, Hermanto Siregar, Dedi B. Hakim and Adler H. Manurung
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Indra Darmawan: School of Business, IPB University, Bogor, Indonesia and Indonesia Banking School, Jakarta, Indonesia
Dedi B. Hakim: School of Business, IPB University, Bogor, Indonesia and Faculty of Economics and Management, IPB University, Bogor, Indonesia
Adler H. Manurung: School of Business, IPB University, Bogor, Indonesia and School of Business, Bina Nusantara University, Jakarta, Indonesia

Economia Internazionale / International Economics, 2021, vol. 74, issue 1, 25-46

Abstract: Stock trading activity reflects the dynamic of a stock market performance and become an important indicator in its development. This study observes the effects of the crude oil price movements on Indonesia stock trading activities, measured by the Jakarta composite index (JCI), stock volume transactions (VolT), stock value transactions (ValT) and stock market capitalization (MCap). A VECM approach was used to observe its effects and concludes that the crude oil price movements have significant effects on those indicators. Impulse responses functions (IRF) analysis shows that those indicators have significant responses to the crude oil price movements, and variance decomposition (FEVD) analysis shows that crude oil price movements contribute to the variability of Indonesia stock trading activities. I movimenti del prezzo del petrolio crudo e le contrattazioni azionarie: studio del caso Indonesia L’attività di negoziazione azionaria riflette la dinamica di un comportamento del mercato azionario stesso e diventa un indicatore importante del suo sviluppo. Questo articolo osserva gli effetti dei movimenti del prezzo del petrolio crudo sulle contrattazioni azionarie in Indonesia, registrate tramite il Jakarta composite index (JCI), il volume delle transazioni azionarie (VolT), il valore delle transazioni azionarie (ValT) e la capitalizzazione del mercato (MCap). È stato applicato un approccio VECM per osservarne gli effetti. I risultati evidenziano che i movimenti del prezzo del petrolio crudo hanno un effetto significativo su questi indicatori. L’analisi IRF (Impulse Response Functions) mostra che quegli indicatori danno risposte significative ai movimenti del prezzo del petrolio crudo e l’analisi di decomposizione di varianza (FEVD) mostra che tali movimenti contribuiscono alla variabilità delle attività di contrattazione azionaria in Indonesia.

Keywords: Crude Oil Price Movement; Stock Trading Activity; Time Series Analysis; VECM (search for similar items in EconPapers)
JEL-codes: C58 F65 G12 Q43 (search for similar items in EconPapers)
Date: 2021
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