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All Journal Jurnal Pendidikan Ekonomi & Bisnis Dedikasi: Jurnal Pengabdian Masyarakat Dinasti International Journal of Economics, Finance & Accounting (DIJEFA) JELAJAH: Journal of Tourism and Hospitality Edunity: Kajian Ilmu Sosial dan Pendidikan Co-Creation : Jurnal Ilmiah Ekonomi Manajemen Akuntansi dan Bisnis Journal Research of Social Science, Economics, and Management Eduvest - Journal of Universal Studies IIJSE Jurnal Bakti Masyarakat Manajemen Journal of Innovative and Creativity Jurnal Penelitian Pendidikan Indonesia Jurnal Pengabdian Masyarakat Asian Journal of Management, Entrepreneurship and Social Science International Journal of Management, Economic and Accounting Jurnal Ekonomi, Manajemen, Akuntansi Jurnal Konsisten
Harold Kevin Alfredo
Universitas Malahayati
Religion Aerospace Engineering Humanities Civil Engineering, Building, Construction & Architecture Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Environmental Science Health Professions Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Library & Information Science Mathematics Neuroscience Social Sciences Other

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The effect of global geopolitical risk and world oil prices on abnormal stock returns in the energy sector, with global market volatility as a moderating variable Safira Azzahra; Lestari Wuryanti; Harold Kevin Alfredo
International Journal of Management, Economic and Accounting Vol. 4 No. 2 (2026): April 2026
Publisher : Yayasan Multidimensi Kreatif

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Abstract

This study aims to analyze the influence of global geopolitical risks and world oil prices on abnormal returns of energy sector stocks with global market volatility as a moderation variable. The study uses a quantitative approach with secondary data from energy sector companies listed on the Indonesia Stock Exchange, where global geopolitical risk is measured using the Geopolitical Risk index (GPR), world oil prices are represented by international crude oil prices, global market volatility is proxied by the VIX index, and abnormal returns are calculated using market models. The analysis method used was panel data regression with an interaction model. The results of the study show that global geopolitical risks do not have a significant effect on abnormal returns of energy sector stocks, while world oil prices have a negative and significant effect on abnormal returns of energy sector stocks, which indicates that the increase in world oil prices is responded negatively by the market. In addition, global market volatility is unable to moderate the relationship between global geopolitical risks and world oil prices to abnormal returns in energy sector stocks, thus showing that the dynamics of world oil prices are more dominant in influencing abnormal returns than other global external factors in the Indonesian capital market.
Co-Authors Anita Anita Anita Anita Anita Anita Anita Bella Aldama Hardi Rahayu Darajat, Ulfah Alfiyah Euis Mufahamah Febriansyah, Rubi Hiro Sejati Huda, Ahsanal Lestari Wuryanti Mia Selvina Muhammad Irfan Pratama Muhammad Irfan Pratama Normasyhuri, Khavid Pratama, Bagas Putra Pratama, Mohammad Irfan Pratama, Reza Hardian Rahmawati, Hamida Nur Rahyono Rahyono Rizki Agung Wibowo Safira Azzahra Samosir, Amril Saputra, Adli Rikanda Sejati, Hiro Wibowo, Rizki Agung Wuryanti, Lestari