Volatility Spillover on IDX Energy Sector

Ardhiani Fadila (UPN VETERAN JAKARTA)
Siwi Nugraheni (UPN VETERAN JAKARTA)
Dienni Ruhjatini Sholihah (UPN VETERAN JAKARTA)

Jurnal Riset Akuntansi dan Keuangan
Vol 10, No 2 (2022): Jurnal Riset Akuntansi dan Keuangan. Agustus 2022 [DOAJ dan SINTA Indexed]

This study aimed to determine the spillover volatility factors from the stock returns on IDX Energy Sector firms. It focused on 3 types of factors, including 1) economy, especially crude oil prices, 2) market, such as inflation, exchange rate, and real GDP growth, and 3) firm specific-factors, such as ROE, Firm Size, and DER. A total of 39 out of 66 firms were chosen for analysis while data was collected from 2011 to 2020. Furthermore, the Panel Data analysis method was used to examine the main aspects of stock return spillover volatility. The results showed that crude oil prices, inflation, exchange rates, and real GDP growth significantly partially affected stock returns in the Energy Sector, while ROE, Firm Size, and DER had no effect.