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Corresponding Author:
Indra Darmawan, School of Business, IPB University, Bogor, Indonesia and Indonesia Banking School, Jakarta, Indonesia

Hermanto Siregar, School of Business, IPB University, Bogor, Indonesia and Faculty of Economics and Management, IPB University, Bogor, Indonesia
Dedi Budiman Hakim, School of Business, IPB University, Bogor, Indonesia and Faculty of Economics and Management, IPB University, Bogor, Indonesia
Adler Haymans Manurung, School of Business, IPB University, Bogor, Indonesia and Faculty of Economics and Management, IPB University, Bogor, Indonesia

Crude Oil Price Movements and Stock Trading Activity: Evidence from Indonesia

Volume 74 - Issue 1, February 2021
(pp. 25-46)
JEL classification: C58, F65, G12, Q43
Keywords: Crude Oil Price Movement, Stock Trading Activity, Time Series Analysis, VECM


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.

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Institute for International Economics
of the Genoa Chamber of Commerce

Istituto di Economia Internazionale
Camera di Commercio di Genova
Via Garibaldi, 4 (III piano) - 16124 Genova (Italy)