Sinurat, Nico Ferdinand (2026) Pengaruh Harga Komoditas Energi dan Nilai Tukar Terhadap Volatilitas Harga Saham Sektor Energi Pada Periode 2021-2025. Undergraduate thesis, UPN Veteran Jawa Timur.
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Abstract
This study aims to examine the effect of natural gas prices, coal prices, crude oil prices, and the USD/IDR exchange rate on the stock price volatility of Indonesia's energy sector as measured by the IDXENERGY Index during the 2021–2025 period. This research employed a quantitative approach with an associative research design. The study utilized monthly secondary data from February 2021 to December 2025, obtained from Investing.com for natural gas, coal, and crude oil prices, and from Bank Indonesia for the USD/IDR exchange rate. The data were analyzed using multiple linear regression with EViews 12 software through classical assumption tests, coefficient of determination analysis, t-test, and F-test. The results indicate that natural gas prices, coal prices, crude oil prices, and the USD/IDR exchange rate simultaneously have a significant effect on the stock price volatility of the energy sector, as indicated by an F-statistic of 11.3564 with a probability value of 0.000001. Partially, natural gas prices and the USD/IDR exchange rate have a positive and significant effect on stock price volatility, whereas coal prices and crude oil prices do not have a significant effect. The regression model produced an Adjusted R-Squared value of 0.4168, indicating that 41.68% of the variation in energy sector stock price volatility can be explained by the independent variables included in the model, while the remaining 58.32% is explained by other factors outside the scope of this study. Keywords: Natural Gas Prices, Coal Prices, Crude Oil Prices, USD/IDR Exchange Rate, Stock Price Volatility, IDXENERGY.
| Item Type: | Thesis (Undergraduate) | ||||||||
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| Subjects: | H Social Sciences > HA Statistics | ||||||||
| Divisions: | Faculty of Social and Political Sciences > Departement of Business Administration | ||||||||
| Depositing User: | Nico Ferdinand Sinurat | ||||||||
| Date Deposited: | 20 Jul 2026 06:13 | ||||||||
| Last Modified: | 21 Jul 2026 01:00 | ||||||||
| URI: | https://repository.upnjatim.ac.id/id/eprint/56062 |
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