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Long Run Association of Oil Prices and Stock Prices: A Case of Indonesia

Author

Listed:
  • Venkata Sai Srinivasa Rao Muramalla

    (College of Business, Komar University of Science and Technology, Kurdistan, Iraq)

  • Hassan Ali Alqahtani

    (Department of Finance, College of Business Administration, Prince Sattam Bin Abdulaziz University, Saudi Arabia)

Abstract

The study was aimed to investigate the long-run association of oil prices with the stock market index of Indonesia. The research consisted of crude oil prices as regressor, stock market index as regressand, GDP growth and inflation as control variables; and for these variables data were collected from 1990 to 2018. Meanwhile, for empirical investigation, ARDL and Granger Causality was applied to identify the long-run and short-run association of the oil crude oil prices with the stock market index in Indonesia. The findings of the study suggest that there is no long-run and short-run association of the crude oil prices with the stock index of Indonesia. However, a bi-directional association between the stock market and GDP growth but at 10%, the empirical study also suggested that GDP growth has unidirectional relation with inflation at 10%; whereas at 5% only stock market granger cause economic growth.

Suggested Citation

  • Venkata Sai Srinivasa Rao Muramalla & Hassan Ali Alqahtani, 2020. "Long Run Association of Oil Prices and Stock Prices: A Case of Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 593-600.
    • Handle: RePEc:eco:journ2:2020-05-70
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    Cited by:

    1. Sri Utami Ady, 2021. "The Effect of World Oil Prices, Gold Prices, and Other Energy Prices on the Indonesian Mining Sector with Exchange Rate of Indonesian Rupiah as the Moderating Effect," International Journal of Energy Economics and Policy, Econjournals, vol. 11(5), pages 369-376.

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    More about this item

    Keywords

    Stock returns; oil prices; Indonesia;
    All these keywords.

    JEL classification:

    • H54 - Public Economics - - National Government Expenditures and Related Policies - - - Infrastructures
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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