International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
Open Access | Fully Refereed | Peer Reviewed

ISSN: 2319-7064




Downloads: 163

Research Paper | Agricultural Economics | Indonesia | Volume 6 Issue 1, January 2017


Agriculture Sector Stock Index: Return and Risk Analysis

Jauhari Dwiputra Fadilaa, Nunung Kusnadi, Amzul Rifin


Abstract: The global economic crisis affected world oil price to decline decline and also followed by crude palm oil (CPO) price (Fadila 2014). This event will give a bad news to the national stock market peformance, especially for agriculture sector itself. Using monthly stock returns data of agriculture stock return index, this research tried to measure the influence world oil and CPO prices against the return stock. Macroeconomic variables (interest rate, exchange rate, export tax, and money supply) were also added t in order to complete the model and give some insides for goverment policies. ARCH/GARCH was applied to capture the effect of selected variables to return stock. . The Results showed that the variables of exchange rate (US$/IDR), money supply (M2) and CPO prices effect on the return stocks of agriculture index significantly and positively, The model also indicate that return stock of agriculture index had asymmetric volatility which is a good news will affect more on return stock than a bad news


Keywords: ARCH/GARCH/EGACH, stock return, volatility risk


Edition: Volume 6 Issue 1, January 2017,


Pages: 737 - 739


How to Cite this Article?

Jauhari Dwiputra Fadilaa, Nunung Kusnadi, Amzul Rifin, "Agriculture Sector Stock Index: Return and Risk Analysis", International Journal of Science and Research (IJSR), https://www.ijsr.net/get_abstract.php?paper_id=ART20164002, Volume 6 Issue 1, January 2017, 737 - 739

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