"This article contributes to country specific result on the responses of sector stock indices to crudeoil price changes. Using linear and asymmetric models and by studying the association of crude oiland stock price, this article aims to explain about the short-term responses of Indonesian sector stockindices to crude oil price changes. Besides, we also try to figure out whether there are asymmetricresponses within. Our findings suggest that the strength and the sensitivity of this association varyacross sectors, and the effects are positive for all sectors. We also find strong significance of asymmetryreactions for Agriculture and Consumer Goods sector stock returns due to changes in crudeoil price."
Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2016
