The Relationship Between Energy Commodity Prices, Exchange Rate, And Stock Price Volatility Of The Energy Sector During The 2021–2025 Period

Nico Ferdinand; Rusdi Hidayat Nugroho

doi:10.33019/equity.v14i2.843

Authors

Nico Ferdinand Department of Business Administration, Faculty of Social and Political Sciences, Universitas Pembangunan Nasional “Veteran” Jawa Timur
Rusdi Hidayat Nugroho Department of Business Administration, Faculty of Social and Political Sciences, Universitas Pembangunan Nasional “Veteran” Jawa Timur

DOI:

https://doi.org/10.33019/equity.v14i2.843

Keywords:

Energy Commodity Prices, Exchange Rate, Stock Price Volatility

Abstract

This study examines the relationship between natural gas, coal, and crude oil prices, the USD/IDR exchange rate, and stock price volatility of the IDXENERGY Index on the Indonesia Stock Exchange during February 2021–December 2025. The study employs a quantitative associative approach using 59 monthly observations. Energy commodity data were obtained from Investing.com, while USD/IDR data were obtained from Bank Indonesia. Multiple linear regression based on Ordinary Least Squares (OLS) was conducted using EViews 12, preceded by classical assumption tests and followed by partial and simultaneous significance tests. The findings show that natural gas prices and the USD/IDR exchange rate are positively and significantly associated with energy-sector stock volatility, whereas coal and crude oil prices are not statistically significant individually. The four regressors are jointly significant in explaining variation in IDXENERGY volatility. The results indicate heterogeneous transmission of external-market information into Indonesian energy-sector equity risk and highlight natural gas and exchange-rate movements as relevant risk indicators. Methodological limitations include the static OLS framework, price-level volatility measure, absence of reported stationarity tests, and limited control variables.

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