Abstract :
This research examined the effect of macro variables which consist of
crude oil price and exchange rate on stock price. The samples of the study are oil
and gas firms listed in Indonesia Stock Exchange for period 1 January 2007 - 31
Mei 2008 with weekly data. They are PT. Energi Mega Persada,tbk and PT.
Medco Energi Internasional,tbk. Data is collected from Indonesia Stock
Exchange, Bank Indonesia website, and Bloomberg website.
The variables are stock price of oil and gas firms as dependent variable,
and crude oil price and exchange rate as independent variables.
To examine this effect, researcher used multiple regression models with
95% level of confidence to see the contribution form each independent variable
influenced stock price with t-test and every independent variable influenced stock
price with F-test. SPSS 16.0 for windows and EViews 5.1 softwares were used to
process the data.
The conclusion of this study proved the theory that crude oil price and
exchange rate effected the fluctuation of stock price of oil and gas firms in partial
and simultaneous both.
Keywords: crude oil price, exchange rate and stock price.