GEOPOLITICAL RISK INDEX DAN HARGA MINYAK DUNIA SEBAGAI PENENTU RETURN SAHAM SEKTOR ENERGI DI BURSA EFEK INDONESIA: PENDEKATAN PANEL DISTRIBUTED LAG PERIODE 2022–2026

Abstract

This study investigates the effects of the Geopolitical Risk Index (GPR) and global oil prices on stock returns in the energy sector listed on the Indonesia Stock Exchange during 2022–2026. A quantitative causal approach is applied using panel data regression with a first-order Finite Distributed Lag (FDL) model to capture both current and lagged effects across 245 observations from five firms. The findings reveal that GPR and oil prices significantly influence stock returns, both individually and jointly. GPR shows an asymmetric effect: it negatively affects returns in the current period due to heightened uncertainty and risk aversion, but positively impacts returns in the following period as investors adjust expectations and anticipate higher energy prices. Similarly, oil prices have a positive contemporaneous effect by increasing company profitability, but a negative lagged effect driven by cost pressures, economic slowdown concerns, and profit-taking behavior. Despite a relatively low explanatory power (R² = 4.9%), the model confirms that market responses are dynamic and not instantaneous. These results emphasize the importance of incorporating lag structures in financial analysis and suggest that investors, particularly retail investors, should adopt a forward-looking and data-driven approach when responding to geopolitical risks and commodity price fluctuations.