Pengaruh Fluktuasi Harga Minyak Bumi, Gas Alam, Batu Bara, Dan ROA Terhadap Return Saham

Yuliyanto, Felix (2026) Pengaruh Fluktuasi Harga Minyak Bumi, Gas Alam, Batu Bara, Dan ROA Terhadap Return Saham. Undergraduate thesis, Universitas Katolik Musi Charitas.

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Abstract

This study aims to analyze the effect of fluctuations in coal and natural gas prices, as well as Return on Assets (ROA), on stock returns of energy and industrial sector companies listed on the Bursa Efek Indonesia during the 2022–2024 period. The research is grounded in the Efficient Market Hypothesis, which states that stock prices reflect all available information, both external and internal to the company. The study employs a quantitative approach using purposive sampling, resulting in 92 companies as the sample with a total of 276 observations. The data were analyzed using multiple linear regression and further examined through the bootstrapping method because the classical assumptions were not fully satisfied. The results indicate that fluctuations in natural gas prices have a positive and significant effect on stock returns. Meanwhile, fluctuations in coal prices and ROA do not have a significant effect on stock returns. The Adjusted R Square value of 0.031 shows that the independent variables explain only 3.1% of the variation in stock returns, while the remaining 96.9% is influenced by other factors outside the model. These findings suggest that investors are more responsive to strategic commodity information, particularly natural gas, than to internal financial performance indicators.

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