Agriculture Sector Stock Index: Return and Risk Analysis

The global economic crisis affected world oil price to decline decline and also followed by crude palm oil (CPO) price (Fadila 2014). This event will give a bad news to the national stock market peformance, especially for agriculture sector itself. Using monthly stock returns data of agriculture stock return index, this research tried to measure the influence world oil and CPO prices against the return stock. Macroeconomic variables (interest rate, exchange rate, export tax, and money supply) were also added t in order to complete the model and give some insides for goverment policies. ARCH/GARCH was applied to capture the effect of selected variables to return stock. . The Results showed that the variables of exchange rate (US$/IDR), money supply (M2) and CPO prices effect on the return stocks of agriculture index significantly and positively, The model also indicate that return stock of agriculture index had asymmetric volatility which is a good news will affect more on return stock than a bad news