Random Matrix Theory Approach to Indonesia Energy Portfolio Analysis

International Conference on Energy Sciences 2016

能源学;物理学

Mahardhika, Alifian^1 ; Purqon, Acep^1

Department of Physics, Faculty of Mathematics and Natural Sciences, Institut Teknologi Bandung, Indonesia^1

关键词: Energy portfolio analysis;    High probability;    Market potential;    Oil producing countries;    Oil production;    Portfolio analysis;    Random matrix theory;    World economy;   

Others  :  https://iopscience.iop.org/article/10.1088/1742-6596/877/1/012022/pdf
DOI  :  10.1088/1742-6596/877/1/012022

来源: IOP

【 摘 要 】

In a few years, Indonesia experienced difficulties in maintaining energy security, the problem is the decline in oil production from 1.6 million barrels per day to 861 thousand barrels per day in 2012. However, there is a difference condition in 2015 until the third week in 2016, world oil prices actually fell at the lowest price level since last 12 years. The decline in oil prices due to oversupply of oil by oil-producing countries of the world due to the instability of the world economy. Wave of layoffs in Indonesia is a response to the decline in oil prices, this led to the energy and mines portfolios Indonesia feared would not be more advantageous than the portfolio in other countries. In this research, portfolio analysis will be done on energy and mining in Indonesia by using stock price data of energy and mines in the period 26 November 2010 until April 1, 2016. It was found that the results have a wide effect of the market potential is high in the determination of the return on the portfolio energy and mines. Later, it was found that there are eight of the thirty stocks in the energy and mining portfolio of Indonesia which have a high probability of return relative to the average return of stocks in a portfolio of energy and mines.