Oil is the most important source of energy in the world. In 2014 price of world oil (WTI / West Texas Intermediate) showed a decline. The decline in oil prices was followed by stock prices including the price of Indonesian stocks. A phenomenon where asset price move together, known as comovement be an important indicator for investors to make investment decisions.
This study aimed to know the influence of oil price fluctuations on Indonesian stock prices during the oil prices downturn period from 2014 (March 2014-February 2017). Shares study consist of three types of stocks ; shares of large capitalization (PT Chandra Asri Petrochemical Tbk and PT Perusahaan Gas Negara (Persero) Tbk), medium capitalization (PT Harum Energy Tbk and PT Pelat Timah Nusantara Tbk) and small capitalization stocks (PT Bumi Resources Minerals Tbk and PT Sumber Energy Andalan Tbk). The method used is the method of wavelet coherence. Based on this method, the time series can be investigated in time domain and frequency domain. Plot contours of wavelet coherence gave information comovement of two time series. The results of this study indicate PT Perusahaan Gas Negara Tbk has the most significant comovement while the PT Sumber Energy Andalan Tbk show the least. PT Sumber Energy Andalan Tbk showed a lower risk and more stable stocks and are not affected by oil price fluctuations. Based on types of investors to look at the risk profile, the type of defensive investor will invest in stocks with low comovement namely PT Sumber Energy Andalan Tbk. While an aggressive type of investor will tend to pick stocks with high comovement to oil prices as PT Perusahaan Gas Negara Tbk because they bring in more returns.