DAMPAK ESKALASI KONFLIK GEOPOLITIK AMERIKA SERIKAT–IRAN DALAM MEMPENGARUHI VOLATILITAS SAHAM PERUSAHAAN SEKTOR ENERGI YANG LISTING DI BURSA EFEK INDONESIA

Abstract

Geopolitical conflicts in the Middle East have significant implications for global energy markets and stock market stability, particularly in energy-related sectors. This study aims to examine the impact of the geopolitical escalation between the United States and Iran on the stock volatility of energy sector companies listed on the Indonesia Stock Exchange (IDX). The research employs a quantitative approach using the event study method with an event window of eleven trading days (t−5 to t+5) surrounding the event date of February 28, 2026, as the US and Israel launched coordinated airstrikes against strategic targets in Iran, including military and security sites. The analysis includes stock return, expected return, abnormal return (AR), average abnormal return (AAR), cumulative abnormal return (CAR), and stock volatility measured using standard deviation, as well as a paired sample t-test to assess differences before and after the event. The results indicate that the geopolitical conflict significantly affected stock returns and generated positive abnormal returns during the event window period. Furthermore, cumulative abnormal returns show a positive market response, while stock volatility increased significantly after the event. These findings suggest that geopolitical tensions between the United States and Iran contain important information affecting investor behavior and the performance of energy sector stocks in emerging markets such as Indonesia.