Fossil energy sources such as oil, gas, and coal are the primary energy sources to support global modern economy. Over the last six years, global coal and oil prices has fell to its lowest in the last decades and drove Indonesian energy mining sector performances to collapse. The dependency to global energy prices creates uncertainty among investor, thus compelling the necessity of investment tools that could advise investor to take investment decision. Arbitrage Pricing Theory (APT) has been proven to be one of the most reliable asset pricing tools utilizing macro-multifactors. This research purposes are to utilize APT model as tools to predict eleven firms in coal, oil, and gas mining prices and analyzing macro factors of global coal, oil, and gas prices, exchange rate, interest rate, and consumer price index to give investment decision-making indication. This research use Seemingly Unrelated Regression weighted pooled least square method in panel data structure. Observing 6-year period using monthly data. This reasearch found that APT model could be use as technical tools to estimate the prices and return of stock prices of eleven firms. By utilizing mispricing moment, this model could also give investment decision making indication to investor.
Keywords: Arbitrage Pricing Theory, Energy Mining Sector, Indonesia Stock Exchange, Seemingly Unrelated Regression
