LAUSR

Energy sector is not excluded from the recession in global economics. However, one can be stable during such outbreak was gold prices which showed incredible stable prices and relatively increasing. That also affected on daily stock prices for the gold producing companies such as PT Aneka Tambang (issuer code: ANTM) that showed conversely increasing than other mining sector companies. This study aims to investigate causal relationships between ANTM stock prices and Indonesian exchange rates in order to have strategic decision-making for investors by employing State Space model and to provide forecasting daily data for both variables. The study found that the State Space model confirmed their dynamic relationship, in which ANTM was not only affected by itself but also by the movement of exchange rates. The forecasting graphs then provide the insight of strategic decision-making for investors to strongly invest on gold-based company as they have an increasing projection for the next 20 days.