http://www.iaeme.com/IJCIET/index.asp 1034 editor@iaeme.com International Journal of Civil Engineering and Technology (IJCIET) Volume 9, Issue 8, August 2018, pp. 1034–1047, Article ID: IJCIET_09_08_105 Available online at http://www.iaeme.com/ijciet/issues.asp?JType=IJCIET&VType=9&IType=8 ISSN Print: 0976-6308 and ISSN Online: 0976-6316 © IAEME Publication Scopus Indexed SYMMETRIC AND ASYMMETRIC SHOCK MODELS OF STOCK RETURN VOLATILITY IN INDONESIA STOCK EXCHANGE Hartaty Hadady Diponegoro University, Semarang, Indonesia Universitas Khairun Ternate, Indonesia Jasanta Peranginangin Diponegoro University, Semarang, Indonesia Institut Agama Islam Negeri Surakarta, Indonesia Harjum Muharam Diponegoro University, Semarang, Indonesia ABSTRACT The deploying information on exchange world influences the investors' decisions to do an investation. This information can be responded differently by investors so it causes turmoil which is reflected in stock price volatility. The purpose of this study is to examine the information on macroeconomic fundamentals, oil prices, and Dow Jones index on the volatility returns of stock price index in BEI by using the symmetric shock and asymmetric shock models. Observation period from 2007-2017. The used research method is to analyze the differences of bad or good information entry to the volatility patterns that occur. After the data processing with eviews 8, the results show that the asymmetric-GARCH, SBI, and oil price models have no significant effect while the exchange rate and DJIA affect the volatility of stock index returns Key words: Symmetrick shock, Asymmetric shock, macroeconomic fundamentals, oil prices, DJIA, stock index return volatility. Cite this Article: Hartaty Hadady, Jasanta Peranginangin and Harjum Muharam, Symmetric and Asymmetric Shock Models of Stock Return Volatility in Indonesia Stock Exchange. International Journal of Civil Engineering and Technology, 9(8), 2018, pp. 1034-1047. http://www.iaeme.com/IJCIET/issues.asp?JType=IJCIET&VType=9&IType=8 1. INTRODUCTION The factors that cause individual stock prices and volatile of stock market indices are very difficult to predict and ascertain. The researchers in financial sector as well as investors cannot ascertain exactly what factors that influence the stock price volatility. Why are stock prices volatile? This is an important question and becomes an interesting phenomenon to