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This study aims to investigate the effect of external variables and risk premiums on sectoral stock index in Indonesia. External variables in this study include world oil prices and their volatility, while risk premiums are measured using standard deviations obtained from the historical price of sectoral stock index that illustrate the volatility risk of sectoral stock index in volatile condition. The data used in the study are secondary data using GARCH method in mean (GARCH-M). The results show that external influences, namely world oil prices, have a significant and direct effect on sectoral stock return index, except for the consumption sector stock index. This is because the consumption sector stock index is a defensive stock, therefore external factors such as world oil prices will not affect the movement of this sector-s stocks. On the other hand, the volatility of world oil prices and the risk of volatility (risk premiums) do not influence the return index of sectoral stocks.