Vector error-correction model (VECM) is a method of statistical analysis frequently used in many studies in time series data of economy, business and finance, and data energy. It is applied across researches due to its simplicity and limited restrictions. VECM can explain not only the dynamic behavior of the relationship among variables of endogenous and exogenous, but also among the endogenous variables. Moreover, it also explains the impact of a variable or a set of variables on others by means of impulse response function (IRF) and granger causality analysis. It can also be used for forecasting multivariate time series data. In this research, the relationship of three share price of energy (from three Asean countries: PGAS Malaysia, AKRA Indonesia, and PTT Thailand) will be studied. The data in this study were collected from October 2005 to August 2019. Based on the comparison of some VECM models, it was found that the best model is VECM (2) with cointegration rank = 3. The dynamic behavior of the data is studied through IRF, Granger Causality analysis and forecasting for the next five periods (weeks).
Multivariate time series are widely used in various fields such as finance, economics, and the stock market. One analysis model that is widely used for multivariate time series data is the VAR model. Vector autoregressive (VAR) is a model used to describe the relationship between several variables. The VAR model provides an alternative approach that is very suitable for forecasting purposes and is very suitable for solving economic data problems. The variables used in this study consisted of endogenous variables with closing prices of ICBP and INDF shares and exogenous variables with exchange rates collected from January 2017 to July 2020. In this study, the best model, VARX (1,0), was obtained. also the relationship between variables through the impulse response function and granger causality. Furthermore, forecasting is also carried out for the next 30 days using the best model, VARX (1,0).
This study aims to explore the level and nature of corporate social responsibility (CSR) disclosure reporting practices in Indonesian commercial banks, as well as investigate the effect of board characteristics on CSR disclosure in the era of developing economies. Data collection in this study was collected manually from the annual reports of all commercial banks listed on the official website of the Indonesia Stock Exchange (IDX) in the period 2017 to 2020, so this research is included in a quantitative approach. Empirical evidence shows that board size and independent directors have a positive effect on CSR disclosure, while board gender diversity has no impact on CSR disclosure levels. Furthermore, the results of the study state that the age of the bank is a significant factor in the spread of CSR disclosure. In addition, the findings show that banks with managerial ownership, foreign share ownership and also state share ownership state extensive and transparent information about CSR activities.
Keywords: Banking, Board Characteristics, Corporate Social Responsibility, Ownership Structure
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