PENGUJIAN EFISIENSI PASAR DAN TINGKAT KONVERGENSI HARGA KOMODITAS KOPI ARABIKA DAN KOPI ROBUSTA (Studi Kasus pada Pasar Komoditas Berjangka di Indonesia)

Pertiwi, Dewi

doi:10.9744/pemasaran.9.2.43-53

Cited by 4 publications

(6 citation statements)

References 12 publications

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“…Hence, futures market is worth to be considered as one hedging instrument, if the analysis confirms that futures price plays a dominant role over the spot market. Pertiwi (2016) confirmed the result of analysis of coffee price traded in futures exchange which indicate that the Arabica coffee and Robusta coffee commodity markets have a high level of price convergence. The implication is that market participants or investors still choose to do hedging activities because the utility of futures contracts as a hedge has been effective.…”

Section: Coffee Price Informationsupporting

confidence: 77%

“…This research is important to be conducted to fill the gap in investigating the relationship between futures and spot market in Indonesia. Few studies on commodity futures have been performed in Indonesia such as Pertiwi (2016) and Dewi et al (2011) that tested the coffee market efficiency and Olein in Jakarta Futures Exchange. Maulida et al (2018) also investigated the efficient market for the cocoa commodity.…”

Section: Introductionmentioning

confidence: 99%

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The Interdependence of Indonesia Coffee Futures and Spot Market and Its Relationship with Offshore Futures Market

Wulandari

Harianto

Arifin

2019

JMA

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In the Indonesia coffee premature market, it is important to confirm whether the futures market has interdependence with the spot market. Moreover, as the world largest coffee producers after Brazil, Vietnam and Colombia, it is also important to examine the interdependence between Indonesia's markets with the offshore futures market whose prices are used uses for local price determination. This study examined the granger causality relationship between Indonesia futures and spot market, and granger relationship between Indonesia and the offshore futures market using data of daily Arabica and Robusta coffee prices starting from January 2014 to June 2018. The test indicated that the futures market has a stronger ability to predict the spot market; therefore, price discovery in the futures market. Bidirectional causality relationship between Arabica offshore futures and spot market indicates market demand on Arabica coffee. In general, it's identified unidirectional granger causality relationship between local and offshore futures market with information flows from the local futures market reflects the offshore market high expectation toward crop information during harvesting period both Arabica and Robusta. This is due to the importance of Indonesia's coffee crop report to world aggregate coffee production.Abstrak: Pada pasar kopi Indonesia yang masih tergolong baru, menjadi hal penting untuk mengkonfirmasi apakah pasar berjangka memiliki ketergantungan dengan pasar spot. Selanjutnya, sebagai produsen kopi terbesar setelah setelah Brasil, Vietnam dan Kolombia, penting juga untuk mengetahui ketergantungan antara pasar Indonesia dengan pasar berjangka luar negeri yang harga kontrak berjangkanya digunakan untuk penentuan harga di dalam negeri. Penelitian ini menguji hubungan kausalitas antara pasar berjangka dan spot kopi di Indonesia serta hubungan pasar Indonesia dengan pasar kopi luar negeri menggunakan data harga harian kopi Arabika dan mulai dari Januari 2014 sampai dengan Juni 2018. Hasil uji menunjukkan bahwa pasar berjangka memiliki kemampuan yang lebih kuat dalam rangka memprediksi pasar spot sehingga pembentukan pasar terjadi di pasar berjangka. Hubungan kausalitas dua arah antara pasar berjangka luar negeri dan pasar spot Arabika menunjukkan permintaan pasar terhadap kopi Arabika. Secara umum, diketahui hubungan kausalitas dua arah antara pasar berjangka dalam negeri dan pasar berjangka luar negeri dengan aliran informasi dari pasar berjangka dalam yang menunjukkan harapan pasar luar negeri terhadap informasi panen selama masa panen baik untuk Arabika dan Robusta. Hal ini menunjukkan bahwa laporan hasil panen kopi Indonesia sangat penting bagi agregat pasar kopi dunia. Kata kunci: komoditas berjangka, kausalitas granger, volatilitas harga, pasar spot

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Section: Coffee Price Informationsupporting

confidence: 77%

Section: Introductionmentioning

confidence: 99%

The Interdependence of Indonesia Coffee Futures and Spot Market and Its Relationship with Offshore Futures Market

Wulandari

Harianto

Arifin

2019

JMA

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“…Hence, futures price is worth to be considered as one of hedging instrument should the analysis confirms that futures price may actually influence the spot market or plays dominant role over the spot market not only for exporting countries like Indonesia but also importing countries in general to cover their stock price level. Pertiwi (2016) confirmed result of analysis of coffee price traded in futures exchange and its spot price indicate that the Arabica coffee and Robusta coffee commodity markets has a high level of price convergence. The implication, market participants or investors still choose to do hedging activities because the utility of futures contracts as a hedge has been effective.…”

Section: Introductionsupporting

confidence: 53%

Efficiency of Premature Coffee Futures Market in Indonesia

2019

EJBM

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Coffee price risk emphasize the importance of futures markets existence as price risk management. This study examines whether the futures price may predict the spot price as the indicator of market efficiency using data of daily Arabica and Robusta coffee prices from 1172 trading days starting from January 2014 to June 2018. Analysis using Engel-Granger Cointegration and Error Correction Model (ECM) indicates the cointegration between coffee futures market and its spot market both in long term and also short term. Significant coefficient in futures and spot market respond to restore the equilibrium whenever there is some price discrepancy. Arabica spot price coefficient is lower than Arabica futures price which indicates that Arabica futures price have faster adjustment toward the disequilibrium and transmit information to spot market therefore price discovery in futures market. Analysis toward Robusta futures and spot market are also indicates the same phenomenon. Indonesia premature coffee market shows unique condition in which there is an arbitrage potential however the two market exhibits cointegration indicates the efficient market. Integrated market will perform risk transfer function and may however beneficial to hedgers, speculators and arbitrageurs in connecting the two markets. Further, the analysis result between onshore and offshore market with the same period of price information exhibits long term relationship. This confirms strong position of Indonesia coffee production information among other coffee producers for aggregate world coffee production.

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“…The decline of global oil price caused spot and future prices of commodities to decline. Besides, other risks that should be paid attention at by investors include inflation risk, interest risk, exchange risk, regulation risk, and weather risk (Pertiwi, 2015). In 2016, depreciation of exchange rate also caused spot and futures prices of cacao to decline, reflected on its transactions.…”

Section: Short Term Efficiency and Risk Premium : Error Correction Momentioning

confidence: 99%

“…Study on the market efficiency testing in Indonesia on Arabica, Robusta, and Olein had been conducted. Pertiwi (2015) and Dewi et al (2011)…”

mentioning

confidence: 94%

Testing on Market Efficiency of the Cacao Commodity for the Futures Market in Jakarta Future Exchange

Maulida

Anggraeni

Pasaribu

2018

JMA

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The investigation of the efficient market validity hypothesis is a favorite topic in financial literature. However, there are still limited research on futures market commodity, especially the futures market in Indonesia. The objectives of this study were to analyze the development of cacao commodity futures market trading and determine its market efficiency. This study used value of trading volume, daily spot price and futures price of cacao commodity trading market from December 2011 to December 2016. Descriptive analysis showed that the development of cacao commodity futures trading market from value of trading volume of cacao commodity experienced fluctuating growth between-126.050% and 39.480%, and average growth of cacao by-6.462%. Augmented Dickey-Fuller (ADF) root test, Augmented Engle Granger (AEG) Error Correction Model Test (ECM) were used as the bases for the analyses. The results of the study showed that cocoa commodity futures market in Indonesia is an efficient market and contained risk premium. The implication of this research for market participants or investors is that they may choose to carry out hedging activities because cacao is an efficient market in the short term and contains risk premium.

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PENGUJIAN EFISIENSI PASAR DAN TINGKAT KONVERGENSI HARGA KOMODITAS KOPI ARABIKA DAN KOPI ROBUSTA (Studi Kasus pada Pasar Komoditas Berjangka di Indonesia)

Cited by 4 publications

References 12 publications

The Interdependence of Indonesia Coffee Futures and Spot Market and Its Relationship with Offshore Futures Market

The Interdependence of Indonesia Coffee Futures and Spot Market and Its Relationship with Offshore Futures Market

Efficiency of Premature Coffee Futures Market in Indonesia

Testing on Market Efficiency of the Cacao Commodity for the Futures Market in Jakarta Future Exchange

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