Efisiensi pasar berjangka komoditas kopi di indonesia
| ctrlnum |
3448 |
|---|---|
| fullrecord |
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<dc schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/ http://www.openarchives.org/OAI/2.0/oai_dc.xsd"><relation>http://repository.sb.ipb.ac.id/3448/</relation><title>Efisiensi pasar berjangka komoditas kopi di indonesia</title><creator>Wulandari, Anis Erma</creator><subject>Manajemen Keuangan</subject><description>Indonesia is the world 4th largest coffee producer after Brazil, Vietnam and
Columbia with export potential and higher national consumption concluded in 2017
while the coffee production is relatively stagnant. This is led the producesr to, not
only the production risk, but also the price risk which then emphasize the
importance of futures markets existence as price risk management instrument.
Coffee itself started to be traded in futures markets specifically in Jakarta Futures
Exchanges (JFX) back in 2013 although the regulation allows them to be traded in
futures market starting 2001. The coffee futures trading has been increased
significantly since the first trading which have been reached 339.253 lot as of 2017
or grows 26,06 percent compare to the previous year. The Arabica Contract Futures
(ACF) and Robusta Contract Futures (RCF) growth by each 0.71 percent and 13.73
percent in 2017 which shows the dynamics of the futures trading activities. This is
due to the commodity prices increasing trend and encourage the market participants
to hedge their position.
In general, this research is performed to analyze the efficiency of coffee
commodity futures markets in Indonesia. This is important to be conducted to
provide information whether futures market is still reliable to be used as hedging
instrument to mitigate price risk occurred in spot market. In order to examine the
coffee futures market efiiciency, hence we performed 1) analysis toward futures
and spot price volatility is performed to confirm whether futures price volatility
influence the volatility in spot market, 2) analysis of the cointegration between the
two markets to evaluate the coffee futures market efficiency and speed of
adjustment between the two prices toward the disequilibrium, 3) analysis of
causality relationship between local futures and spot market and also calusality
relationship between local and offshore futures market and 4) analysis of
determinant factors of coffee price movement whether it’s also influenced by price
of other type of coffee i.e Arabika toward Robusta and vice versa.
Analysis is conducted by assessing the daily coffee price of Arabika and
Robusta for 4.5 years market activity especially through the 1172 trading days in
Jakarta futures market (JFX) and also the same period for the spot market. Offshore
coffee futures market which utilized as reference for spot price determination, using
data issued by Bappebti with the same period while monetary variables using data
issued by Bank Indonesia. The ARCH-GARCH analysis result indicates that futures
price volatility both local and offshore and exchange rate impacting the volatility
of spot price both Arabica and Robusta while volatility of onshore futures price is
impacted by volatility of offshore futures price.
Engle-Granger cointegration test indicates that futures and spot market have
long term cointegration. The results of Error Correction Model (ECM) exhibits
negative error correction term is negative and highly significant, indicating that
there is a short-term relationship between futures and spot market both Arabica and
Robusta. Significant coefficient in futures and spot market respond to restore the
equilibrium whenever there is some price discrepancy. Spot price coefficient is
lower than futures price’ which indicates that futures price have faster adjustment toward the disequilibrium and transmit information to spot market therefore price
discovery in futures market.
Granger causality test indicates and bidirectional causality relationship
between futures contract of Arabica (D(ACFSEP)) and Robusta (D(RCFNOV))
with spot market which reflects market expectation during and after the harvesting
period. Considering the premature condition of coffee futures market in Indonesia,
further analysis is performed to examine the influence of offshore futures market to
local market. The result indicates that coffee prices in Indonesia influence offshore
futures market except Arabica spot price which shows bidirectional relationship
related to Arabica coffee production information as the impact of global coffee
trading dominated by Arabica coffee. In general, it’s found unidirectional causality
relationshiop from local futures market to offshore futures market and
unidirectional relationship between onshore and offshore futures market. This is
confirming the importance of Indonesia coffee production toward global coffee
production.
Furthermore, the OLS estimation exhibits that spot price of Arabica
influence the Robusta spot price and vice versa. Arabica futures price is influenced
by futures prices set in previous trading days, futures price with different deliveries
and interest rate are the determinant for Arabica spot price. Further, Robusta futures
prices are determined by Robusta futures prices set in previous trading days, other
contract prices with different maturity, Arabica futures contract price and interest
rate while futures prices is found responsible toward the Robusta futures price
movement. This research confirm that offshore futures price is the determinant
factor of local futures and spot price both Arabica and Robusta.
This research provides empirical evidence to hedgers, futures exchange and
regulator that futures market may be used as effective price discovery and risk
mitigation instrument as well as provides information to the regulator and futures
exchange to develop stronger coordination for price transparency and better market
cointegration. Should coffee producers especially farmer have the same access to
price information equal to other market participants in the whole coffee trade chain,
it will provide selling option for the farmer to sell directly in spot market rather than
facing collector trader which then optimize their income. The futures market
dominated price discovery for coffee in all periods and also show the domination
of offshore futures price to local futures and spot price which confirm both local
price refer to the same price reference. This serves as a reminder that regulator may
provide raliable price information to be used by the hedgers for their decision
making and regulator is also required to implement price transparency to elevate
the coffee market in Indonesia.</description><date>2019</date><type>Thesis:Thesis</type><type>PeerReview:NonPeerReviewed</type><type>Book:Book</type><language>eng</language><identifier>http://repository.sb.ipb.ac.id/3448/1/10DM-01-Wulandari-Cover.pdf</identifier><type>Book:Book</type><language>eng</language><identifier>http://repository.sb.ipb.ac.id/3448/2/10DM-02-Wulandari-Ringkasan.pdf</identifier><type>Book:Book</type><language>eng</language><identifier>http://repository.sb.ipb.ac.id/3448/3/10DM-03-Wulandari-Summary.pdf</identifier><type>Book:Book</type><language>eng</language><identifier>http://repository.sb.ipb.ac.id/3448/4/10DM-04-Wulandari-Daftarisi.pdf</identifier><type>Book:Book</type><language>eng</language><identifier>http://repository.sb.ipb.ac.id/3448/5/10DM-05-Wulandari-Pendahuluan.pdf</identifier><type>Book:Book</type><language>eng</language><identifier>http://repository.sb.ipb.ac.id/3448/6/Disertasi%20full.pdf</identifier><identifier> Wulandari, Anis Erma (2019) Efisiensi pasar berjangka komoditas kopi di indonesia. Doctoral thesis, Institut Pertanian Bogor. </identifier><relation>http://lib.sb.ipb.ac.id/</relation><recordID>3448</recordID></dc>
|
| language |
eng |
| format |
Thesis:Thesis Thesis PeerReview:NonPeerReviewed PeerReview Book:Book Book |
| author |
Wulandari, Anis Erma |
| title |
Efisiensi pasar berjangka komoditas kopi di indonesia |
| publishDate |
2019 |
| topic |
Manajemen Keuangan |
| url |
http://repository.sb.ipb.ac.id/3448/1/10DM-01-Wulandari-Cover.pdf http://repository.sb.ipb.ac.id/3448/2/10DM-02-Wulandari-Ringkasan.pdf http://repository.sb.ipb.ac.id/3448/3/10DM-03-Wulandari-Summary.pdf http://repository.sb.ipb.ac.id/3448/4/10DM-04-Wulandari-Daftarisi.pdf http://repository.sb.ipb.ac.id/3448/5/10DM-05-Wulandari-Pendahuluan.pdf http://repository.sb.ipb.ac.id/3448/6/Disertasi%20full.pdf http://repository.sb.ipb.ac.id/3448/ http://lib.sb.ipb.ac.id/ |
| contents |
Indonesia is the world 4th largest coffee producer after Brazil, Vietnam and
Columbia with export potential and higher national consumption concluded in 2017
while the coffee production is relatively stagnant. This is led the producesr to, not
only the production risk, but also the price risk which then emphasize the
importance of futures markets existence as price risk management instrument.
Coffee itself started to be traded in futures markets specifically in Jakarta Futures
Exchanges (JFX) back in 2013 although the regulation allows them to be traded in
futures market starting 2001. The coffee futures trading has been increased
significantly since the first trading which have been reached 339.253 lot as of 2017
or grows 26,06 percent compare to the previous year. The Arabica Contract Futures
(ACF) and Robusta Contract Futures (RCF) growth by each 0.71 percent and 13.73
percent in 2017 which shows the dynamics of the futures trading activities. This is
due to the commodity prices increasing trend and encourage the market participants
to hedge their position.
In general, this research is performed to analyze the efficiency of coffee
commodity futures markets in Indonesia. This is important to be conducted to
provide information whether futures market is still reliable to be used as hedging
instrument to mitigate price risk occurred in spot market. In order to examine the
coffee futures market efiiciency, hence we performed 1) analysis toward futures
and spot price volatility is performed to confirm whether futures price volatility
influence the volatility in spot market, 2) analysis of the cointegration between the
two markets to evaluate the coffee futures market efficiency and speed of
adjustment between the two prices toward the disequilibrium, 3) analysis of
causality relationship between local futures and spot market and also calusality
relationship between local and offshore futures market and 4) analysis of
determinant factors of coffee price movement whether it’s also influenced by price
of other type of coffee i.e Arabika toward Robusta and vice versa.
Analysis is conducted by assessing the daily coffee price of Arabika and
Robusta for 4.5 years market activity especially through the 1172 trading days in
Jakarta futures market (JFX) and also the same period for the spot market. Offshore
coffee futures market which utilized as reference for spot price determination, using
data issued by Bappebti with the same period while monetary variables using data
issued by Bank Indonesia. The ARCH-GARCH analysis result indicates that futures
price volatility both local and offshore and exchange rate impacting the volatility
of spot price both Arabica and Robusta while volatility of onshore futures price is
impacted by volatility of offshore futures price.
Engle-Granger cointegration test indicates that futures and spot market have
long term cointegration. The results of Error Correction Model (ECM) exhibits
negative error correction term is negative and highly significant, indicating that
there is a short-term relationship between futures and spot market both Arabica and
Robusta. Significant coefficient in futures and spot market respond to restore the
equilibrium whenever there is some price discrepancy. Spot price coefficient is
lower than futures price’ which indicates that futures price have faster adjustment toward the disequilibrium and transmit information to spot market therefore price
discovery in futures market.
Granger causality test indicates and bidirectional causality relationship
between futures contract of Arabica (D(ACFSEP)) and Robusta (D(RCFNOV))
with spot market which reflects market expectation during and after the harvesting
period. Considering the premature condition of coffee futures market in Indonesia,
further analysis is performed to examine the influence of offshore futures market to
local market. The result indicates that coffee prices in Indonesia influence offshore
futures market except Arabica spot price which shows bidirectional relationship
related to Arabica coffee production information as the impact of global coffee
trading dominated by Arabica coffee. In general, it’s found unidirectional causality
relationshiop from local futures market to offshore futures market and
unidirectional relationship between onshore and offshore futures market. This is
confirming the importance of Indonesia coffee production toward global coffee
production.
Furthermore, the OLS estimation exhibits that spot price of Arabica
influence the Robusta spot price and vice versa. Arabica futures price is influenced
by futures prices set in previous trading days, futures price with different deliveries
and interest rate are the determinant for Arabica spot price. Further, Robusta futures
prices are determined by Robusta futures prices set in previous trading days, other
contract prices with different maturity, Arabica futures contract price and interest
rate while futures prices is found responsible toward the Robusta futures price
movement. This research confirm that offshore futures price is the determinant
factor of local futures and spot price both Arabica and Robusta.
This research provides empirical evidence to hedgers, futures exchange and
regulator that futures market may be used as effective price discovery and risk
mitigation instrument as well as provides information to the regulator and futures
exchange to develop stronger coordination for price transparency and better market
cointegration. Should coffee producers especially farmer have the same access to
price information equal to other market participants in the whole coffee trade chain,
it will provide selling option for the farmer to sell directly in spot market rather than
facing collector trader which then optimize their income. The futures market
dominated price discovery for coffee in all periods and also show the domination
of offshore futures price to local futures and spot price which confirm both local
price refer to the same price reference. This serves as a reminder that regulator may
provide raliable price information to be used by the hedgers for their decision
making and regulator is also required to implement price transparency to elevate
the coffee market in Indonesia. |
| id |
IOS3669.3448 |
| institution |
Institut Pertanian Bogor |
| institution_id |
20 |
| institution_type |
library:university library |
| library |
Perpustakaan Sekolah Bisnis |
| library_id |
692 |
| collection |
Repositori Sekolah Bisnis IPB |
| repository_id |
3669 |
| subject_area |
Business/Bisnis Marketing, Management of Distribution/Marketing, Manajemen Distribusi |
| city |
BOGOR |
| province |
JAWA BARAT |
| repoId |
IOS3669 |
| first_indexed |
2020-02-02T20:50:04Z |
| last_indexed |
2020-02-02T20:50:04Z |
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dc |
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1763211604095139840 |
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17.538404 |