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All Journal Jurnal Organisasi Dan Manajemen
Anis Erma Wulandari
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

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The Impact of Futures Price Volatility to Spot Market : Case of Coffee in Indonesia Anis Erma Wulandari; Harianto Harianto; Bustanul Arifin; Heny K Suwarsinah
Jurnal Organisasi Dan Manajemen Vol 15 No 1 (2019)
Publisher : LPPM Universitas Terbuka

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (556.323 KB) | DOI: 10.33830/jom.v15i1.5.2019

Abstract

Indonesia is the world 4th largest coffee producer after Brazil, Vietnam and Colombia with export potential and higher national consumption concluded in 2017 while the coffee production was relatively stagnant. This was led the producer to not only the production risk but also the price risk which then emphasize the importance of futures markets existence as price risk management. This study is performed to examine the impact of futures price volatility to spot market using ARCH-GARCH toward primary data of coffee futures and spot prices of 1172 trading days starting from January 2014 to June 2018. The ARCH-GARCH analysis result indicates that futures price volatility and monetary variables are impacting the volatility of spot price. Arabica spot price volatility is impacted by volatility of Arabica futures price, inflation and exchange rate while Robusta spot price is impacted by Robusta futures price volatility and exchange rate. This is confirming that futures market plays dominant role in spot price discovery. Local futures and spot prices are also found to be significantly influenced by volatility of offshore futures prices which indicates that emerging country futures market is actually influenced by offshore futures market which the price itself used as price reference.
Co-Authors Bustanul Arifin Harianto Harianto Heny K Suwarsinah