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Ratya Anindita
Departement of Sosioeconomics Faculty of Agricultural Economics,University of Brawijaya
Agriculture, Biological Sciences & Forestry Economics, Econometrics & Finance

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ANALYSIS OF INTEGRATION AND PRICE EFFICIENCY: A CASE OF INDONESIAN COCOA BEANS EXPORT MARKET Imama Nurus Izaati; Ratya Anindita; S Sujarwo
Agricultural Socio-Economics Journal Vol 20, No 2 (2020): APRIL
Publisher : Socio-Economics/Agribusiness Department

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21776/ub.agrise.2020.020.2.9

Abstract

In international trade, two market are spatially integrated when the price of one commodity traded continuously and has same price movement after adjusting the exchange rate and transaction cost. This condition indicate that price eficiency because information of price is well spread, so no participant of market can manipulate price. Price movement of Indonesian cocoa beans has different movement with price of world market and importing countries. This indicate no price transmission, which means there is price discrepancy of Indonesia with world market and importing countries. This study examined degree of integration and price efficiency of Indonesia cocoa beans with world market and importing countries. Integration analysis using Cointegration Johansen approach, Vector Autoregression (VAR)/Vector Error Correction Model (VECM) and price efficiency analysis using the Generalized Autoregeressive Conditional Heteroscedasticity (GARCH) approach . The results showed that the price of Indonesian cocoa beans integrates long term with the price of cocoa beans in the world market (New York Board of Trade) and India. In the short term price of Indonesian cocoa beans integrated with the price of cocoa beans in Malaysia. Among the prices of Indonesian cocoa beans with USA does not happen both long-term and short-term integration. The price of Indonesian cocoa beans in the spot market of Makassar is included in the efficient market category of weak forms, where the current price reflects a set of pricing information in the past. 
PRICE VOLATILITY ANALYSIS OF CAYENNE PEPPER (Capsicum frutescens) IN EAST JAVA Aisyah Mandarsari; Ratya Anindita; Setiawan Budi
Agricultural Socio-Economics Journal Vol 20, No 2 (2020): APRIL
Publisher : Socio-Economics/Agribusiness Department

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21776/ub.agrise.2020.020.2.5

Abstract

The fluctuations in the price of cayenne are still a problem that continues to occur throughout the year. In certain seasons, the increase in the price of cayenne is quite significant, affecting the rate of increase. The government continues to approve and implement the stabilization policy for cayenne prices. In line with this, this study offers to examine the volatility of cayenne prices both at the producer level and at the consumer level. In the research also analysis of spillover volatility to study the presence or absence of transmission volatility that occurs in the price of cayenne at the consumer level and prices at the producer level. The method used in this study is ARCH / GARCH and GARCH-BEKK. The results show that price volatility at the producer level is high volatility, while price volatility at the consumer level shows a higher value is extreme volatility. The results of this study also show the fact that there is volatility in the price of cayenne at the consumer level with the price of cayenne at the producer level. Information about the results of this study is expected to help stabilize the price of cayenne in the market.
Co-Authors Aisyah Mandarsari Imama Nurus Izaati S Sujarwo Setiawan Budi