The Effect of Commodity Prices and Exchange Rate on the Stock Return of Agriculture and Animal Feed Companies in Indonesia
Purpose of the study: This study aims to examine the key drivers for the effect of selected commodity ratios and the exchange rate that haveinfluenced the return on investment of agriculture and animal feed companies in Indonesia. Methodology: This study uses the GARCH methodology. Using GARCH and...
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| Format: | Article |
| Language: | English |
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Editorial Office International Journal of Social Sciences and Economic Review
2022-12-01
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| Series: | International Journal of Social Sciences and Economic Review |
| Subjects: | |
| Online Access: | https://ijsser.com/index.php/ijsser/article/view/149 |
| _version_ | 1797859616964476928 |
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| author | Oktrevina Oktrevina Yohannes Kurniawan Norizan Anwar |
| author_facet | Oktrevina Oktrevina Yohannes Kurniawan Norizan Anwar |
| author_sort | Oktrevina Oktrevina |
| collection | DOAJ |
| description | Purpose of the study: This study aims to examine the key drivers for the effect of selected commodity ratios and the exchange rate that haveinfluenced the return on investment of agriculture and animal feed companies in Indonesia.
Methodology: This study uses the GARCH methodology. Using GARCH and IGARCH for monthly and daily data from 2014 until 2021, we also have a different timeline between before COVID and after COVID-19.
Main Findings: According to the results of the study, there are generally significant effects of commodity prices and exchange rates on stock return, as for the COVID timeline, there are several companies that have been affected.
Research limitation: There is a problem with finding the parameter estimates for the error distribution both in GED and Student’s t when finding the best GARCH (1,1) model. The best model finding may not present the best probability due to distributions that affect the tail distribution.
Novelty/Originality of the study: This study suggests to look for more details on the effect of commodity ratio in daily data and monthly data, as thetransaction is mostly using USD rate with IDR rate. There are great possibilities that their movement will impact the return on the investment and people who like to invest in a certain company can use this study as a reference.
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| first_indexed | 2024-04-09T21:32:26Z |
| format | Article |
| id | doaj.art-52b4d4f1bbd942ec9cb66ac143a8da71 |
| institution | Directory Open Access Journal |
| issn | 2706-9346 |
| language | English |
| last_indexed | 2024-04-09T21:32:26Z |
| publishDate | 2022-12-01 |
| publisher | Editorial Office International Journal of Social Sciences and Economic Review |
| record_format | Article |
| series | International Journal of Social Sciences and Economic Review |
| spelling | doaj.art-52b4d4f1bbd942ec9cb66ac143a8da712023-03-27T07:48:44ZengEditorial Office International Journal of Social Sciences and Economic ReviewInternational Journal of Social Sciences and Economic Review2706-93462022-12-014410.36923/ijsser.v4i4.149The Effect of Commodity Prices and Exchange Rate on the Stock Return of Agriculture and Animal Feed Companies in IndonesiaOktrevina Oktrevina0Yohannes Kurniawan1Norizan Anwar2School of Accounting, Bina Nusantara University, Jakarta, Indonesia School of Information Systems, Bina Nusantara University, Jakarta, IndonesiaFaculty of Information Management, Universiti Teknologi Mara, UiTM, Puncak Perdana Campus, 40150, Shah Alam, Selangor, MalaysiaPurpose of the study: This study aims to examine the key drivers for the effect of selected commodity ratios and the exchange rate that haveinfluenced the return on investment of agriculture and animal feed companies in Indonesia. Methodology: This study uses the GARCH methodology. Using GARCH and IGARCH for monthly and daily data from 2014 until 2021, we also have a different timeline between before COVID and after COVID-19. Main Findings: According to the results of the study, there are generally significant effects of commodity prices and exchange rates on stock return, as for the COVID timeline, there are several companies that have been affected. Research limitation: There is a problem with finding the parameter estimates for the error distribution both in GED and Student’s t when finding the best GARCH (1,1) model. The best model finding may not present the best probability due to distributions that affect the tail distribution. Novelty/Originality of the study: This study suggests to look for more details on the effect of commodity ratio in daily data and monthly data, as thetransaction is mostly using USD rate with IDR rate. There are great possibilities that their movement will impact the return on the investment and people who like to invest in a certain company can use this study as a reference. https://ijsser.com/index.php/ijsser/article/view/149GARCHStock ReturnCommodity PriceAgricultureAnimal FeedCOVID-19 |
| spellingShingle | Oktrevina Oktrevina Yohannes Kurniawan Norizan Anwar The Effect of Commodity Prices and Exchange Rate on the Stock Return of Agriculture and Animal Feed Companies in Indonesia International Journal of Social Sciences and Economic Review GARCH Stock Return Commodity Price Agriculture Animal Feed COVID-19 |
| title | The Effect of Commodity Prices and Exchange Rate on the Stock Return of Agriculture and Animal Feed Companies in Indonesia |
| title_full | The Effect of Commodity Prices and Exchange Rate on the Stock Return of Agriculture and Animal Feed Companies in Indonesia |
| title_fullStr | The Effect of Commodity Prices and Exchange Rate on the Stock Return of Agriculture and Animal Feed Companies in Indonesia |
| title_full_unstemmed | The Effect of Commodity Prices and Exchange Rate on the Stock Return of Agriculture and Animal Feed Companies in Indonesia |
| title_short | The Effect of Commodity Prices and Exchange Rate on the Stock Return of Agriculture and Animal Feed Companies in Indonesia |
| title_sort | effect of commodity prices and exchange rate on the stock return of agriculture and animal feed companies in indonesia |
| topic | GARCH Stock Return Commodity Price Agriculture Animal Feed COVID-19 |
| url | https://ijsser.com/index.php/ijsser/article/view/149 |
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