The Impact Of Coal And Nickel Shocks On Stock Volatility Throughout The Dynamic Era

Gunadi Laksono, Anindya Prasisca Rena Zhetira Putri

Abstract


Numerous scholars have examined the relationship between stock returns and metal commodities, but there has been less emphasis on specific metal commodities such as coal and nickel. This study sought to investigate the correlation between coal and nickel price fluctuations and their impact on stock market volatility. The researchers employed the GARCH and EGARCH models for analysis. This study utilized data on coal price, nickel price, and two stock market indices in Indonesia, specifically LQ45 and IDX30, spanning from January 2020 to December 2023. The results indicate that there was no substantial correlation between coal shock and nickel shock on stock market volatility. The EGARCH model would be more suitable for prediction. The significance of this research lies in its discovery of the relationship between coal shock and nickel shock on stock return throughout a dynamic period.

Keywords


commodity; garch; Indonesia Stock Exchange

Full Text:

PDF

References


Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal Of Econometrics, 31(3), 307–327. Https://Doi.Org/10.1016/0304-4076(86)90063-1

Choi, K., & Hammoudeh, S. (2010). Volatility Behavior Of Oil, Industrial Commodity And Stock Markets In A Regime-Switching Environment. Energy Policy, 38(8), 4388–4399. Https://Doi.Org/10.1016/J.Enpol.2010.03.067

Coal Production By Country. (N.D.). Https://Www.Worldometers.Info/Coal/Coal-Production-By-Country/

Gorton, G., & Rouwenhorst, K. G. (2006). Facts And Fantasies About Commodity Futures. Financial Analysts Journal, 62(2), 47–68. Https://Doi.Org/10.2469/Faj.V62.N2.4083

Iyke, B. N., & Ho, S.-Y. (2021). Stock Return Predictability Over Four Centuries: The Role Of Commodity Returns. Finance Research Letters, 40, 101711. Https://Doi.Org/10.1016/J.Frl.2020.101711

Jalbert, T. (2013). Dollar Index Adjusted Stock Indices. Journal Of Applied Business Research (Jabr), 30(1), 1. Https://Doi.Org/10.19030/Jabr.V30i1.8275

Junttila, J., Pesonen, J., & Raatikainen, J. (2018). Commodity Market Based Hedging Against Stock Market Risk In Times Of Financial Crisis: The Case Of Crude Oil And Gold. Journal Of International Financial Markets, Institutions And Money, 56, 255–280. Https://Doi.Org/10.1016/J.Intfin.2018.01.002

Largest Operational Coal Power Plants By Capacity In The European Union (Eu-27) As Of 2021 (In Megawatts). (N.D.). Https://Www.Statista.Com/Statistics/1264199/Largest-Operational-Coal-Power-Plants-By-Capacity-In-The-Eu-27/

Lin, B., & Raza, M. Y. (2020). Coal And Economic Development In Pakistan: A Necessity Of Energy Source. Energy, 207, 118244. Https://Doi.Org/10.1016/J.Energy.2020.118244

Mutia Annur, C. (N.D.). Indonesia, Negara Penghasil Nikel Terbesar Di Dunia Pada 2023. Katadata.Co.Id. Https://Databoks.Katadata.Co.Id/Datapublish/2024/02/13/Indonesia-Negara-Penghasil-Nikel-Terbesar-Di-Dunia-Pada-2023

Nickel Mining Market Analysis By Reserves, Production, Assets, Demand Drivers And Forecast To 2030. (2023, December 5). https://www.Globaldata.Com/Store/Report/Nickel-Mining-Market-Analysis/?_Gl=1*13xajns*_Ga*Njqwndg2njg0lje3mtgwodeymza.*_Ga_Mv98p28j3w*Mtcxoda4mtiyos4xljeumtcxoda3otm1mi4ymy4wlja.

Peng, D., Wang, J., & Rao, Y. (2014). Applications Of Nonferrous Metal Price Volatility To Prediction Of China’s Stock Market. Transactions Of Nonferrous Metals Society Of China, 24(2), 597–604. Https://Doi.Org/10.1016/S1003-6326(14)63100-9

Rahajeng Kh. (N.D.). Batu Bara Masih Jadi Kontributor Pnbp Terbesar. https://www.cnbcindonesia.com/Market/20210729201827-17-264732/Batu-Bara-Masih-Jadi-Kontributor-Pnbp-Terbesar

Setiawan, B., Ben Abdallah, M., Fekete-Farkas, M., Nathan, R. J., & Zeman, Z. (2021). Garch (1,1) Models And Analysis Of Stock Market Turmoil During Covid-19 Outbreak In An Emerging And Developed Economy. Journal Of Risk And Financial Management, 14(12), 576. Https://Doi.Org/10.3390/Jrfm14120576

Wen, F., Cao, J., Liu, Z., & Wang, X. (2021). Dynamic Volatility Spillovers And Investment Strategies Between The Chinese Stock Market And Commodity Markets. International Review Of Financial Analysis, 76, 101772. Https://Doi.Org/10.1016/J.Irfa.2021.101772

Woode, J. K., Owusu Junior, P., & Adam, A. M. (2024). Dynamic Interdependence Structure Of Industrial Metals And The African Stock Market. Resources Policy, 88, 104455. Https://Doi.Org/10.1016/J.Resourpol.2023.104455

Yunita, Y., & Robiyanto, R. (2018). The Influence Of Inflation Rate, Bi Rate, And Exchange Rate Changes To The Financial Sector Stock Price Index Return In The Indonesian Stock Market. Jurnal Manajemen Dan Kewirausahaan, 20(2). Https://Doi.Org/10.9744/Jmk.20.2.80-86

Zhu, X., Chen, Y., & Chen, J. (2021). Effects Of Non-Ferrous Metal Prices And Uncertainty On Industry Stock Market Under Different Market Conditions. Resources Policy, 73, 102243. Https://Doi.Org/10.1016/J.Resourpol.2021.102243




DOI: http://dx.doi.org/10.32497/keunis.v12i2.5627

Refbacks

  • There are currently no refbacks.


Copyright (c) 2024 The Author(s)

Creative Commons License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

KEUNIS
P-ISSN: 2302-9315
E-ISSN: 2714-7274

Adress:
Finance and Banking Diploma Program
Politeknik Negeri Semarang
Jl. Prof. H. Soedarto S.H., Tembalang, Semarang Postal Code 50275

AboutFor AuthorFor Reviewer
-Focus and Scope-Online Submission-Reviewer User Manual
-Editorial Team-Author Guideline 
-Peer Reviewer-Template (Indonesia / English)For Editor
-Indexing-How to Submit Article -Editor User Manual
-Contact  

Flag Counter

Web Analytics View My Stats

Creative Commons License

This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.