The Role of Coal and Palm Oil Prices in Indonesia Stock Performance: An ARDL Approach

Giriati *

Abstract

Indonesia is one of the main exporters of coal and palm oil, implying the source of energy in futures. However, these commodities could have a greater impact on national economy, determining stock market performance. The movement of international trade related to these commodities also contributes to pricing creation in global market. This research aims to investigate the effect of coal and palm oil prices on Indonesia stock performance by a stock market index price. The Autoregressive Distributed Lag (ARDL) was employed in this study to gain the long and short-run results. The research observations lasted between September and December 2021. The research novelty lies in exploring the impact of coal and palm oil price movements after the COVID-19 pandemic in 2020 on the Indonesia Stock Market performance. It can be concluded that these effects are short-t and long-term or both. The findings show long- and short-run effects of palm oil prices on the stock market performance. However, Coal has only a long-run effect on the stock performance. The implication of this study is the consideration of these commodities by policymakers and practitioners for policy in developing the stock market performance. The research limitations and recommendations are also discussed.

 

Keywords: autoregressive distributed lag, Indonesia, coal price, palm oil price, stock price.


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