Journal of Indonesian Applied Economics

FORECASTING THE STOCK PRICE OF COAL AND COAL COMMODITY COMPANIES USING THE ARIMA AND ARCH/GARCH MODELS FOR 2011-2022

Didi Nuryadin — 2024-08-31

Purpose

This research is a case study for the reference price of coal and coal export companies. Coal firms are one of Indonesia's main sectors within the mining industry.

Design/methodology/approach

In this study, ARIMA and ARCH/GARCH methods were developed to predict the share price of coal companies in Indonesia. Using ARIMA and ARCH models, it can predict accurately and quite well based on MAPE values between 6 – 20%. In addition, the movement of projections between the benchmark price and the stock price is directly proportional.

Findings

The study highlighted the significant influence of geopolitical events, such as the Russia-Ukraine war, and post-pandemic economic conditions on the coal industry. These factors were found to affect the stock prices of coal companies, making the forecasting models particularly valuable for adjusting to market changes. The findings provide valuable insights for investors in the coal sector, indicating that advanced econometric models can be used to make informed investment decisions. By understanding the impact of external events and identifying the most accurate forecasting models, investors can potentially enhance their investment strategies in the volatile coal market.

Research limitations/implications

The research limitation/implication as described in the document is centered on the scope of the study and its implications. Specifically, the research is a case study focusing on the reference price of coal and coal export companies, particularly within Indonesia's mining sector. This narrow focus means the findings may not be directly applicable to other sectors or geographical regions without further study. Additionally, the reliance on ARIMA and ARCH/GARCH methods for predicting stock prices, while effective within the parameters of this study, suggests a limitation in the methodology that may not account for all variables influencing stock prices, such as unforeseen geopolitical events or sudden market shifts. The implication here is that while the study provides valuable insights into the coal sector and offers a methodological approach for forecasting, its applicability is limited by its specific focus and the inherent unpredictability of the stock market.

Originality/value

This study is essential due to the post-pandemic covid 19 and the Russia - Ukraine conflict, influencing this country’s high local coal demand. The phenomenon brings a new paradigm to investors for investing in coal companies. Investors need a media to hustle with stock price growth to seek profit.

The impact of domestic debt on inflation rate: Empirical evidence from Nigeria

olufemi samuel — 2024-08-31

Using annual time series data this study examines the relationship between Nigeria's domestic debt and the country's inflation rate between 1981 and 2022 using ARDL estimation technique. The study employed Augment Dickey Fuller unit root test to determine the stationarity of each variable and the result revealed that inflation and GDP growth rates were stationary at integration level I(0), whereas all other variables were integrated at I(1). The bound test revealed that there is a long run relationship between the variables which implies that all the variable cointegrate. The study revealed that that domestic debt and interest rate had negative impact on inflation rate while external debt, economic growth and money supply had positive impact on inflation rate. Since the study found that domestic debt helps to reduce inflation, therefore government should often consider borrow from within the country as it reduces inflation as against external borrowings that increases inflation

Refugee Integration Policies in Europe: Examining the Impact of Racial, Religious, and Cultural Differences

Adnan Söylemez — 2024-08-31

Purpose:

This research aims to critically examine the complexities and multidimensionality inherent in migration, emphasizing its significance beyond mere spatial relocation. The study addresses the persistent nature of migration as a global concern, particularly focusing on the lack of a unified and comprehensive migration policy.

Design/Methodology/Approach:

The methodology employed in this research provides a basis for evaluating the overall validity and reliability. It offers insights into the data collection and analysis processes, as well as the rationale behind conducting the study. The author utilizes a critical approach to assess the framing of migration and refugee issues, acknowledging the absence of standardization in this regard.

Findings:

The analysis reveals variations in the acceptance and integration of migrants and refugees into host societies, particularly in Europe. The study highlights the emergence of political identities associated with factors such as color, language, religion, culture, ethnic identity, and race, contributing to xenophobia, othering, and Islamophobia. Additionally, the research delves into the double standards exhibited by European states toward Muslim and Christian immigrants and refugees, exploring key axes influencing these disparities.

Research Limitations/Implications:

The study recognizes the limitations in its scope, particularly regarding the specific focus on European policies. The implications extend to the broader discourse on migration, emphasizing the need for a more comprehensive and standardized approach in framing and addressing migration and refugee issues globally.

Originality/Value:

This research contributes to the existing literature by shedding light on the double standards rooted in racial and religious discrimination within European policies on migrants and refugees. It addresses a crucial research gap in understanding the political identities associated with migration, especially in the context of events like the Ukraine crisis.

ARE THE REGIONAL FISCAL INDEPENDENCE, AND REGIONAL POVERTY RATE AS THE FACTOR OF POLITICAL BUDGET CYCLE IN ELECTION YEAR: EVIDENCE IN INDONESIA

Maria Maranatha Gultom — 2024-08-31

Purpose

This study aims to determine the factors of political budget practices carried out by incumbents ahead of regional elections as an incumbent strategy to demonstrate their competence to voters by politicizing the budget on social and investment spending.

Design/methodology/approach

In this study, the samples were used in 398 districts in Indonesia that held local elections in 2020, 2018, and 2017. Data analysis was performed by panel data regression analysis using Eviews 10.

Findings

The researcher found that from the two factors that indicate political budget practices such as the level of regional fiscal independence, and the level of regional poverty, the incumbent regional head has a different strategy for politicizing the government spending. The more higher fiscal independence rate of the region, the incumbents regional head tends to increase spending on investment in machines and equipment. Meanwhile, the more higher the poverty rate of the region, the incumbent regional head will tend to increase social spending.

Research limitations/implications

This study has limitations; there are still districts/cities whose data is incomplete but included in this sample. This study aims to provide theoretical contributions and empirical evidence for academics, researchers, and readers about the practice of the political budget cycle carried out by regional heads before the election with the aim of politics to be able to win back the next election so that this study was formed with samples of all districts in Indonesia.

Originality/value

This study uses the regional fiscal independence, and regional poverty rate as independent variables, and all components of capital expenditure as dependent variables that have not been used by previous studies, especially in Indonesia.

Assessing the link amid import, export and FDI within South Africa Economy

Ahmed Adekunle — 2024-08-31

Purpose

Literature is generally in agreement that FDI promotes growth by enhancing export and stimulating import. Resting on this background, this study assesses the link amid import, export and FDI within South Africa economy.

Design/Methodology/Approach

The study employed the Johansen cointegration test, Vector Error Correction Model (VECM) and granger causality test over the annual data which span through 1986-2021.

Findings

The findings of the study show that export positively affect foreign direct investment (FDI), serving as both a source of income for the economy and a catalyst for FDI inflows. Additionally, imports also influence FDI positively permitting imports into the economy is a major indicator of economic liberalization which encourage FDI inflows. It is evident that there is only one direction of causality between FDI inflows and export. Since export serves as one of the sources of foreign direct investment (FDI) inflows, the study suggests that financial regulators increase the range of hedge tools and encourage exporters to use hedging to help them manage exchange-rate uncertainty thereby attracting more FDI inflows.

Research limitations/Implications

The study possesses limitations such as data limitations and plenty-paradox framework. In the future, effort should be more focused on quarterly and panel data analysis to elaborate on this empirical issue.

Originality/value

This research advances our understanding of FDI inflows nexus with other economic variables within the South African economy

The Impact of Food Insecurity on Domestic Child Violence

Dwi Hadya Jayani — 2024-08-31

Purpose

This research aims to examine the impact of food insecurity on the probability of child violence within households.

Design/methodology/approach

The study uses logistic regression analysis to establish the association between the dependent variable (child violence) and the independent variable (food insecurity) while controlling for several variables. The variables related to food insecurity are found in the National Socioeconomic Survey (Susenas) KOR 2020, while the variables associated with child violence are present in the Social Resilience Module of the September 2020 Susenas. The unit of analysis in this research is children aged 0-17 years, with the scope of the study focusing on households included in both Susenas KOR 2020 and the Social Assistance Module 2020 conducted by the Central Statistics Agency (Badan Pusat Statistik). After data merging, the sample used in this analysis comprises 40,231 households considered representative.

Findings

Descriptive analysis indicates that food insecurity still frequently occurs in households with the highest expenditures, although the percentage is not as high as in the lowest quintile group (the poor). Based on logistic regression analysis, there is a significant association between food insecurity and child violence within households. However, there is a different pattern in the "Severe" food insecurity level, where the probability of child violence is lower compared to other levels of food insecurity.

Research limitations/implications

Child violence in this study is based on the admission of adult household members (aged 17 and above) who perpetrate violence against children (aged under 17) and does not specify the type of violence that occurs.

Originality/value

The research gap in this study is the occurrence of child violence based on expenditure groups and food insecurity. Additionally, the unit of analysis in this study is children aged 0-17 years within the scope of household research included in the 2020 National Socio-Economic Survey (Susenas KOR) and the 2020 Social Assistance Module (Modul Hansos) conducted by the Central Statistics Agency (Badan Pusat Statistik).

Impact of Stock Market Indicators on Nigeria’s Economic Growth: 1991-2021

IBRAHIM MUSA — 2024-08-31

Purpose

The study examined the impact of stock market indicators on Nigeria’s economy between 1991 and 2021.

Design/Methodology/Approach

It employed Johansen co-integration to check the long-run relationship among the secondary data: Real Gross Domestic Product (RGDP) as the dependent variable; Market Capitalization (MCAP), All Share Index (ASI), and Gross Capital Formation (GCF) represented the independent variables which were source from CBN Statistical Bulletin and World Bank Development Indicators. Pre-estimation test showed that all the variables were integrated of order one, I (1) through the Augmented Dickey-Fuller unit root test.

Findings

The co-integration test revealed the existence of a long-run relationship among the variables. An Error Correction Model (ECM) technique was adopted to analyze the short-run dynamics in the dataset. The ECM results showed that market capitalization and all share indexes had a positive impact on the RGDP in the short run. However, the gross capital formation was found to be negative but significant at a 5 per cent significance level. Moreover, the error correction term showed that equilibrium, in the long run, is reconciled at a speed of approximately 51 per cent aftershock. Further, the diagnostic test showed that the residuals are homoscedastic and efficiently distributed. Results are therefore appropriate for policy analysis.

Research Limitations/Implications

This research offers valuable insights but the findings have some constraints of limitations particularly with regard to available relevant materials and papers.

Originality/Value

This study is clearly original for it has filled some gaps by examining the impact of stock market indicators on Nigeria’s economy between 1991 and 2021. Giving limited existing research, this study contributes to knowledge by exploring impacts stock markets indicators have on Nigeria’s economic growth within the period under study.

Recommendations

The study recommended that there is a need for the Federal Government of Nigeria through the Nigeria Stock Exchange (NSE) to encourage private sector investment in the capital market. This can be done through educating and enlightening the public using experts who are competent in stock market dealings.

From Budget to Prosperity: Analyzing the Village Fund's Contribution to Rural Advancement in Indonesia

Muhammad Rizaldi — 2024-08-31

Purpose

This research aims to assess the influence of Village Funds on rural development, as proxied by the Village Development Index, across 33 provinces in Indonesia from 2018 to 2022.

Design/methodology/approach

This research uses the Panel Data Regression Model to analyze the data.

Findings

This finding implies a positive impact of the Village Fund in driving rural development. In addition, other endogenous variables, such as the Human Development Index (HDI) and population size, also show a significant influence on rural development outcomes. These results highlight the multifaceted nature of rural development, not only financial resources but also human development and demographic factors play crucial roles.

Research limitations/implications

This study uses the Village Development Index to describe the condition of village development, Village Fund as an interest variable, Human development index, rural poor population, and total provincial population as control variables.

Originality/value

While there are studies that use Village Development Index (VDI) as a dependent variable to measure the influence of the Village Funds, they still have limitations in terms of their research scope, typically confined to a single district or city. This study will complement previous research by examining villages in all provinces of Indonesia.

The Determinants of Value-Added of Non-Oil and Gas Manufacturing Industries in Indonesia

Detylia — 2024-08-31

This research aims to obtain the determinants of industrial value added in Indonesia from 2008 to 2019 and give suggestions to the government about the determinants of industrial value added in Indonesia so they can have relevant information to stipulate a regulation to improve the industrial value added in Indonesia. The scope of this research is restricted to twenty-four (24) subsector of the medium and large non-oil and gas manufacturing industry in Indonesia from 2008 to 2019 and are analyzed with Panel Data Analysis using Random Effects Estimators followed by specification test to make sure the credibility of the regression model (Pesaran CD Test, Hausman Test, Breusch-Pagan test). This panel data was collected from Central Statistics Indonesia Board from 2008 to 2019. Based on the GLS regression results, we found that the variable cost, labor cost, capital-intensive industries, and the implementation of the Law Number 3 of 2014 concerning Industry significant and positive impact on the value-added of non-oil and gas manufacturing industry, while fixed costs do not significantly affect the value-added. These findings align with the income theory that the profit is obtained by subtracting the total revenue from the production cost (variable cost, labor cost), except for fixed cost. By finding that the fixed cost does not significantly impact the value-added in the non-oil and gas manufacturing industry, it is suggested to deepen the research by using firm-level data instead of aggregate data and includes other variables that have significance to the value added. The research gap of this research is the harness of variable cost, fixed cost, and labor cost, which represent costs in the production theory, dummy variables of capital-intensive industries as a measure of the impact of capital-intensive to value-added, and dummy variables before and after the implementation of the industry law to measure the impact of the government’s role. As implications, it is suggested that the producers could optimize their economies of scale since the increased variable cost and labor cost positively impact the value added. Other suggestions, it is recommended that the government simplify the bureaucracy of the business process, incentivize the technology start-ups, and embed the Industry 4.0 infrastructure in the 24 subsectors of industries.