The Stock Price Response of Palm Oil Companies to Industry and Economic Fundamentals

• 발행기관: 한국유통과학회
• 저자명: Arintoko ARINTOKO
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.3, 99~110쪽, 전체 12쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.03.30

영문 초록

This study aims to examine empirically the industry and economic fundamental factors that affect the stock prices of the leading palm oil company in Indonesia. The dynamics of stock price are analyzed using the autoregressive distribution lag (ARDL) model both for symmetric and asymmetric effects. The data used in this study are monthly data for the period from 2008:01 to 2020:03. In the long run, the company stock price moves in line with the competitor company stock price at the current time. The palm oil price has a positive effect on the stock price. Meanwhile, inflation negatively affects the stock price in the short run. The estimated equilibrium correction coefficient indicates a reasonably quick correction of the distortion of the stock price equilibrium in monthly dynamics. However, fundamental factors have asymmetric effects, especially the response of stock price when these factors decrease rather than increase in the short run. Stock prices that are responsive to declines in fundamental performance should be of particular concern to both investors and management in their strategic decision making. The results of this study will contribute to the enrichment of literature related to stock prices from the viewpoint of economic analysis on firm-level data.

목차

1. Introduction

2. Literature Review and Hypotheses

3. Research Methods

4. Results and Discussion

5. Conclusions

References

키워드

Stock Price ARDL Model Fundamental Factors Asymmetric Effects