Integrasi Pasar Berjangka Komoditi Crude Palm Oil (CPO) Indonesia Di Masa Pandemi Covid-19


Octaviana Helbawanti(1), Cici Aulia Permata Bunda(2), Faqihuddin Faqihuddin(3),


(1) Universitas Siliwangi
(2) 
(3) 

Abstract


Perdagangan komoditas Crude Palm Oil (CPO) dilakukan di dalam negeri dan diekspor, sehingga perkembangan harga yang terbentuk merupakan harga perdagangan domestik di pasar spot dan di tingkat pasar internasional. Fluktuasi harga pada komoditas CPO dapat meningkatkan risiko ketidakpastian perdagangan di pasar spot dan pasar derivatif. Ketidakpastian harga merupakan dampak dari ketidakmampuan suatu pasar dalam mengikuti perkembangan harga di pasar yang lain. Penelitian terhadap harga CPO di pasar derivatif  dan pasar spot bertujuan menganalisis kointegrasi pasar dan hubungan kausalitas. Metode analisis yang digunakan yaitu Johansen Cointegration Test dan  Granger Causality Test. Hasil analisis uji Johansen Cointegration menunjukkan pasar derivatif dan pasar spot komoditi Crude Palm Oil (CPO) tidak terkointegrasi jangka panjang. Pasar CPO Indonesia belum dapat menjadi pasar acuan internasional karena transaksi derivatif dan literasi masih rendah. Pasar spot yang tidak dapat mengikuti pergerakan pasar derivatif disebabkan gejolak harga akibat ketidakpastian di masa pandemi Covid-19 berupa pembatasan aktivitas perdagangan global. Kausalitas satu arah hasil analisis menggunakan Granger Causality yaitu pasar derivatif mempengaruhi pasar spot, sehingga perubahan atau shock di pasar derivatif dapat memberikan dampak ke pasar spot. Pasar derivatif di tingkat global yang mengacu di Rotterdam berperan sebagai leader market dengan fungsi price discovery, sedangkan pasar spot Indonesia merupakan market follower. Permintaan CPO di pasar Eropa yang tinggi untuk biofuel, sehingga terdapat peraturan penggunaan CPO turut memberikat pengaruh pasar spot di Indonesia. Pasar derivatif dapat menyediakan informasi harga yang akan datang, sehingga dapat meminimalisir ketidakpastian perubahan harga


Keywords


Pasar Berjangka Komoditi; CPO; Kointegrasi; Kausalitas

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DOI: https://doi.org/10.31289/agrica.v15i1.5401

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