Dynamic Causality of Strategic Risk of Indonesia Coal-based Enterprises (Var Model Application)

Abstract

Currently, coal is an energy source used as fuel for power plants, which produces 37% of global electricity, and by 2040 it is predicted to produce 22% of the world's electricity. Therefore, the development of a coal company's stock price can reflect companies’ management performances in controlling risk which in turn can affect the level of volatility of the company's stock price and become an indicator for investors in making investment decisions in order to get a return. tall one. The formulation of strategic risk of coal subsector companies with the application of the vector autoregressive (VAR) model becomes the basis of this research, where strategic risk is proxied through the growth of stock prices and returns in each coal company that is the sample of the study. The method that will be used in this research is descriptive quantitative through the application of the VAR model to be able to describe the causality relationship between companies. The results obtained are the VAR(2) model of each coal subsector company, which is used as an initial identification of its strategic risk so that the coal subsector company can make mitigation steps in dealing with these strategic risks.