Commodity Investments Research Articles

Cryptocurrency Investment in Indonesia

Objective - Different countries have different policies towards cryptocurrencies. In Indonesia, cryptocurrency is prohibited as a means of payment or transaction. The prohibition is stated in Bank Indonesia Regulation (PBI) Number 18/40/PBI/2016 concerning the Implementation of Payment Transaction Processing. However, cryptocurrencies are recognized as long-term commodities or investment assets, so their supervision is carried out by the Commodity Futures Trading Supervisory Agency (bappepti) and regulated in Bappebti Regulation No. 7 of 2020 concerning the Determination of the List of Crypto Assets that Can be Traded on the Crypto Asset Physical Market. This study aims to analyze the differences in return and risk on the 5 cryptocurrencies with the largest market capitalization in Indonesia. Methodology/Technique - This research uses quantitative methods with a descriptive approach, and secondary data is used. The population in this study consisted of 383 cryptocurrencies that were legal and registered with Bappepti from 2020 to 2022. The sample was determined using purposive sampling to determine the top 5 cryptocurrencies with the largest market capitalization during the observation period from January 2020 to September 2022. The data analysis technique used the Kruskal-Wallis test. Findings - The results showed no significant differences in return and risk between Bitcoin, Ethereum, Tether, BNB, and USD coins. Empirically, this study proves that each cryptocurrency has the same risk and return. Novelty - This research was conducted in Indonesia with regulations that may differ from other countries towards cryptocurrencies. As a long-term commodity investment asset, this study finds empirical evidence that each cryptocurrency has the same risk and return. Type of Paper: Empirical JEL Classification: G11; G18; G28 Keywords: Cryptocurrency; Investment; Return; Risk; Bappepti Reference to this paper should be referred to as follows: Dewi, D.M; Faizal, I; Sambe, T.A. (2024). Cryptocurrency Investment in Indonesia, Acc. Fin. Review, 9(1), 32 – 41. https://doi.org/10.35609/afr.2024.9.1(1)

Would really long-only climate-transition strategies in commodities bring lower market risk for sustainable markets in the long run? The Islamic sustainable market versus the global sustainability leaders

By allocating investments towards commodities that align with climate-transition goals, environmentally conscious commodity investment strategies serve to promote and support sustainable markets, channeling capital towards sectors that prioritize environmental sustainability. Through the application of a quantile causality test, which examines the relationship between commodity-based strategies with a climate-transition focus and eco-friendly markets, over the period spanning from May 1, 2013, to May 25, 2023, our findings reveal a bi-directional causality relationship between different themes of sustainable markets and long-only climate-transition strategies in the commodity market across various market conditions. Furthermore, employing a quantile time-frequency connectedness approach allows us to discern that long-only climate-transition strategies in the commodity market exhibit lower long-run total connectedness with responsible and conscious markets compared to the short term. Consequently, these results suggest that transition-oriented strategies for commodities in a climate-conscious world not only mitigate market risk for regenerative markets in the long run but also indicate that different types of global sustainability leaders demonstrate a stronger connectedness with climate-transition strategies in commodities when compared to the Islamic sustainable market across a majority of quantiles and time horizons. In light of these findings, policymakers are urged to prioritize the long-term dimensions of climate-transition strategies in commodity markets by implementing new emission standards and environmental benchmarks. Additionally, the design and implementation of similar long-only climate-transition strategies in other markets would further enhance the long-term effectiveness of climate-conscious markets and foster stronger connections with responsible markets. our study underscores the significance of integrating climate-transition strategies into commodity markets and highlights their role in promoting sustainable and environmentally conscious investment practices. By directing investments towards climate-aligned commodities, policymakers and market participants can contribute to the long-term sustainability of global markets while fostering stronger connections between sustainable markets and climate-transition strategies in commodities.

Accounting Factors in Stocks Return: Companies Listed on the Asean Exchange

The capital market can provide investors, because the selected securities investments are expected to provide a level of return commensurate with the risk the investor bears. The phenomenon that is currently occurring shows that returns are decreasing shares occur in companies in the agricultural companies on the ASEAN, are faced with expectations in the form of investing capital is to obtain a high rate of return low risk. This would be contrary to basic investment principles namely High Risk High Return. Companies listed on the stock exchange are investment commodities with relatively high risk. The nature of investment shares is compassionate and changes to influences originating from within and outside the country, such as changes in politics, economics, government regulations, or modifications within the company or industry. This research aims to determine the factors that influence stock returns, which consist of price book value (PBV), debt-equity ratio (DER), and earnings per share (EPS)—using purposive sampling, with sample 14 agricultural companies listed on the ASEAN Exchange during the 2017-2022 period. Data analysis used multiple linear regression and the hypothesis test using the T-test with a significance level 0.05. The regression analysis results found that only the price book value (PBV) variable had a significant positive effect on stock returns. Meanwhile, the variables debt equity ratio (DER) and earnings per share (EPS) do not affect stock returns simultaneously

Downstream Analysis of Strategic Investment in Natural Gas Commodities in Increasing the Value of Indonesian Natural Gas Products

Downstream Analysis of Strategic Investment in Natural Gas Commodities in Increasing the Value of Indonesian Natural Gas Products

Occupying Shops to Defend Spaces of Livelihoods: From Tenant Shopkeepers’ Fragmentation to Collective Consciousness in Urban Korea

Abstract When commercial real estate becomes a highly coveted investment commodity, tensions intensify between those whose interest lies in extracting maximum profits from their properties and those who utilize the very same spaces for making a livelihood. Through ethnographic research with a tenant shopkeepers’ social movement organization (SMO) in Korea, I analyze the new collective consciousness forming among tenant shopkeepers who are defending their livelihoods against their landlords’ rapacious use of rent hikes and evictions to fully realize the speculative potential of their properties. Examining how the SMO brings together geographically scattered tenant shopkeepers based primarily in the larger metropolitan area of Seoul, I ask, more broadly: How can the self-employed facing precaritization overcome their fragmentation and generate a new collective consciousness based on a politics of solidarity? Drawing from my case study of tenant shopkeepers and the literature on livelihood struggles elsewhere around the globe, I identify the practice of occupying livelihood spaces as playing a pivotal role in the development of a sense of collective among those previously atomized in their struggles. I advance existing scholarship by scrutinizing both the challenges and the transformative potential of the solidarity cultivated through the occupy sites in bridging divergent interests, cultural sensibilities, and political beliefs of the previously unorganized.

Crash risk connectedness in commodity markets

ABSTRACT In contrast to the extant literature on returns, volumes, and volatility spillovers, we examine the crash risk connectedness of 13 commodity markets in the energy, metal, and agricultural sectors, spanning January 2019 to December 2020. We use 5-minute high-frequency data to construct two proxies of daily crash risk and apply spillover analysis and network graphs to show that overall connectedness among commodity uncertainties is most significant in the aftermath of COVID-19. High intra-group connectedness and low inter-group connectedness are observed. Since there is an inter-commodity disconnection and intra-commodity connection, the findings suggest that commodity investors diversify crash risk by choosing commodities from different commodity groups rather than picking from within the commodity group. Interestingly, copper and gas exhibit a disconnection from their respective groups, making them suitable diversifiers for other commodity groups and individual commodities in their own groups. Moreover, this property of copper and gas is not much affected during COVID-19. Crash risk connectedness is asymmetric regarding long- and short-run investment horizons, and fear of 2nd wave of COVID-19 signifies pronounced long-term connectedness. Our findings are robust to the use of the alternative specification. Individual investors and commodity export-dependent economies can learn important implications from our analysis.

Investment in Commodities as Hedging and Safe-Haven Tools during the Periods of Stock Market Volatility

Investment in Commodities as Hedging and Safe-Haven Tools during the Periods of Stock Market Volatility

Behavioural explanations of Expectile VaR forecasting and dynamic hedging strategies for downside risk during the COVID‐19 pandemic: Insights from financial markets

AbstractIn this paper, we investigate the influence of confirmation bias on Expectile Value at Risk (EVaR) forecasting among fundamentalist, optimistic, and pessimistic investors in cryptocurrency, commodity, and stock markets before and during the COVID‐19 pandemic. Utilizing the DCC‐range GARCH model, we also explore the conditional minimum downside risk hedge ratios. Our findings demonstrate that confirmation bias leads to excessive EVaR for financial market returns, regardless of the period being before or during COVID‐19. Moreover, fundamentalists' expectations in all markets remain constant, while without confirmation bias, optimists' and pessimists' expectations tend to converge to zero over time but diverge significantly during turbulent periods. When confirmation bias is present, the average distance between these expectations widens. Analysing the hedge ratio results, with or without confirmation bias, also unveils the conditional minimum downside risk hedge ratios. These ratios indicate the optimal proportions for hedging downside risk in each financial market during different periods. We find that the conditional minimum downside risk hedge ratios are generally lower (higher) during the pre‐COVID‐19 (COVID‐19) period, implying that hedging costs are higher during the COVID‐19 period. These insightful findings offer valuable insights for traders and regulators in identifying and understanding the risk conditions of cryptocurrency, commodity, and stock markets. Additionally, the analysis of conditional minimum downside risk hedge ratios provides investors with essential information on how to strategically position their portfolios to mitigate and manage risk during both tranquil and turbulent market conditions, with and without confirmation bias.

Understanding Commodity Investments: Factor Analysis and Bibliometric Findings

Understanding Commodity Investments: Factor Analysis and Bibliometric Findings

Risk return profile of commodity derivatives: an investors perception

This article provides an overview of the literature on the commodity market, with a particular focus on the risk of commodity investment. The sources of return in the commodity market are examined, as well as the impact of various macroeconomic factors such as interest rates and inflation on the return. The commodity market is an increasingly popular investment opportunity for investors looking to diversify their portfolio. However, investing in commodities is not without risk. The volatility of commodity prices can lead to significant losses for investors, especially those who are not familiar with the market. One of the primary sources of return in the commodity market is through price appreciation. This is driven by supply and demand factors, such as changes in weather patterns, geopolitical events, and changes in consumer tastes. In addition, commodities can also generate returns through passive income, such as through rental income from real estate or dividends from stocks. Interest rates and inflation are two key macroeconomic factors that can have a significant impact on the return of commodity investments. Higher interest rates can lead to lower commodity prices, as investors seek out higher yield investments. Inflation can also impact the return of commodity investments, as it can lead to higher prices for raw materials and other inputs. For wheat, corn, and soybean futures, seasonality of return is an important consideration for investors. The prices of these commodities are often influenced by seasonal factors, such as weather patterns and harvest cycles. Understanding these seasonality patterns can help investors make more informed investment decisions. In conclusion, this study is mostly descriptive in nature, providing an overview of the literature on the commodity market and the risks associated with commodity investment. The impact of various macroeconomic factors, such as interest rates and inflation, on the return of commodity investments is also examined. Finally, the seasonality of return for wheat, corn, and soybean futures is discussed as an important consideration for investors.

Dynamic connectedness between global commodity sectors, news sentiment, and sub-Saharan African equities

We examine the static and time-varying spillovers between global commodity sectors, economic news sentiment, and sub-Saharan African (SSA) equities. In a time-varying parameter vector autoregressions spillover connectedness approach, we find that: (i) there are significant spillovers between SSA equities, economic news sentiment, and global commodity sectors; (ii) the connectedness evolves across different times and is amplified by market crises; (iii) there are suitable market-specific SSA equities that bear safe-haven and hedge attributes for global commodity investors; (iv) agriculture is the main source of return and volatility spillovers; and (v) economic news sentiment index is a net transmitter of spillover during systemic crisis periods such as GFC and the COVID-19 pandemic. Our findings have notable implications for international investors, regulators, and practitioners.

Socioeconomic Development of the Local Community and Causes of Land Use Change in Belaga, Sarawak, Malaysia

The state of Sarawak in Malaysia has witnessed a surge in demand for its valuable land resources, primarily driven by major commodity investors establishing plantations. These land concessions have further exacerbated land scarcity and the depletion of crucial forest areas, which are essential for the livelihoods of indigenous communities. The indigenous community in Sarawak, heavily dependent on forests, faces significant challenges due to land use changes. This study aims to identify the drivers of land use change and assess the socioeconomic impact on the local community in Murum, Belaga, Sarawak. The research was conducted in December 2020, utilizing a combination of quantitative and qualitative approaches. Questionnaires, in-depth interviews, and site observations were employed to collect data, involving 511 household heads and ten key informants. Statistical analysis using SPSS software was performed on the collected data. The findings highlight that the primary cause of land use change in the study area was the hydroelectric dam project, followed by the establishment of oil palm plantations, logging activities, forest plantation development, government policies, and agricultural activities. Regarding infrastructure satisfaction levels, respondents ranked sport/recreational facilities as the most important, followed by electricity supply, house/accommodation facilities, education facilities, clean water sources, communication accessibility, health facilities, and road accessibility. Overall, the data indicates an improvement in the economic and social conditions of families due to land use changes in the area. However, the study concludes that there is still a need for further improvements in essential services, including providing multiple clean water sources to each household, enhancing access to healthcare services, and improving road conditions. Improved road access will foster increased business and social activity, facilitating job opportunities and contributing to poverty alleviation within the local community.

Benefits of Investing on Mother and Child Healthcare in Tanzania

Purpose: Maternal and child healthcare play crucial role in reducing global mortality rates, with a significant impact on the overall burden of disease. The Sustainable Development Goal 3 aims to reduce the global maternal mortality ratio to less than 70 per 100,000 live births, end preventable deaths of newborns and children under 5 years of age, with all countries aiming to reduce neonatal mortality to at least as low as 12 per 1,000 live births and under-5 mortality to at least as low as 25 per 1,000 live births by 2030. Sub-Saharan Africa, including Tanzania, carries a high burden of mortality rates and experiences a significant share of maternal and child deaths, exacerbating the global figures. The average prevalence of below 5 years mortality in SSA between 2010 and 2018 was 4.10% according to Ahinkorah (2021). Recognizing the severity of this issue, the government of Tanzania through the Development Agenda 2025, Draft health policy 2020 and the current Health Sector strategic plan 2021-2026 plans to reduce infant and maternal mortality rates through mother and child healthcare investment. The Health Sector Strategic Plan focuses on strengthening the health systems in the country and aims to sustain the achievements made in enhancing the health of reproductive, maternal, newborn, children, and adolescent populations. This study sought to assess the benefits of investing on mother and child healthcare in Tanzania. The study was guided by the investment commodity theory developed by the economist John Maynard Keynes in 1936. The study evaluated the current status of mother and child health indicators, the benefits of investing in mother and child health on overall health outcomes and identified the existing gaps and challenges in the provision, access and utilization of mother and child healthcare services in Tanzania.
 Methodology: The study was a desktop review-based study which relied on existing published information, data, and literature.
 Findings: The study found out that there have been improvements in certain areas of mother and child health indicators but maternal and child mortality rates remain high. Health interventions such as vaccination programs, improved access to healthcare services, and the use of maternal and child health insurance cards showed positive effects on reducing child mortality, improving child health outcomes, and enhancing maternal healthcare utilization. The significant gaps and challenges in the provision, access, and utilization of mother and child healthcare services include disparities in access to healthcare services based on factors such as education level and wealth status, inadequate healthcare infrastructure, long distances to health facilities, sociocultural barriers, and financial constraints.
 Unique contribution to theory, practice and policy: The study recommends strengthening of healthcare infrastructure, enhancing access to maternal and child healthcare services, especially for vulnerable populations, promoting health education and raising awareness about maternal and child healthcare practices, addressing the shortage of skilled healthcare professionals, improving data collection and use and monitoring of maternal and child health indicators, addressing socio-cultural barriers that hinder access and utilization of healthcare services and increasing investment in mother and child health care programs through allocate adequate resources.

SLOVAK AND CZECH HOUSING MARKET ANALYSIS

SLOVAK AND CZECH HOUSING MARKET ANALYSIS

Impacts of weather conditions on the US commodity markets systemic interdependence across multi-timescales

This study analyses the role of weather conditions in driving the interdependence of the US commodities system comprising energy, agricultural, and metal markets from January 2000 to October 2021. By measuring the commodity markets systemic interdependence through dynamic equicorrelation (DECO), total returns spillover (TRS), upside and downside tail risk spillover (UTRS/DTRS), we investigate the co-vary dynamics between weather conditions and interdependence of commodity system in time-frequency domains. We discover that low temperature level plays a significant role in leading the commodities DECO at 32–64 months time scale. It is shown that high temperature level, global horizontal irradiance, and wind speed acts as an important part in driving TRS at around 64-month time scale. We also find that high temperature level and global warming conditions have a negative leading influence on UTRS at 32–64 months time scale whilst cloud coverage, precipitation and runoff have a positive leading impact on the UTRS at the same time scale. Moreover, temperature is found to lead the change of DTRS at around 64-month time scale persistently throughout the sample period. Through incorporating heterogeneous investment horizons, our findings provide practical implications for commodity investors in adapting to climate change.

On the efficiency of the gold returns: An econometric exploration for India, USA and Brazil

As a precious metal and investment commodity, gold has been signified to be important for risk management, diversification, and hedging. The gold market has undergone considerable structural changes in the facet of the pandemic and other geopolitical developments, attracting the interest of investors. Thus, it is crucial to look into how these structural changes affect the efficiency of the market. Accordingly, the study examines and compares the evolution of the gold market efficiency in three major economies from January 1, 2018, to August 31, 2022: India, USA, and Brazil. For this, we first decompose the time series using Loess Smoother's Seasonal and Trend Decomposition and then employ a multifractal detrended fluctuation analysis approach. The estimates are strengthened by the alternative approach of the rolling window method of wild bootstrap automatic variance ratio. The findings indicate a considerable decline in the efficiency of the gold returns across three economies, with the highest decline in India, followed by USA and Brazil. Notably, during covid and post covid periods, India and USA show persistence in small fluctuations, while Brazil displays persistent behavior in large fluctuations. Thereby, the market panic makes the gold market unstable, and its use as a safe haven is “erratic”.

Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets

This paper investigates spillover from energy commodities to Shanghai stock exchange and European Stock market, and identifies possible risks transmission and portfolio diversification opportunities. The study is conducted on daily spot prices of carbon (CO2) emission, natural gas and crude oil from 16 December 2010 to 29 December 2022, employing Granger causality test, dynamic conditional correlation (DCC), Diebold-Yilmaz (2012) and Barunik-Krehlic (2017) models. Results identify higher volatility and imply greater connectedness in the longer run. Additionally, natural gas is witnessed as the highest contributor of the shocks and crude oil as the highest receiver of the shocks from the network connection. Further results suggest for investment in energy commodities in shorter run rather than long run for efficient portfolio diversification. Results from this study are expected to have practical implications for portfolio managers, investors, and market regulators, given the suggestion of this study to incorporate energy stocks for efficient diversification of risk.

Dynamic Relationship between Volatility Risk Premia of Stock and Oil Returns

This study investigates the relationship between the volatility risk premia (VRP) of stock and oil returns. Using daily data on VRP from 10 May 2007 to 16 May 2017, VAR analyses on the stock and oil VRP are conducted, and it is found that the effects of the stock VRP on the oil VRP are limited and, if any, short-lived. In contrast, the VRP of oil has significantly positive and long-lasting effects on the stock VRP after the financial crisis. These results suggest that investors’ sentiments (measured by VRP) are transmitted from the oil to the stock market over time, but not vice versa. This is unexpected because the financialization of commodities means a massive increase in investment in commodities by investors in the traditional stock and bond markets; hence, the direction of effects is thought to be from the stock to the commodity market.

The inflation-hedging performance of industrial metals in the world's most industrialized countries

Can inflation risks be hedged by industrial metals? This is the poser that this study intends to address. We examine this possibility for seven (7) globally traded industrial metals in twenty (20) most industrialized countries of the world. The depth of industrialization process of these countries and the increasing level of financialization of commodity markets motivate us to consider the hedging potential of these industrial metals. Summarily, we find that each of the industrial metals can hedge inflation risks in at least one country. When asymmetries are accounted for, the inflation-hedging ability of the metals improves. We also note that on country-specific basis, the hedging performance of the metals is stronger after the 2008 financial crisis. However, the average hedging performance based on the panel data analysis is susceptible to financial shocks. Lastly, the inflation-based predictive model offers a better forecast performance for the commodity returns in most cases than the historical average model. Important investment and policy decisions can be made respectively by commodity investors and policy makers based on the findings established in this study.

ТОВАРНО-ИНВЕСТИЦИОННАЯ БИРЖА КАК ИНСТРУМЕНТ СОВЕРШЕНСТВОВАНИЯ РЕГИОНАЛЬНОГО ИНВЕСТИЦИОННОГО КЛИМАТА

The current unstable macro- and microeconomic situation requires state executive authorities to create and integrate fundamentally new tools for the development of the national and regional economy. The key driver of such development, according to the author, can be the improvement of various forms of support for investment processes. Purpose: creation of a new tool for supporting commodity and investment processes, ensuring the achievement of a balance of interests of all key participants in the domestic socio-economic system. Methodology: based on the analysis of the current regulatory framework and the assessment of the accumulated empirical experience of the regions in terms of supporting commodity investment projects on the example of the Orel region, the creation of a specialized commodity investment exchange is proposed. Results: the uniqueness of the exchange lies in achieving the desired balance of interests of three key participants: firstly, meeting the unified and (or), on the contrary, unique needs of end users of goods, works, services; secondly, maximizing profits for local producers and services; and thirdly, achieving sustainable socio-economic development of both individual municipalities and the region as a whole by attracting and accumulating additional financial and investment capital. At the same time, an assessment of the socio-economic efficiency of the exchange itself indicates that the average payback period for this instrument is about 3.5 years. Subsequently, the regional government will be able to direct the promising profit to the formation of new local measures to support small and medium-sized businesses. Therefore, according to the author, in practice, the creation of this exchange will significantly contribute to the acceleration of all commodity and investment processes both for a particular region and for the national economy as a whole (in the case of scaling up the practice of using this tool in other subjects of the Russian Federation).