Dynamic Relationship of Indofood and Mayora Stock Prices: A VAR, Granger Causality, and FEVD Analysis
DOI:
https://doi.org/10.35870/ijmsit.v6i2.8378Keywords:
Stock Price, VAR, FEVD, Granger CausalityAbstract
This study analyzes the dynamic relationship between the stock prices of PT. Indofood Sukses Makmur Tbk (INDF) and PT. Mayora Indah Tbk (MYOR) using historical daily stock-price data recorded during 2025. The study employs a quantitative time-series approach using Vector Autoregression (VAR), Granger causality, Impulse Response Function (IRF), and Forecast Error Variance Decomposition (FEVD). The dataset consists of 236 trading-day observations for each company obtained from Yahoo Finance. The Augmented Dickey-Fuller (ADF) test indicates that the INDF series is stationary at level, whereas the MYOR series becomes stationary after first differencing. The Granger causality test shows that lagged movements in INDF significantly predict MYOR, while the reverse relationship is not statistically significant. The IRF results indicate that MYOR responds positively to a shock originating from INDF, with the strongest response occurring around the third period. Furthermore, the FEVD results show that the contribution of INDF to MYOR forecast-error variance increases from 0.46% in period 1 to 10.82% in period 12. These findings indicate that movements and information contained in INDF may become increasingly relevant to MYOR over the modeled horizon. The study contributes empirical evidence regarding stock-price dynamics in Indonesia’s consumer-goods sector and provides practical information for investors in assessing inter-stock relationships and market information transmission.
Downloads
References
Ariefiranto, M. D. (2012). Ekonometrika (E. Jakarta (ed.).
Basari, M. S. N. and Achmad, A. I. (2021). Metode Singular Spectrum Analysis untuk Meramalkan Indeks Harga Konsumen Indonesia Tahun 2019. Prosiding Statistika, 7, 484-491.
Bursa Efek Indonesia (BEI). (2025). Laporan Keuangan Tahunan 2020. [Online]. Diakses dari Website IDX.
Egam, G. E., Ilat, V., & Pangerapan, S. (2017). Pengaruh return on asset (ROA), return on equity (ROE), net profit margin (NPM), dan earning per share (EPS) terhadap harga saham perusahaan yang tergabung dalam indeks LQ45 di Bursa Efek Indonesia periode tahun 2013-2015. Jurnal Emba, 5(1), 105-114.
Ekananda, M. (2015). Ekonometrika Dasar (untuk Penelitian Ekonomi, Sosial Dan Bisnis (M. W. Media (ed.)).
Febrianti, D. R., Tiro, M. A. and S., & S. (2021). Metode Vector Autoregressive (VAR) dalam Menganalisis Pengaruh Kurs Mata Uang Terhadap Ekspor Dan Impor di Indonesia. VARIANSI: Journal of Statistics and Its Application on Teaching and Research, 3(1), 23–30. https://doi.org/https://doi.org/10.35580/variansiunm14645
Hidayatullah, S. (2021). Analisis Perbandingan Kinerja Keuangan Pada Perusahaan Pt Mayora Indah Tbk. Dan Pt Indofood Sukses Makmur Tbk. Jurnal manajemen, 1(2), 56-66.
Himawan Yusuf, R. K. H. (2025). Uji Kausalitas Granger Antara Ekspor dan Impor Indonesia: Analisis Dengan Model Var. Politeknik Keuangan Negara STAN, Universitas Gadjah Mada, Vol. 9, No, Hal. 157-168.
Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis, (N. Springer Books, Springer (ed.)). https://doi.org/10.1007/978-3-540-27752-1
Mukarromah, H. L., & Hasan, A. (2023). Analisis Pengaruh Variabel Makroekonomi Terhadap Penerimaan Zakat Pada Baznas Periode 2016-2021. Jurnal Ilmiah Ekonomi Islam, 9(2 SE-Articles), 2229–2237. https://doi.org/10.29040/jiei.v9i2.8677
Arrifqi, T., & Putri, A. S. (2022). Pengaruh literasi keuangan, toleransi risiko dan persepsi risiko terhadap keputusan investasi pegawai di Bandar Lampung. Jurnal Bisnis, Manajemen, Dan Keuangan, 3(2), 432-443. https://doi.org/10.21009/jbmk.0302.08
Pratama, A., & Wijaya, H. (2021). Analisis Kinerja Keuangan terhadap Harga Saham Perusahaan di Pasar Modal. Jurnal Akuntansi Dan Keuangan, 23(1), 33–45.
Sudarmin, D. R. F. M. A. T. S. (2021). Metode Vector Autoregressive (VAR) dalam Menganalisis Pengaruh Kurs Mata Uang Terhadap Ekspor Dan Impor Di Indonesia. VARIANSI: Journal of Statistics and Its Application on Teaching and Research, Vol 3, No 1 (2021), 23–30. https://ojs.unm.ac.id/jvariansi/article/view/14645/8740
Wei, W. (2006). Time Series Analysis: Univariate and Multivariate Methods, 2nd edition, 2006.
Wijaya, B. I., & Sedana, I. B. P. (2015). Pengaruh profitabilitas terhadap nilai perusahaan (kebijakan dividen dan kesempatan investasi sebagai variabel mediasi) (Doctoral dissertation, Udayana University).
Downloads
Published
Issue
Section
License
Copyright (c) 2026 Mastia M. Halimu, Rika Yunita Pratiwi, Istiqamah Bungana
This work is licensed under a Creative Commons Attribution 4.0 International License.
Authors who publish with this journal agree to the following terms:
1. Copyright Retention and Open Access License
Authors retain copyright of their work and grant the journal non-exclusive right of first publication under the Creative Commons Attribution 4.0 International License (CC BY 4.0).
This license allows unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
2. Rights Granted Under CC BY 4.0
Under this license, readers are free to:
- Share — copy and redistribute the material in any medium or format
- Adapt — remix, transform, and build upon the material for any purpose, including commercial use
- No additional restrictions — the licensor cannot revoke these freedoms as long as license terms are followed
3. Attribution Requirements
All uses must include:
- Proper citation of the original work
- Link to the Creative Commons license
- Indication if changes were made to the original work
- No suggestion that the licensor endorses the user or their use
4. Additional Distribution Rights
Authors may:
- Deposit the published version in institutional repositories
- Share through academic social networks
- Include in books, monographs, or other publications
- Post on personal or institutional websites
Requirement: All additional distributions must maintain the CC BY 4.0 license and proper attribution.
5. Self-Archiving and Pre-Print Sharing
Authors are encouraged to:
- Share pre-prints and post-prints online
- Deposit in subject-specific repositories (e.g., arXiv, bioRxiv)
- Engage in scholarly communication throughout the publication process
6. Open Access Commitment
This journal provides immediate open access to all content, supporting the global exchange of knowledge without financial, legal, or technical barriers.
