In the Indonesia coffee premature market, it is important to confirm whether the futures market has interdependence with the spot market. Moreover, as the world largest coffee producers after Brazil, Vietnam and Colombia, it is also important to examine the interdependence between Indonesia's markets with the offshore futures market whose prices are used uses for local price determination. This study examined the granger causality relationship between Indonesia futures and spot market, and granger relationship between Indonesia and the offshore futures market using data of daily Arabica and Robusta coffee prices starting from January 2014 to June 2018. The test indicated that the futures market has a stronger ability to predict the spot market; therefore, price discovery in the futures market. Bidirectional causality relationship between Arabica offshore futures and spot market indicates market demand on Arabica coffee. In general, it's identified unidirectional granger causality relationship between local and offshore futures market with information flows from the local futures market reflects the offshore market high expectation toward crop information during harvesting period both Arabica and Robusta. This is due to the importance of Indonesia's coffee crop report to world aggregate coffee production.Abstrak: Pada pasar kopi Indonesia yang masih tergolong baru, menjadi hal penting untuk mengkonfirmasi apakah pasar berjangka memiliki ketergantungan dengan pasar spot. Selanjutnya, sebagai produsen kopi terbesar setelah setelah Brasil, Vietnam dan Kolombia, penting juga untuk mengetahui ketergantungan antara pasar Indonesia dengan pasar berjangka luar negeri yang harga kontrak berjangkanya digunakan untuk penentuan harga di dalam negeri. Penelitian ini menguji hubungan kausalitas antara pasar berjangka dan spot kopi di Indonesia serta hubungan pasar Indonesia dengan pasar kopi luar negeri menggunakan data harga harian kopi Arabika dan mulai dari Januari 2014 sampai dengan Juni 2018. Hasil uji menunjukkan bahwa pasar berjangka memiliki kemampuan yang lebih kuat dalam rangka memprediksi pasar spot sehingga pembentukan pasar terjadi di pasar berjangka. Hubungan kausalitas dua arah antara pasar berjangka luar negeri dan pasar spot Arabika menunjukkan permintaan pasar terhadap kopi Arabika. Secara umum, diketahui hubungan kausalitas dua arah antara pasar berjangka dalam negeri dan pasar berjangka luar negeri dengan aliran informasi dari pasar berjangka dalam yang menunjukkan harapan pasar luar negeri terhadap informasi panen selama masa panen baik untuk Arabika dan Robusta. Hal ini menunjukkan bahwa laporan hasil panen kopi Indonesia sangat penting bagi agregat pasar kopi dunia. Kata kunci: komoditas berjangka, kausalitas granger, volatilitas harga, pasar spot

Indonesia is the world 4th largest coffee producer after Brazil, Vietnam and Colombia with export potential and higher national consumption concluded in 2017 while the coffee production was relatively stagnant. This was led the producer to not only the production risk but also the price risk which then emphasize the importance of futures markets existence as price risk management. This study is performed to examine the impact of futures price volatility to spot market using ARCH-GARCH toward primary data of coffee futures and spot prices of 1172 trading days starting from January 2014 to June 2018. The ARCH-GARCH analysis result indicates that futures price volatility and monetary variables are impacting the volatility of spot price. Arabica spot price volatility is impacted by volatility of Arabica futures price, inflation and exchange rate while Robusta spot price is impacted by Robusta futures price volatility and exchange rate. This is confirming that futures market plays dominant role in spot price discovery. Local futures and spot prices are also found to be significantly influenced by volatility of offshore futures prices which indicates that emerging country futures market is actually influenced by offshore futures market which the price itself used as price reference.