[Tujuan penelitian adalah untuk mengidentifikasi kemungkinan lindung nilai harga komoditas batubara melalui saham perusahaan tambang batubara menggunakan kointegrasi. Penelitian ini menggunakan perusahaan operator pembangkit listrik berbahan bakar batubara sebagai pihak yang terkena paparan risiko harga komoditas batubara. Pengujian kointegrasi menggunakan panel kointegrasi untuk memastikan generalisasi kointegrasi antara variabel-variable tersebut. Hasil daripenelitian ini menunjukkan adanya indikasi kointegrasi jangka panjang dan jangka pendek diantara variabel-variabel. Pengujian terhadap model lindung nilai memberikan indikasi kemungkinan penggunaan saham perusahaan tambang batubara untuk dijadikan lindung nilai atas harga komoditas batubara;The aim of this studi to identifiy hedge possibility of coal commodity throught coal mines stock using panel cointegration. This study use coal power plant company as entity that exposured by coal price risk. Cointegration test use panel cointegration to ensure generalization of the study between variables. Cointegration test between variables show indication the existance of cointegration. This study show that there is possibilty to use coal mines stock to hedge coal price risk., The aim of this studi to identifiy hedge possibility of coal commodity throught coal mines stock using panel cointegration. This study use coal power plant company as entity that exposured by coal price risk. Cointegration test use panel cointegration to ensure generalization of the study between variables. Cointegration test between variables show indication the existance of cointegration. This study show that there is possibilty to use coal mines stock to hedge coal price risk.]