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Long-run relationship between Malaysian crude palm oil spot and futures market

Salami, Mansurat Ayojimi and Haron, Razali (2014) Long-run relationship between Malaysian crude palm oil spot and futures market. In: National Research & Innovation Conference for Graduation Students in Social Sciences 2014 (GS-NRIC 2014), 5th - 7th December 2014, Port Dickson, Negeri Sembilan.

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This study aims at establishing a long-run relationship of Malaysian CPO futures market using monthly prices from March 1995 to March 2014. Unit-root and Johansen cointegration test are carried out as preliminary test, followed by Vector Error Correction Model (VECM) which is the main econometric approach adopted in this study. The result of this study indicates that Malaysian CPO futures market is efficient and long-run relationship is established between CPO spot and futures prices. Malaysian CPO futures market is found to be a good predictor of the spot market. The result also confirms that the direction of causation from futures market to spot market and this further supports by impulse response functions and variance decomposition. The findings of this study provide essential information to investors of Malaysian crude palm oil market and Malaysian policy maker in commodities markets.

Item Type: Conference or Workshop Item (UNSPECIFIED)
Additional Information: 4581/39580, ISBN:9789832408222, Proceedings of the National Research & Innovation Conference of the Graduate Students in Social Sciences 2014
Uncontrolled Keywords: Market efficiency, Long-run relationship, Causality
Subjects: H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button): Kulliyyah of Economics and Management Sciences > Department of Finance
Depositing User: Dr. Razali Haron
Date Deposited: 10 Dec 2014 09:35
Last Modified: 23 May 2018 13:49
URI: http://irep.iium.edu.my/id/eprint/39580

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