Crude palm oil market volatility: pre and post crisis periods. Evidence from Qarch

Haron, Razali and Salami, Mansurat Ayojimi (2015) Crude palm oil market volatility: pre and post crisis periods. Evidence from Qarch. In: ASEAN International Conference on Islamic Finance (AICIF 2015), 18th-19th November 2015, Semarang, Indonesia.

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Abstract

This study aims to examine the volatility of Malaysian Crude Palm Oil (CPO) markets for it has important implication to both business communities and policy makers. This study adopted the GARCH (1,1) model and the result of the finding exhibited persistent volatility as well as volatility clustering in Malaysian CPO market. The persistent volatility implies that the percentage of market volatility is closer to unity. This reflects the frequency of occurrence of the CPO markets volatility while volatility clustering provides useful information on the broadness of the shock. Adequate understanding on the degree of volatility of the market can instigate informed decision by policy makers which may mitigate persistent uncertainty of returns. Business communities will consistently be alert on market volatility and ready to make sound decision on any events of the market. This study enhances the understanding on commodity market volatility by quantifying the half-life of decay of the shock in the market and contributes to the literature by providing in sight information on the volatility of the market.

Item Type:	Conference or Workshop Item (Plenary Papers)
Additional Information:	4581/45878
Uncontrolled Keywords:	CPO, Volatility, GARCH (1, 1)
Subjects:	H Social Sciences > H Social Sciences (General) > H61 Theory. Method H Social Sciences > HG Finance
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Institute of Islamic Banking & Finance (IIiBF)
Depositing User:	Dr. Razali Haron
Date Deposited:	30 Nov 2015 10:39
Last Modified:	24 May 2016 10:43
URI:	http://irep.iium.edu.my/id/eprint/45878

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