Long-run relationship between Malaysian crude palm oil spot and futures market
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 ap...
| Main Authors: | , |
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| Format: | Proceeding Paper |
| Language: | English |
| Published: |
2014
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/39580/ http://irep.iium.edu.my/39580/1/Long_Run_Relationship_CPO_Spot_Futures_IREP.pdf |
| _version_ | 1848781814173270016 |
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| author | Salami, Mansurat Ayojimi Haron, Razali |
| author_facet | Salami, Mansurat Ayojimi Haron, Razali |
| author_sort | Salami, Mansurat Ayojimi |
| building | IIUM Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T15:55:32Z |
| format | Proceeding Paper |
| id | iium-39580 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T15:55:32Z |
| publishDate | 2014 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-395802018-05-23T05:49:14Z http://irep.iium.edu.my/39580/ Long-run relationship between Malaysian crude palm oil spot and futures market Salami, Mansurat Ayojimi Haron, Razali HG4501 Stocks, investment, speculation 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. 2014-12-05 Proceeding Paper PeerReviewed application/pdf en http://irep.iium.edu.my/39580/1/Long_Run_Relationship_CPO_Spot_Futures_IREP.pdf 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. |
| spellingShingle | HG4501 Stocks, investment, speculation Salami, Mansurat Ayojimi Haron, Razali Long-run relationship between Malaysian crude palm oil spot and futures market |
| title | Long-run relationship between Malaysian crude palm oil spot and futures market |
| title_full | Long-run relationship between Malaysian crude palm oil spot and futures market |
| title_fullStr | Long-run relationship between Malaysian crude palm oil spot and futures market |
| title_full_unstemmed | Long-run relationship between Malaysian crude palm oil spot and futures market |
| title_short | Long-run relationship between Malaysian crude palm oil spot and futures market |
| title_sort | long-run relationship between malaysian crude palm oil spot and futures market |
| topic | HG4501 Stocks, investment, speculation |
| url | http://irep.iium.edu.my/39580/ http://irep.iium.edu.my/39580/1/Long_Run_Relationship_CPO_Spot_Futures_IREP.pdf |