Energy futures price bubbles and asset co-movements with crude palm oil futures: through the lenses of geopolitical events and speculation
The important role played by energy markets has concerned investors regarding the market’s behaviour and interconnections when seeking asset diversification strategies, which has become critical in financial analysis. This study aimed to identify price bubbles in energy futures markets and asset...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2023
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| Online Access: | http://journalarticle.ukm.my/22779/ http://journalarticle.ukm.my/22779/1/pengurusan_68_1.pdf |
| _version_ | 1848815682274197504 |
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| author | Abd Halim Ahmad, Airil Khalid, Siti Nurazira Mohd Daud, Zainudin Arsad, Mohammad Ashraful Mobin, |
| author_facet | Abd Halim Ahmad, Airil Khalid, Siti Nurazira Mohd Daud, Zainudin Arsad, Mohammad Ashraful Mobin, |
| author_sort | Abd Halim Ahmad, |
| building | UKM Institutional Repository |
| collection | Online Access |
| description | The important role played by energy markets has concerned investors regarding the market’s behaviour and
interconnections when seeking asset diversification strategies, which has become critical in financial analysis. This
study aimed to identify price bubbles in energy futures markets and asset co-movements with the crude palm oil futures
market (FCPO). This study utilised five futures indices from January 2, 2001, to October 30, 2020. Three methods
were employed to explain the behaviour of the energy futures markets: The Generalized Supremum Augmented
Dickey-Fuller (GSADF) test, the wavelet power spectrum technique and the wavelet coherence method. The findings
from the GSADF test revealed that all energy future markets indicated the presence of asset bubbles, which were
influenced by geopolitical events and speculation. The study also demonstrated the presence of periods of high
volatility across multiple horizons, which occasionally occurred around the same period as explosive price behaviour.
The results of the wavelet coherence method showed that the FCPO market had high co-movement with the Brent
crude oil (BRENT) and heating oil (HOIL) markets and, to a lesser extent, with the natural gas (NGAS) and light
sweet crude oil (WTI) markets. By linking the GSADF and wavelet approaches, the present study showed how energy
price bubbles, their volatility, and co-movements with the FCPO market were related in the presence of geopolitical
events and speculation. The present study's findings have suggested strategies regulators and investors can use to
manage investment risk and portfolio diversification. |
| first_indexed | 2025-11-15T00:53:51Z |
| format | Article |
| id | oai:generic.eprints.org:22779 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T00:53:51Z |
| publishDate | 2023 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | oai:generic.eprints.org:227792024-01-04T03:20:11Z http://journalarticle.ukm.my/22779/ Energy futures price bubbles and asset co-movements with crude palm oil futures: through the lenses of geopolitical events and speculation Abd Halim Ahmad, Airil Khalid, Siti Nurazira Mohd Daud, Zainudin Arsad, Mohammad Ashraful Mobin, The important role played by energy markets has concerned investors regarding the market’s behaviour and interconnections when seeking asset diversification strategies, which has become critical in financial analysis. This study aimed to identify price bubbles in energy futures markets and asset co-movements with the crude palm oil futures market (FCPO). This study utilised five futures indices from January 2, 2001, to October 30, 2020. Three methods were employed to explain the behaviour of the energy futures markets: The Generalized Supremum Augmented Dickey-Fuller (GSADF) test, the wavelet power spectrum technique and the wavelet coherence method. The findings from the GSADF test revealed that all energy future markets indicated the presence of asset bubbles, which were influenced by geopolitical events and speculation. The study also demonstrated the presence of periods of high volatility across multiple horizons, which occasionally occurred around the same period as explosive price behaviour. The results of the wavelet coherence method showed that the FCPO market had high co-movement with the Brent crude oil (BRENT) and heating oil (HOIL) markets and, to a lesser extent, with the natural gas (NGAS) and light sweet crude oil (WTI) markets. By linking the GSADF and wavelet approaches, the present study showed how energy price bubbles, their volatility, and co-movements with the FCPO market were related in the presence of geopolitical events and speculation. The present study's findings have suggested strategies regulators and investors can use to manage investment risk and portfolio diversification. Penerbit Universiti Kebangsaan Malaysia 2023 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/22779/1/pengurusan_68_1.pdf Abd Halim Ahmad, and Airil Khalid, and Siti Nurazira Mohd Daud, and Zainudin Arsad, and Mohammad Ashraful Mobin, (2023) Energy futures price bubbles and asset co-movements with crude palm oil futures: through the lenses of geopolitical events and speculation. Jurnal Pengurusan, 68 . pp. 1-14. ISSN 0127-2713 https://www.ukm.my/jurnalpengurusan/volume-main/jurnal-pengurusan/ |
| spellingShingle | Abd Halim Ahmad, Airil Khalid, Siti Nurazira Mohd Daud, Zainudin Arsad, Mohammad Ashraful Mobin, Energy futures price bubbles and asset co-movements with crude palm oil futures: through the lenses of geopolitical events and speculation |
| title | Energy futures price bubbles and asset co-movements with crude palm oil futures: through the lenses of geopolitical events and speculation |
| title_full | Energy futures price bubbles and asset co-movements with crude palm oil futures: through the lenses of geopolitical events and speculation |
| title_fullStr | Energy futures price bubbles and asset co-movements with crude palm oil futures: through the lenses of geopolitical events and speculation |
| title_full_unstemmed | Energy futures price bubbles and asset co-movements with crude palm oil futures: through the lenses of geopolitical events and speculation |
| title_short | Energy futures price bubbles and asset co-movements with crude palm oil futures: through the lenses of geopolitical events and speculation |
| title_sort | energy futures price bubbles and asset co-movements with crude palm oil futures: through the lenses of geopolitical events and speculation |
| url | http://journalarticle.ukm.my/22779/ http://journalarticle.ukm.my/22779/ http://journalarticle.ukm.my/22779/1/pengurusan_68_1.pdf |