Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh.

The Tenth Malaysian Plan (RMK10) through the Economic Transformation Programme (ETP) focuses on 12 National Key Economic Areas (NKEAs). One of the key areas is the palm oil industry. Hence, this study is aimed at examining the implication of the ETP/NKEAs (pre and post) towards the crude palm oil (...

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Main Authors:	Md Isa, Mohamad Azwan, Samsudin, Syamsyul, Noh, Mohd Khairul Ariff
Format:	Article
Language:	English
Published:	Universiti Teknologi Mara Selangor 2016
Subjects:	Oils, fats, and waxes Palm oil
Online Access:	https://ir.uitm.edu.my/id/eprint/33008/

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author	Md Isa, Mohamad Azwan Samsudin, Syamsyul Noh, Mohd Khairul Ariff
author_facet	Md Isa, Mohamad Azwan Samsudin, Syamsyul Noh, Mohd Khairul Ariff
author_sort	Md Isa, Mohamad Azwan
building	UiTM Institutional Repository
collection	Online Access
description	The Tenth Malaysian Plan (RMK10) through the Economic Transformation Programme (ETP) focuses on 12 National Key Economic Areas (NKEAs). One of the key areas is the palm oil industry. Hence, this study is aimed at examining the implication of the ETP/NKEAs (pre and post) towards the crude palm oil (CPO) and its futures (FCPO) markets. The Johansen approach and the Granger test were employed to prove the co-integration and causality respectively between both markets for the period January 2008 to May 2015. Other empirical tests including the correlation analysis and multiple regressions were also conducted in order to investigate the relationship between the CPO price with the FCPO price, trading volume and open interest. The findings from the Johansen test show that there exists a co-integration in the long run between the Malaysian CPO and FCPO markets. The Granger test result indicates that there is causality of FCPO prices on the CPO prices, but not the other way around. In addition, the Regression analysis shows that FCPO price is the only significant factor that affects CPO price whilst the other two independent variables show insignificant results. The findings would be useful to the market regulators, operators and traders in setting their policy and regulations, and also in their decision making process.
first_indexed	2025-11-14T22:54:28Z
format	Article
id	uitm-33008
institution	Universiti Teknologi MARA
institution_category	Local University
language	English
last_indexed	2025-11-14T22:54:28Z
publishDate	2016
publisher	Universiti Teknologi Mara Selangor
recordtype	eprints
repository_type	Digital Repository
spelling	uitm-330082020-08-05T09:28:41Z https://ir.uitm.edu.my/id/eprint/33008/ Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh. abrij Md Isa, Mohamad Azwan Samsudin, Syamsyul Noh, Mohd Khairul Ariff Oils, fats, and waxes Palm oil The Tenth Malaysian Plan (RMK10) through the Economic Transformation Programme (ETP) focuses on 12 National Key Economic Areas (NKEAs). One of the key areas is the palm oil industry. Hence, this study is aimed at examining the implication of the ETP/NKEAs (pre and post) towards the crude palm oil (CPO) and its futures (FCPO) markets. The Johansen approach and the Granger test were employed to prove the co-integration and causality respectively between both markets for the period January 2008 to May 2015. Other empirical tests including the correlation analysis and multiple regressions were also conducted in order to investigate the relationship between the CPO price with the FCPO price, trading volume and open interest. The findings from the Johansen test show that there exists a co-integration in the long run between the Malaysian CPO and FCPO markets. The Granger test result indicates that there is causality of FCPO prices on the CPO prices, but not the other way around. In addition, the Regression analysis shows that FCPO price is the only significant factor that affects CPO price whilst the other two independent variables show insignificant results. The findings would be useful to the market regulators, operators and traders in setting their policy and regulations, and also in their decision making process. Universiti Teknologi Mara Selangor 2016-06 Article PeerReviewed text en https://ir.uitm.edu.my/id/eprint/33008/1/33008.pdf Md Isa, Mohamad Azwan and Samsudin, Syamsyul and Noh, Mohd Khairul Ariff (2016) Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh. (2016) Advances in Business Research International Journal <https://ir.uitm.edu.my/view/publication/Advances_in_Business_Research_International_Journal.html>, 2 (1). pp. 1-13. ISSN 2462-1838 https://abrij.uitm.edu.my/images/document/vol2no1/p98-110_MohammadAzwan.pdf
spellingShingle	Oils, fats, and waxes Palm oil Md Isa, Mohamad Azwan Samsudin, Syamsyul Noh, Mohd Khairul Ariff Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh.
title	Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh.
title_full	Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh.
title_fullStr	Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh.
title_full_unstemmed	Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh.
title_short	Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh.
title_sort	co-integration and causality between the spot and futures markets: pre and post implementation of nkeas / mohamad azwan md isa, syamsyul samsudin and mohd khairul ariff noh.
topic	Oils, fats, and waxes Palm oil
url	https://ir.uitm.edu.my/id/eprint/33008/ https://ir.uitm.edu.my/id/eprint/33008/

Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh.

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