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...

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Main Authors:	Salami, Mansurat Ayojimi, Haron, Razali
Format:	Conference or Workshop Item
Language:	English
Published:	2014
Subjects:	HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/39580/ http://irep.iium.edu.my/39580/1/Long_Run_Relationship_CPO_Spot_Futures_IREP.pdf

id	iium-39580
recordtype	eprints
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 Conference or Workshop Item 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.
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HG4501 Stocks, investment, speculation
spellingShingle	HG4501 Stocks, investment, speculation Salami, Mansurat Ayojimi Haron, Razali Long-run relationship between Malaysian crude palm oil spot and futures market
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.
format	Conference or Workshop Item
author	Salami, Mansurat Ayojimi Haron, Razali
author_facet	Salami, Mansurat Ayojimi Haron, Razali
author_sort	Salami, Mansurat Ayojimi
title	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_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_sort	long-run relationship between malaysian crude palm oil spot and futures market
publishDate	2014
url	http://irep.iium.edu.my/39580/ http://irep.iium.edu.my/39580/1/Long_Run_Relationship_CPO_Spot_Futures_IREP.pdf
first_indexed	2023-09-18T20:56:53Z
last_indexed	2023-09-18T20:56:53Z
_version_	1777410364030320640

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

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