Crude palm oil market volatility: Malaysian evidence

Crude palm oil market volatility: Malaysian evidence

This study aims to examine the volatility of Malaysian Crude Palm Oil (CPO) market since it is apparent that market volatility has important implication to both investors and policy makers.This study adopted GARCH(1,1) model in examining the market volatility of Malaysian CPO commodity market. The r...

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Bibliographic Details
Main Authors: Haron, Razali, Salami, Monsurat Ayojimi
Format: Conference or Workshop Item
Language:English
Published: 2014
Subjects:
HG4501 Stocks, investment, speculation
Online Access:http://irep.iium.edu.my/39581/
http://irep.iium.edu.my/39581/
http://irep.iium.edu.my/39581/1/Crude_Palm_Oil_Market_Volatility_IREP.pdf
id iium-39581
recordtype eprints
spelling iium-395812018-05-23T05:44:55Z http://irep.iium.edu.my/39581/ Crude palm oil market volatility: Malaysian evidence Haron, Razali Salami, Monsurat Ayojimi HG4501 Stocks, investment, speculation This study aims to examine the volatility of Malaysian Crude Palm Oil (CPO) market since it is apparent that market volatility has important implication to both investors and policy makers.This study adopted GARCH(1,1) model in examining the market volatility of Malaysian CPO commodity market. The result of the finding indicated that Malaysian CPO market exhibits persistent volatility as well as volatility clustering. The persistent volatility indicates that the percentage of market volatility is closer to unity while the volatility clustering provides useful information on every event of a shock. A more informed decision may be made with adequate understanding of the degree of volatility in the Malaysian CPO market. Hence,the essence of hedging in Malaysian CPO futures market is deduced through the result of the findings. This study is different from previous studies on Malaysian CPO market as the volatility of the market is examined in detail and the half-life decay of the market volatility is also quantified. 2014-12-05 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/39581/1/Crude_Palm_Oil_Market_Volatility_IREP.pdf Haron, Razali and Salami, Monsurat Ayojimi (2014) Crude palm oil market volatility: Malaysian evidence. In: National Research & Innovation Conference for Graduate Studies in Social Sciences 2014 (GS-NRIC 2014) , 5-7th December 2014, Corus Paradise Resort, Port Dickson, Negeri Sembilan. http://submit.confbay.com/conf/gsnric2014
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
Haron, Razali
Salami, Monsurat Ayojimi
Crude palm oil market volatility: Malaysian evidence
description This study aims to examine the volatility of Malaysian Crude Palm Oil (CPO) market since it is apparent that market volatility has important implication to both investors and policy makers.This study adopted GARCH(1,1) model in examining the market volatility of Malaysian CPO commodity market. The result of the finding indicated that Malaysian CPO market exhibits persistent volatility as well as volatility clustering. The persistent volatility indicates that the percentage of market volatility is closer to unity while the volatility clustering provides useful information on every event of a shock. A more informed decision may be made with adequate understanding of the degree of volatility in the Malaysian CPO market. Hence,the essence of hedging in Malaysian CPO futures market is deduced through the result of the findings. This study is different from previous studies on Malaysian CPO market as the volatility of the market is examined in detail and the half-life decay of the market volatility is also quantified.
format Conference or Workshop Item
author Haron, Razali
Salami, Monsurat Ayojimi
author_facet Haron, Razali
Salami, Monsurat Ayojimi
author_sort Haron, Razali
title Crude palm oil market volatility: Malaysian evidence
title_short Crude palm oil market volatility: Malaysian evidence
title_full Crude palm oil market volatility: Malaysian evidence
title_fullStr Crude palm oil market volatility: Malaysian evidence
title_full_unstemmed Crude palm oil market volatility: Malaysian evidence
title_sort crude palm oil market volatility: malaysian evidence
publishDate 2014
url http://irep.iium.edu.my/39581/
http://irep.iium.edu.my/39581/
http://irep.iium.edu.my/39581/1/Crude_Palm_Oil_Market_Volatility_IREP.pdf
first_indexed 2023-09-18T20:56:54Z
last_indexed 2023-09-18T20:56:54Z
_version_ 1777410364173975552

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