Crude palm oil market volatility: pre and post crisis periods. Evidence from Qarch

This study aims to examine the volatility of Malaysian Crude Palm Oil (CPO) markets for it has important implication to both business communities and policy makers. This study adopted the GARCH (1,1) model and the result of the finding exhibited persistent volatility as well as volatility clustering...

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Main Authors:	Haron, Razali, Salami, Mansurat Ayojimi
Format:	Conference or Workshop Item
Language:	English English
Published:	2015
Subjects:	H61 Theory. Method HG Finance
Online Access:	http://irep.iium.edu.my/45878/ http://irep.iium.edu.my/45878/2/Crude_Palm_Oil_Market_Volatility-Pre_and_Post_Crisis_Periods_Haron_R_AICIF_2015_10.pdf http://irep.iium.edu.my/45878/7/45878.pdf

id	iium-45878
recordtype	eprints
spelling	iium-458782016-05-24T02:43:56Z http://irep.iium.edu.my/45878/ Crude palm oil market volatility: pre and post crisis periods. Evidence from Qarch Haron, Razali Salami, Mansurat Ayojimi H61 Theory. Method HG Finance This study aims to examine the volatility of Malaysian Crude Palm Oil (CPO) markets for it has important implication to both business communities and policy makers. This study adopted the GARCH (1,1) model and the result of the finding exhibited persistent volatility as well as volatility clustering in Malaysian CPO market. The persistent volatility implies that the percentage of market volatility is closer to unity. This reflects the frequency of occurrence of the CPO markets volatility while volatility clustering provides useful information on the broadness of the shock. Adequate understanding on the degree of volatility of the market can instigate informed decision by policy makers which may mitigate persistent uncertainty of returns. Business communities will consistently be alert on market volatility and ready to make sound decision on any events of the market. This study enhances the understanding on commodity market volatility by quantifying the half-life of decay of the shock in the market and contributes to the literature by providing in sight information on the volatility of the market. 2015-11-18 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/45878/2/Crude_Palm_Oil_Market_Volatility-Pre_and_Post_Crisis_Periods_Haron_R_AICIF_2015_10.pdf application/pdf en http://irep.iium.edu.my/45878/7/45878.pdf Haron, Razali and Salami, Mansurat Ayojimi (2015) Crude palm oil market volatility: pre and post crisis periods. Evidence from Qarch. In: ASEAN International Conference on Islamic Finance (AICIF 2015), 18th-19th November 2015, Semarang, Indonesia.
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English
topic	H61 Theory. Method HG Finance
spellingShingle	H61 Theory. Method HG Finance Haron, Razali Salami, Mansurat Ayojimi Crude palm oil market volatility: pre and post crisis periods. Evidence from Qarch
description	This study aims to examine the volatility of Malaysian Crude Palm Oil (CPO) markets for it has important implication to both business communities and policy makers. This study adopted the GARCH (1,1) model and the result of the finding exhibited persistent volatility as well as volatility clustering in Malaysian CPO market. The persistent volatility implies that the percentage of market volatility is closer to unity. This reflects the frequency of occurrence of the CPO markets volatility while volatility clustering provides useful information on the broadness of the shock. Adequate understanding on the degree of volatility of the market can instigate informed decision by policy makers which may mitigate persistent uncertainty of returns. Business communities will consistently be alert on market volatility and ready to make sound decision on any events of the market. This study enhances the understanding on commodity market volatility by quantifying the half-life of decay of the shock in the market and contributes to the literature by providing in sight information on the volatility of the market.
format	Conference or Workshop Item
author	Haron, Razali Salami, Mansurat Ayojimi
author_facet	Haron, Razali Salami, Mansurat Ayojimi
author_sort	Haron, Razali
title	Crude palm oil market volatility: pre and post crisis periods. Evidence from Qarch
title_short	Crude palm oil market volatility: pre and post crisis periods. Evidence from Qarch
title_full	Crude palm oil market volatility: pre and post crisis periods. Evidence from Qarch
title_fullStr	Crude palm oil market volatility: pre and post crisis periods. Evidence from Qarch
title_full_unstemmed	Crude palm oil market volatility: pre and post crisis periods. Evidence from Qarch
title_sort	crude palm oil market volatility: pre and post crisis periods. evidence from qarch
publishDate	2015
url	http://irep.iium.edu.my/45878/ http://irep.iium.edu.my/45878/2/Crude_Palm_Oil_Market_Volatility-Pre_and_Post_Crisis_Periods_Haron_R_AICIF_2015_10.pdf http://irep.iium.edu.my/45878/7/45878.pdf
first_indexed	2023-09-18T21:05:18Z
last_indexed	2023-09-18T21:05:18Z
_version_	1777410893145964544

Crude palm oil market volatility: pre and post crisis periods. Evidence from Qarch

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