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The Price Discovery of the Malaysian Crude Palm Oil Futures Markets

Author

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  • Nik Muhammad Naziman Ab Rahman
  • Abdol Samad Nawi
  • Yusrina Hayati Nik Muhd Naziman

Abstract

This paper investigates the market efficiency of the Malaysian crude palm oil prices using data for the sample period spanning from 1998:01 – 2010:12. The univariate unit root test confirms that all series are non-stationary in their levels. The Johansen multivariate test provides empirical evidence for spot and futures prices are co-integrated. This implies that the market efficiency hypothesis can be easily rejected. The Error-Correction Model (ECM) also shows that there is a dynamics relationship between spot and futures prices. This provides further evidence that the crude palm oil prices do possess the price discovery function.

Suggested Citation

  • Nik Muhammad Naziman Ab Rahman & Abdol Samad Nawi & Yusrina Hayati Nik Muhd Naziman, 2012. "The Price Discovery of the Malaysian Crude Palm Oil Futures Markets," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 2(4), pages 1-3.
    • Handle: RePEc:spt:apfiba:v:2:y:2012:i:4:f:2_4_3
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    Cited by:

    1. Nadhirah Nordin & Normadiah Daud & Mahadi Mohammad & Hashim Jusoh & Mohd Shukri Jusoh & Faizol Ismail, 2017. "Commodity Derivatives: Shariah Alternatives in Risk Management?," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 7(4), pages 232-246, April.
    2. Deborah Bentivoglio & Adele Finco & Giorgia Bucci, 2018. "Factors Affecting the Indonesian Palm Oil Market in Food and Fuel Industry: Evidence from a Time Series Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 49-57.
    3. Bentivoglio, D. & Bucci, G. & Finco, A., 2018. "Factor affecting the palm oil boom in Indonesia: a time series analysis," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277129, International Association of Agricultural Economists.

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