Crude Palm Oil Price Fluctuation in Malaysia

Hedging Effectiveness of Crude Palm Oil Futures Market in Malaysia

This paper investigated the hedging effectiveness of crude palm oil futures market in Malaysia from January 2009 to June 2011 which traded under Bursa Malaysia Derivatives Berhad. Ordinary Least Squared (OLS) method was used to compute Minimum-Variance hedging ratio (MVHR), R-squared and hedging effectiveness by using daily data from settlement price of crude palm oil futures contracts and spot...

Price Discovery through Crude Palm Oil Futures: An Economic Evaluation

This paper examines the forward pricing efficiency of the local crude palm oil (CPO) futures market. In an efficient market, the relevant signal to be used by -the producers, traders and processors is simply the futures price. The forward pricing efficiency is measured in terms of the forecasting ability of Malaysian crude palm oil futures price on physical price. The relative predictive power ...

Crude Oil Price Determinants

Based on monthly observations, I specify an econometric model capturing the driving forces behind the crude oil price series in recent years. A large set of covariates, such as supply and demand variables as well as futures market variables, is used to test the impact on the crude oil price. Current price movements are a result of scarce refining capacity and speculators betting on higher price...

Forecasting Crude Oil Price Volatility

We use high-frequency intra-day realized volatility to evaluate the relative forecasting performance of several models for the volatility of crude oil daily spot returns. Our objective is to evaluate the predictive ability of time-invariant and Markov switching GARCH models over different horizons. Using Carasco, Hu and Ploberger (2014) test for regime switching in the mean and variance of the ...

The Oil Palm Wastes in Malaysia