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Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh.

The Tenth Malaysian Plan (RMK10) through the Economic Transformation Programme (ETP) focuses on 12 National Key Economic Areas (NKEAs). One of the key areas is the palm oil industry. Hence, this study is aimed at examining the implication of the ETP/NKEAs (pre and post) towards the crude palm oil (...

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Main Authors: Md Isa, Mohamad Azwan, Samsudin, Syamsyul, Noh, Mohd Khairul Ariff
Format: Article
Language:English
Published: Universiti Teknologi Mara Selangor 2016
Subjects:
Oils, fats, and waxes
Palm oil
Online Access:http://ir.uitm.edu.my/id/eprint/33008/1/33008.pdf
http://ir.uitm.edu.my/id/eprint/33008/
https://abrij.uitm.edu.my/images/document/vol2no1/p98-110_MohammadAzwan.pdf
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spelling my.uitm.ir.330082020-08-05T09:28:41Z http://ir.uitm.edu.my/id/eprint/33008/ Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh. Md Isa, Mohamad Azwan Samsudin, Syamsyul Noh, Mohd Khairul Ariff Oils, fats, and waxes Palm oil The Tenth Malaysian Plan (RMK10) through the Economic Transformation Programme (ETP) focuses on 12 National Key Economic Areas (NKEAs). One of the key areas is the palm oil industry. Hence, this study is aimed at examining the implication of the ETP/NKEAs (pre and post) towards the crude palm oil (CPO) and its futures (FCPO) markets. The Johansen approach and the Granger test were employed to prove the co-integration and causality respectively between both markets for the period January 2008 to May 2015. Other empirical tests including the correlation analysis and multiple regressions were also conducted in order to investigate the relationship between the CPO price with the FCPO price, trading volume and open interest. The findings from the Johansen test show that there exists a co-integration in the long run between the Malaysian CPO and FCPO markets. The Granger test result indicates that there is causality of FCPO prices on the CPO prices, but not the other way around. In addition, the Regression analysis shows that FCPO price is the only significant factor that affects CPO price whilst the other two independent variables show insignificant results. The findings would be useful to the market regulators, operators and traders in setting their policy and regulations, and also in their decision making process. Universiti Teknologi Mara Selangor 2016-06 Article PeerReviewed text en http://ir.uitm.edu.my/id/eprint/33008/1/33008.pdf Md Isa, Mohamad Azwan and Samsudin, Syamsyul and Noh, Mohd Khairul Ariff (2016) Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh. Advances in Business Research International Journal, 2 (1). pp. 1-13. ISSN 2462-1838 https://abrij.uitm.edu.my/images/document/vol2no1/p98-110_MohammadAzwan.pdf
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
topic Oils, fats, and waxes
Palm oil
spellingShingle Oils, fats, and waxes
Palm oil
Md Isa, Mohamad Azwan
Samsudin, Syamsyul
Noh, Mohd Khairul Ariff
Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh.
description The Tenth Malaysian Plan (RMK10) through the Economic Transformation Programme (ETP) focuses on 12 National Key Economic Areas (NKEAs). One of the key areas is the palm oil industry. Hence, this study is aimed at examining the implication of the ETP/NKEAs (pre and post) towards the crude palm oil (CPO) and its futures (FCPO) markets. The Johansen approach and the Granger test were employed to prove the co-integration and causality respectively between both markets for the period January 2008 to May 2015. Other empirical tests including the correlation analysis and multiple regressions were also conducted in order to investigate the relationship between the CPO price with the FCPO price, trading volume and open interest. The findings from the Johansen test show that there exists a co-integration in the long run between the Malaysian CPO and FCPO markets. The Granger test result indicates that there is causality of FCPO prices on the CPO prices, but not the other way around. In addition, the Regression analysis shows that FCPO price is the only significant factor that affects CPO price whilst the other two independent variables show insignificant results. The findings would be useful to the market regulators, operators and traders in setting their policy and regulations, and also in their decision making process.
format Article
author Md Isa, Mohamad Azwan
Samsudin, Syamsyul
Noh, Mohd Khairul Ariff
author_facet Md Isa, Mohamad Azwan
Samsudin, Syamsyul
Noh, Mohd Khairul Ariff
author_sort Md Isa, Mohamad Azwan
title Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh.
title_short Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh.
title_full Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh.
title_fullStr Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh.
title_full_unstemmed Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh.
title_sort co-integration and causality between the spot and futures markets: pre and post implementation of nkeas / mohamad azwan md isa, syamsyul samsudin and mohd khairul ariff noh.
publisher Universiti Teknologi Mara Selangor
publishDate 2016
url http://ir.uitm.edu.my/id/eprint/33008/1/33008.pdf
http://ir.uitm.edu.my/id/eprint/33008/
https://abrij.uitm.edu.my/images/document/vol2no1/p98-110_MohammadAzwan.pdf
_version_ 1685651001058525184
score 13.211869

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