Nuryasmin Wahida, Hamil (2018) Interdependence between Agricultural Futures: Evidence from Malaysian Physical CPO and CBOT Futures. INTI JOURNAL, 2018 (35). ISSN e2600-7320
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Abstract
Since palm oil and palm oil-based products remain as Malaysia’s largest contributor in terms of export earnings, this paper will focus on the price of Malaysian crude palm oil (CPO) paired together with Chicago Board of Trade (CBOT) agricultures futures commodities which include Soybean (SOY), Corn (CORN) and Soybean Oil (BO). All prices are then converted into return form. In order to identify the interdependence of both spot and future commodities, Vector Error Correction Model (VECM) approach have been used on the data. This paper also will show how Unit Root Test and Johansen Cointegration Test have been applied to this time series data.
| Item Type: | Article |
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| Uncontrolled Keywords: | Crude palm oil, soybean, corn, soybean oil, CBOT, interdependence, VECM |
| Subjects: | Q Science > Q Science (General) S Agriculture > SB Plant culture |
| Divisions: | Faculty of Health & Life Sciences |
| Depositing User: | Unnamed user with email masilah.mansor@newinti.edu.my |
| Date Deposited: | 10 May 2021 07:56 |
| Last Modified: | 10 May 2021 07:56 |
| URI: | http://eprints.intimal.edu.my/id/eprint/1499 |
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