Journal Screenshot

International Journal of Academic Research in Accounting, Finance and Management Sciences

Open Access Journal

ISSN: 2225-8329

Performance of Crude Palm Oil and Crude Palm Kernel Oil Futures in Malaysian Derivatives Market

Noriza Binti Mohd Saad, Noraini Binti Ismail, Nor Edi Azhar Binti Mohamad, Normaisarah Binti Abdul Manaf

Open access

This study investigates the performance of two contracts traded that is Futures Crude Palm Oil (hereafter refers as FCPO) and Crude Palm Kernel Oil futures (hereafter refers as FPKO) in Malaysian derivatives market. The effects of contract’s settlement, volume and open interest was analyzed towards open price (hereafter refers as price) for both contract traded. Secondary data is used, which are gathered from Bloomberg, Bursa Malaysia for N=1,296 over the period between 2006 and 2010. Overall the result revealed by regression and independent T-test shows that; the dependent variables and independent variables have a strong relationship, and the prices and volume of trading for FCPO is performed better and the most preferable contract compared to the FPKO contracts traded in Bursa Malaysia.

Azmi, O., & Shamsul, M. (2004). Improving the Price Forecast of Crude Palm Oil Futures Using Historical Return Variances. Oil Palm Industry Economics Journal, Vol. 4 (2)/2004. pp. 23-28.
Brooks, C., Davies, R. J. & Kim, S. S. (2006). Cross Hedging with Single Stock Futures. Working Paper Series at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=614004.
Chau, F., Holmes, P., & Paudyal, K. (2005). The Impact of Single Stock Futures On Feedback Trading and The Market Dynamics of the Cash Market. Working paper in Economics and Finance. No. 05/12.
Hong, X., & Jian, L. (2010). Intraday Volatility Analysis on S&P 500 Stock Index Future. International Journal of Economics and Finance.
Jones, T., & Brooks, R. (2005). An analysis of single-stock futures trading in the U.S. Financial Services Review 14(2005), pp. 85-95.
Long, S. (1995). How much can marketability Affect Security Values?. Journal of Finance : 50; pp. 1767-1764.
Zaini, M. A. K., & Chan, S. G. (2005). The Lead-lag Relationship between Stock Index Futures and Spot Market in Malaysia: A Cointegration and Error Correction Model Approach. Chulalongkorn Journal of Economics 17(1), April 2005.
Azlinna, N. A., Noryati, A., & Suhaimi, S. (2007). Is the Volatility Information Transmission Process between the Crude Palm Oil Futures Market and Its Underlying Instrument Asymmetric?. International Review of Business Research Papers Vol. 3 No.5, pp. 54-77.
Noryati, A. (2010). Impact of Automated Trading in the Crude Palm Oil Futures Market on its Underlying Spot Market, International Research Journal of Finance and Economics ISSN 1450-2887 Issue 36.
Obiyathulla, B. (2007). Single Stock Futures (Ed.) (2007). Financial Derivatives Market and Application in Malaysia. Malaysia : McGrawHill.
Obiyathulla, B., Abdul Jalil, O., and Othman, K. (1999). Issues In Stock Index Futures Introduction And Trading. Evidence From The Malaysian Index Futures Market. Online at http://mpra.ub.uni-muenchen.de/13075/ MPRA Paper No. 13075, posted 30. January 2009/10:28.
Raphael, P., & Marcel, P. (2009). Investing in Commodity Futures Markets: Can Pricing Models Help?
Rosalan, A. (1998). A Study on Use Crude Palm Oil Futures as an Effective Hedging Tool for the Malaysian Palm Oil Producer and Refiner. AAM Journal, Vol 3. No.2, pp. 33-44

In-Text Citation: (Saad et al., 2012)
To Cite this Article: Saad, N. B. M., Ismail, N. B., Mohamad, N. E. A. B., & Manaf, N. B. A. (2012). Performance of Crude Palm Oil and Crude Palm Kernel Oil Futures in Malaysian Derivatives Market. International Journal of Academic Research in Accounting Finance and Management Sciences, 2(4), 300–307.