Spillover Effects in the Malaysian Palm Oil Futures and Cash Markets

This paper examines the intertemporal information transmission mechanism between the palm oil futures market and the physical cash market in Malaysia. It is shown that as an important feature in the emerging futures market, the spillover effects between the two markets are bi-directional and the rol...

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Bibliographic Details
Published in:Malaysian journal of economic studies 2003-06, Vol.40 (1/2), p.89
Main Authors: Feng, Sonia X B, Lin, Sharon X W, Ho, Daniel
Format: Article
Language:English
Subjects:
Agricultural commodities
Causality
Economic models
Economic theory
Error correction & detection
Financial futures
Futures market
Futures trading
Leadership
Literature reviews
Oils & fats
Prices
Securities markets
Stochastic models
Stock exchanges
Stock market crashes
Time series
Vegetable oils
Volatility
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Summary:This paper examines the intertemporal information transmission mechanism between the palm oil futures market and the physical cash market in Malaysia. It is shown that as an important feature in the emerging futures market, the spillover effects between the two markets are bi-directional and the role of the price leader is not identifiable. The results from standard GARCH model estimation, vector error correction modeling, Granger causality test and superexogeneity test are consistent with the finding. [PUBLICATION ABSTRACT]
ISSN:1511-4554