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Determinants on Prices of The Malaysian Crude Palm Oil Futur

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Hani Alias

on 16 December 2015

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Transcript of Determinants on Prices of The Malaysian Crude Palm Oil Futur

Determinants on Prices of The Malaysian Crude Palm Oil Futures Market
Problem Statement
Main Research Objective
Main Research Question
Scope of Study
Literature Reviews
Crude Palm Oil Spot Price
Hanihuzaimah Binti Alias
2013778469

Largest producer and exporter
Background of the Study
Type of comestible vegetable oil acquired from the fruit of the oil palm tree "Elaeis guineensis".
Bursa Malaysia Derivatives Berhad (BMDB) is the main place exchange of crude palm oil futures trading in Malaysia.
Crude palm oil is the most popular edible oil among oilseed family, due to its low cosst and broad functions .
Futures market play an important role in the price discovery and the global price benchmark.
To investigate the main factors effect on the prices of the Malaysian crude palm oil futures market
What are the main factors effect on the prices of the Malaysian crude palm oil futures market?
4 independent variables
Monthly data updated report
Sources from BMDB, MPOB and MPOC
Collected from June 2008 to August 2015
87 total observations
Time series data
Malaysian crude palm oil futures price trending chart from 2008 to 2014
Crude Palm Oil Futures Price
Positive Relationship
(Liu, 2009), (Shri Dewi A/P Applanaidu, 2011), (Rahman, 2012), (Rahman, 2013), (Ali, 1998) and (Malick Sy, 2014)
Positive Relationship
(Abdul Aziz Karia, 2013), (Aye Aye Khin, 2013), (Mad Nasir Shamsudin, 1988), (Shri Dewi A/P Applanaidu, 2011), (Africa, 2009), and (Noriza Binti Mohd Saad, 2013)
Trading Volume of Crude Palm Oil
Positive Relationship
(Ahmad, 2010) and (Ali. 1998)
Negative Relationship
(Salleh, 2006), (Go, 2012) and (Noriza Binti Mohd Saad, 2013)
Production of Crude Palm Oil
Positive Relationship
(Sonia X.B Feng, 2003), (Bala Ramasamy, 2005), (Aye Aye Khin, 2013), (Kantaporn Chuangchid, 2012) and (Mad Nasir Shamsudin, 1988)
Export of Crude Palm Oil
Positive Relationship
(Amzul, 2009), (Shahrin, 2015), (Joseph Obado, 2009), and (Abdullah, 2011)
Theoretical Framework
Crude Palm Oil Spot Price
Crude Palm Oil Futures Price
Trading Volume of Crude Palm Oil
Production of Crude Palm Oil
Export of Crude Palm Oil
Data Analysis
Stationary Test
Variables
ADF Test (p-value)
Order of Integration
FCPO
ZFCPO
SCPO
ZSCPO
TRVL
ZTRVL
PROD
ZPROD
0.2249
0.0000
I(1)
0.1809
0.0000
0.2190
0.0000
EXPT
ZEXPT
I(1)
I(1)
0.0000
0.0125
I(0)
0.0003
0.0001
I(0)
Correlation Analysis
Augmented Dickey Fuller
ZFCPO
ZSCPO
ZTRVL
ZPROD
ZEXPT
Correlation
p-value
Result
1.0000
-----
0.973800
Regression Analysis
Model 1:
Model 2(1):
Model 2(2):
0.001763
-0.313035
-0.092180
0.0000
0.9871
0.0033
0.3986
-----
Significant
Not
Significant
Significant
Not
Significant
Normality Test
Model 1
Model 2(1)
Model 2(2)
Autocorrelation
Breusch-Godfrey Serial Correlation Test
Model 1
Model 2(1)
Model 2(2)
Heteroskedasticity:
Harvey Test
COnclusion
Model 1
Model 2(1)
Model 2(2)
Ramsey RESET Test
Multicollinearity
Crude palm oil spot price has a significant relationship with crude palm oil futures price. Supported by Shri Dewi A/P Applanaidu (2011), Liu (2009) and Malick Sy (2014).
Below than 10, close to 1. None of variables have non serious multicollinearity
Reject null hypothesis: Not serially independent
Failed to reject null hypothesis : Residuals normally distributed
Reject null hypothesis: ZSCPO has a positive relationship with ZFCPO and significant correlation.
Failed to reject null hypothesis: Error term is homoscedastic (Error term have constant variance)
Model 1
Model 2(1)
Model 2(2)
Failed to reject null hypothesis: There is no misspecification of functional form
(ZFCPO, ZSCPO) positive and significant
(ZFCPO, ZTRVL) positive and not significant
(ZFCPO, ZPROD) negative and significant
(ZFCPO, ZEXPT) negative and nit significant
The End
Increase and decrease uncertainty of crude palm oil futures price due to the financial and economic factors.
Uncertainty forecasting for buyers, seller, owners of crude palm oil
Volatility of the spot price, trading volume, production and export activities.
Full transcript