Long-term relationship of crude palm oil commodity pricing under structural break
Purpose - The purpose of this paper is to examine the pricing efficiency of the Malaysian crude palm oil (CPO) market before and after the structural break. This study uses the daily closing price of CPO and CPO futures (CPO-F) for the period ranging from June 2009 to August 2016 while taking struct...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Salami, Monsurat Ayojimi - 1972- [verfasserIn] Bin Haron, Razali - 1967- [verfasserIn] |
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| Format: |
E-Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2018 |
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| Übergeordnetes Werk: |
Enthalten in: Journal of capital markets studies - Bingley : Emerald, 2017, 2(2018), 2, Seite 162-174 |
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| Übergeordnetes Werk: |
volume:2 ; year:2018 ; number:2 ; pages:162-174 |
| Links: |
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| DOI / URN: |
10.1108/JCMS-09-2018-0032 |
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| Katalog-ID: |
1680626930 |
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| 520 | |a Purpose - The purpose of this paper is to examine the pricing efficiency of the Malaysian crude palm oil (CPO) market before and after the structural break. This study uses the daily closing price of CPO and CPO futures (CPO-F) for the period ranging from June 2009 to August 2016 while taking structural breaks into account. Design/methodology/approach - In this study, symmetric and asymmetric long-run relationship model are employed, such as the Johansen cointegration, VECM, TAR and M-TAR models, to examine the impact of structural breaks on the pricing efficiency of the Malaysian CPO market. Findings - This finding establish that Malaysian CPO price is efficient before and after the structural break. The consistent efficiency of the Malaysian CPO market supports the trading of the CPO-F in Globex and the use of Malaysian CPO pricing as the reference price. This study establishes that a structural break in the Malaysian CPO price series does not affect the pricing efficiency of the market. Research limitations/implications - This study shows that using Malaysian CPO price as a reference price is sustainable even in the event of a structural break. Therefore, market participants in the Malaysian CPO market have less to worry about the CPO price as it supports the weak form of efficiency. Price deviation in the short run may not lead to arbitrage profit as transaction cost may not be covered. Practical implications - This study implies that if there is distortion in the price due to shocks, both manufacturers and producers need to hedge their positions in the futures market (subject to their positions in the underlying market). By entering into the futures market, pricing is locked in advance; hence, price risk is eliminated. Such a distortion could also affect the efficiency of the CPO price, therefore this study also addresses the issue of efficiency of the local CPO market. Originality/value - Previous studies on Malaysian CPO pricing efficiency did not take the effect of structural break into consideration, making it difficult for these studies to show consistency in the efficiency of the Malaysian CPO market. | ||
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10.1108/JCMS-09-2018-0032 doi (DE-627)1680626930 (DE-599)KXP1680626930 DE-627 ger DE-627 rda eng Salami, Monsurat Ayojimi 1972- verfasserin (DE-588)1198275022 (DE-627)1680627503 aut Long-term relationship of crude palm oil commodity pricing under structural break Monsurat Ayojimi Salami and Razali Haron 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Purpose - The purpose of this paper is to examine the pricing efficiency of the Malaysian crude palm oil (CPO) market before and after the structural break. This study uses the daily closing price of CPO and CPO futures (CPO-F) for the period ranging from June 2009 to August 2016 while taking structural breaks into account. Design/methodology/approach - In this study, symmetric and asymmetric long-run relationship model are employed, such as the Johansen cointegration, VECM, TAR and M-TAR models, to examine the impact of structural breaks on the pricing efficiency of the Malaysian CPO market. Findings - This finding establish that Malaysian CPO price is efficient before and after the structural break. The consistent efficiency of the Malaysian CPO market supports the trading of the CPO-F in Globex and the use of Malaysian CPO pricing as the reference price. This study establishes that a structural break in the Malaysian CPO price series does not affect the pricing efficiency of the market. Research limitations/implications - This study shows that using Malaysian CPO price as a reference price is sustainable even in the event of a structural break. Therefore, market participants in the Malaysian CPO market have less to worry about the CPO price as it supports the weak form of efficiency. Price deviation in the short run may not lead to arbitrage profit as transaction cost may not be covered. Practical implications - This study implies that if there is distortion in the price due to shocks, both manufacturers and producers need to hedge their positions in the futures market (subject to their positions in the underlying market). By entering into the futures market, pricing is locked in advance; hence, price risk is eliminated. Such a distortion could also affect the efficiency of the CPO price, therefore this study also addresses the issue of efficiency of the local CPO market. Originality/value - Previous studies on Malaysian CPO pricing efficiency did not take the effect of structural break into consideration, making it difficult for these studies to show consistency in the efficiency of the Malaysian CPO market. Bin Haron, Razali 1967- verfasserin (DE-588)121700257X (DE-627)1728768845 (DE-576)495170585 aut Enthalten in Journal of capital markets studies Bingley : Emerald, 2017 2(2018), 2, Seite 162-174 Online-Ressource (DE-627)1013853148 (DE-600)2919974-8 (DE-576)49981424X 2514-4774 nnns volume:2 year:2018 number:2 pages:162-174 https://doi.org/10.1108/JCMS-09-2018-0032 Resolving-System kostenfrei https://www.emerald.com/insight/content/doi/10.1108/JCMS-09-2018-0032/full/pdf?title=long-term-relationship-of-crude-palm-oil-commodity-pricing-under-structural-break Verlag kostenfrei https://creativecommons.org/licenses/by/4.0/legalcode Verlag Terms of use GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 2 2018 2 162-174 26 01 0206 3531008447 x1k 29-10-19 2403 01 DE-LFER 3596637538 00 --%%-- --%%-- n --%%-- l01 18-02-20 2403 01 DE-LFER https://doi.org/10.1108/JCMS-09-2018-0032 2403 01 DE-LFER https://www.emerald.com/insight/content/doi/10.1108/JCMS-09-2018-0032/full/pdf?title=long-term-relationship-of-crude-palm-oil-commodity-pricing-under-structural-break 26 00 DE-206 56 Malaysian CPO and CPO-F 26 00 DE-206 56 Symmetric and asymmetric models 26 00 DE-206 56 Pricing efficiency and structural break 26 00 DE-206 56 VECM and TAR model |
| spelling |
10.1108/JCMS-09-2018-0032 doi (DE-627)1680626930 (DE-599)KXP1680626930 DE-627 ger DE-627 rda eng Salami, Monsurat Ayojimi 1972- verfasserin (DE-588)1198275022 (DE-627)1680627503 aut Long-term relationship of crude palm oil commodity pricing under structural break Monsurat Ayojimi Salami and Razali Haron 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Purpose - The purpose of this paper is to examine the pricing efficiency of the Malaysian crude palm oil (CPO) market before and after the structural break. This study uses the daily closing price of CPO and CPO futures (CPO-F) for the period ranging from June 2009 to August 2016 while taking structural breaks into account. Design/methodology/approach - In this study, symmetric and asymmetric long-run relationship model are employed, such as the Johansen cointegration, VECM, TAR and M-TAR models, to examine the impact of structural breaks on the pricing efficiency of the Malaysian CPO market. Findings - This finding establish that Malaysian CPO price is efficient before and after the structural break. The consistent efficiency of the Malaysian CPO market supports the trading of the CPO-F in Globex and the use of Malaysian CPO pricing as the reference price. This study establishes that a structural break in the Malaysian CPO price series does not affect the pricing efficiency of the market. Research limitations/implications - This study shows that using Malaysian CPO price as a reference price is sustainable even in the event of a structural break. Therefore, market participants in the Malaysian CPO market have less to worry about the CPO price as it supports the weak form of efficiency. Price deviation in the short run may not lead to arbitrage profit as transaction cost may not be covered. Practical implications - This study implies that if there is distortion in the price due to shocks, both manufacturers and producers need to hedge their positions in the futures market (subject to their positions in the underlying market). By entering into the futures market, pricing is locked in advance; hence, price risk is eliminated. Such a distortion could also affect the efficiency of the CPO price, therefore this study also addresses the issue of efficiency of the local CPO market. Originality/value - Previous studies on Malaysian CPO pricing efficiency did not take the effect of structural break into consideration, making it difficult for these studies to show consistency in the efficiency of the Malaysian CPO market. Bin Haron, Razali 1967- verfasserin (DE-588)121700257X (DE-627)1728768845 (DE-576)495170585 aut Enthalten in Journal of capital markets studies Bingley : Emerald, 2017 2(2018), 2, Seite 162-174 Online-Ressource (DE-627)1013853148 (DE-600)2919974-8 (DE-576)49981424X 2514-4774 nnns volume:2 year:2018 number:2 pages:162-174 https://doi.org/10.1108/JCMS-09-2018-0032 Resolving-System kostenfrei https://www.emerald.com/insight/content/doi/10.1108/JCMS-09-2018-0032/full/pdf?title=long-term-relationship-of-crude-palm-oil-commodity-pricing-under-structural-break Verlag kostenfrei https://creativecommons.org/licenses/by/4.0/legalcode Verlag Terms of use GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 2 2018 2 162-174 26 01 0206 3531008447 x1k 29-10-19 2403 01 DE-LFER 3596637538 00 --%%-- --%%-- n --%%-- l01 18-02-20 2403 01 DE-LFER https://doi.org/10.1108/JCMS-09-2018-0032 2403 01 DE-LFER https://www.emerald.com/insight/content/doi/10.1108/JCMS-09-2018-0032/full/pdf?title=long-term-relationship-of-crude-palm-oil-commodity-pricing-under-structural-break 26 00 DE-206 56 Malaysian CPO and CPO-F 26 00 DE-206 56 Symmetric and asymmetric models 26 00 DE-206 56 Pricing efficiency and structural break 26 00 DE-206 56 VECM and TAR model |
| allfields_unstemmed |
10.1108/JCMS-09-2018-0032 doi (DE-627)1680626930 (DE-599)KXP1680626930 DE-627 ger DE-627 rda eng Salami, Monsurat Ayojimi 1972- verfasserin (DE-588)1198275022 (DE-627)1680627503 aut Long-term relationship of crude palm oil commodity pricing under structural break Monsurat Ayojimi Salami and Razali Haron 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Purpose - The purpose of this paper is to examine the pricing efficiency of the Malaysian crude palm oil (CPO) market before and after the structural break. This study uses the daily closing price of CPO and CPO futures (CPO-F) for the period ranging from June 2009 to August 2016 while taking structural breaks into account. Design/methodology/approach - In this study, symmetric and asymmetric long-run relationship model are employed, such as the Johansen cointegration, VECM, TAR and M-TAR models, to examine the impact of structural breaks on the pricing efficiency of the Malaysian CPO market. Findings - This finding establish that Malaysian CPO price is efficient before and after the structural break. The consistent efficiency of the Malaysian CPO market supports the trading of the CPO-F in Globex and the use of Malaysian CPO pricing as the reference price. This study establishes that a structural break in the Malaysian CPO price series does not affect the pricing efficiency of the market. Research limitations/implications - This study shows that using Malaysian CPO price as a reference price is sustainable even in the event of a structural break. Therefore, market participants in the Malaysian CPO market have less to worry about the CPO price as it supports the weak form of efficiency. Price deviation in the short run may not lead to arbitrage profit as transaction cost may not be covered. Practical implications - This study implies that if there is distortion in the price due to shocks, both manufacturers and producers need to hedge their positions in the futures market (subject to their positions in the underlying market). By entering into the futures market, pricing is locked in advance; hence, price risk is eliminated. Such a distortion could also affect the efficiency of the CPO price, therefore this study also addresses the issue of efficiency of the local CPO market. Originality/value - Previous studies on Malaysian CPO pricing efficiency did not take the effect of structural break into consideration, making it difficult for these studies to show consistency in the efficiency of the Malaysian CPO market. Bin Haron, Razali 1967- verfasserin (DE-588)121700257X (DE-627)1728768845 (DE-576)495170585 aut Enthalten in Journal of capital markets studies Bingley : Emerald, 2017 2(2018), 2, Seite 162-174 Online-Ressource (DE-627)1013853148 (DE-600)2919974-8 (DE-576)49981424X 2514-4774 nnns volume:2 year:2018 number:2 pages:162-174 https://doi.org/10.1108/JCMS-09-2018-0032 Resolving-System kostenfrei https://www.emerald.com/insight/content/doi/10.1108/JCMS-09-2018-0032/full/pdf?title=long-term-relationship-of-crude-palm-oil-commodity-pricing-under-structural-break Verlag kostenfrei https://creativecommons.org/licenses/by/4.0/legalcode Verlag Terms of use GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 2 2018 2 162-174 26 01 0206 3531008447 x1k 29-10-19 2403 01 DE-LFER 3596637538 00 --%%-- --%%-- n --%%-- l01 18-02-20 2403 01 DE-LFER https://doi.org/10.1108/JCMS-09-2018-0032 2403 01 DE-LFER https://www.emerald.com/insight/content/doi/10.1108/JCMS-09-2018-0032/full/pdf?title=long-term-relationship-of-crude-palm-oil-commodity-pricing-under-structural-break 26 00 DE-206 56 Malaysian CPO and CPO-F 26 00 DE-206 56 Symmetric and asymmetric models 26 00 DE-206 56 Pricing efficiency and structural break 26 00 DE-206 56 VECM and TAR model |
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10.1108/JCMS-09-2018-0032 doi (DE-627)1680626930 (DE-599)KXP1680626930 DE-627 ger DE-627 rda eng Salami, Monsurat Ayojimi 1972- verfasserin (DE-588)1198275022 (DE-627)1680627503 aut Long-term relationship of crude palm oil commodity pricing under structural break Monsurat Ayojimi Salami and Razali Haron 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Purpose - The purpose of this paper is to examine the pricing efficiency of the Malaysian crude palm oil (CPO) market before and after the structural break. This study uses the daily closing price of CPO and CPO futures (CPO-F) for the period ranging from June 2009 to August 2016 while taking structural breaks into account. Design/methodology/approach - In this study, symmetric and asymmetric long-run relationship model are employed, such as the Johansen cointegration, VECM, TAR and M-TAR models, to examine the impact of structural breaks on the pricing efficiency of the Malaysian CPO market. Findings - This finding establish that Malaysian CPO price is efficient before and after the structural break. The consistent efficiency of the Malaysian CPO market supports the trading of the CPO-F in Globex and the use of Malaysian CPO pricing as the reference price. This study establishes that a structural break in the Malaysian CPO price series does not affect the pricing efficiency of the market. Research limitations/implications - This study shows that using Malaysian CPO price as a reference price is sustainable even in the event of a structural break. Therefore, market participants in the Malaysian CPO market have less to worry about the CPO price as it supports the weak form of efficiency. Price deviation in the short run may not lead to arbitrage profit as transaction cost may not be covered. Practical implications - This study implies that if there is distortion in the price due to shocks, both manufacturers and producers need to hedge their positions in the futures market (subject to their positions in the underlying market). By entering into the futures market, pricing is locked in advance; hence, price risk is eliminated. Such a distortion could also affect the efficiency of the CPO price, therefore this study also addresses the issue of efficiency of the local CPO market. Originality/value - Previous studies on Malaysian CPO pricing efficiency did not take the effect of structural break into consideration, making it difficult for these studies to show consistency in the efficiency of the Malaysian CPO market. Bin Haron, Razali 1967- verfasserin (DE-588)121700257X (DE-627)1728768845 (DE-576)495170585 aut Enthalten in Journal of capital markets studies Bingley : Emerald, 2017 2(2018), 2, Seite 162-174 Online-Ressource (DE-627)1013853148 (DE-600)2919974-8 (DE-576)49981424X 2514-4774 nnns volume:2 year:2018 number:2 pages:162-174 https://doi.org/10.1108/JCMS-09-2018-0032 Resolving-System kostenfrei https://www.emerald.com/insight/content/doi/10.1108/JCMS-09-2018-0032/full/pdf?title=long-term-relationship-of-crude-palm-oil-commodity-pricing-under-structural-break Verlag kostenfrei https://creativecommons.org/licenses/by/4.0/legalcode Verlag Terms of use GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 2 2018 2 162-174 26 01 0206 3531008447 x1k 29-10-19 2403 01 DE-LFER 3596637538 00 --%%-- --%%-- n --%%-- l01 18-02-20 2403 01 DE-LFER https://doi.org/10.1108/JCMS-09-2018-0032 2403 01 DE-LFER https://www.emerald.com/insight/content/doi/10.1108/JCMS-09-2018-0032/full/pdf?title=long-term-relationship-of-crude-palm-oil-commodity-pricing-under-structural-break 26 00 DE-206 56 Malaysian CPO and CPO-F 26 00 DE-206 56 Symmetric and asymmetric models 26 00 DE-206 56 Pricing efficiency and structural break 26 00 DE-206 56 VECM and TAR model |
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10.1108/JCMS-09-2018-0032 doi (DE-627)1680626930 (DE-599)KXP1680626930 DE-627 ger DE-627 rda eng Salami, Monsurat Ayojimi 1972- verfasserin (DE-588)1198275022 (DE-627)1680627503 aut Long-term relationship of crude palm oil commodity pricing under structural break Monsurat Ayojimi Salami and Razali Haron 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Purpose - The purpose of this paper is to examine the pricing efficiency of the Malaysian crude palm oil (CPO) market before and after the structural break. This study uses the daily closing price of CPO and CPO futures (CPO-F) for the period ranging from June 2009 to August 2016 while taking structural breaks into account. Design/methodology/approach - In this study, symmetric and asymmetric long-run relationship model are employed, such as the Johansen cointegration, VECM, TAR and M-TAR models, to examine the impact of structural breaks on the pricing efficiency of the Malaysian CPO market. Findings - This finding establish that Malaysian CPO price is efficient before and after the structural break. The consistent efficiency of the Malaysian CPO market supports the trading of the CPO-F in Globex and the use of Malaysian CPO pricing as the reference price. This study establishes that a structural break in the Malaysian CPO price series does not affect the pricing efficiency of the market. Research limitations/implications - This study shows that using Malaysian CPO price as a reference price is sustainable even in the event of a structural break. Therefore, market participants in the Malaysian CPO market have less to worry about the CPO price as it supports the weak form of efficiency. Price deviation in the short run may not lead to arbitrage profit as transaction cost may not be covered. Practical implications - This study implies that if there is distortion in the price due to shocks, both manufacturers and producers need to hedge their positions in the futures market (subject to their positions in the underlying market). By entering into the futures market, pricing is locked in advance; hence, price risk is eliminated. Such a distortion could also affect the efficiency of the CPO price, therefore this study also addresses the issue of efficiency of the local CPO market. Originality/value - Previous studies on Malaysian CPO pricing efficiency did not take the effect of structural break into consideration, making it difficult for these studies to show consistency in the efficiency of the Malaysian CPO market. Bin Haron, Razali 1967- verfasserin (DE-588)121700257X (DE-627)1728768845 (DE-576)495170585 aut Enthalten in Journal of capital markets studies Bingley : Emerald, 2017 2(2018), 2, Seite 162-174 Online-Ressource (DE-627)1013853148 (DE-600)2919974-8 (DE-576)49981424X 2514-4774 nnns volume:2 year:2018 number:2 pages:162-174 https://doi.org/10.1108/JCMS-09-2018-0032 Resolving-System kostenfrei https://www.emerald.com/insight/content/doi/10.1108/JCMS-09-2018-0032/full/pdf?title=long-term-relationship-of-crude-palm-oil-commodity-pricing-under-structural-break Verlag kostenfrei https://creativecommons.org/licenses/by/4.0/legalcode Verlag Terms of use GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 2 2018 2 162-174 26 01 0206 3531008447 x1k 29-10-19 2403 01 DE-LFER 3596637538 00 --%%-- --%%-- n --%%-- l01 18-02-20 2403 01 DE-LFER https://doi.org/10.1108/JCMS-09-2018-0032 2403 01 DE-LFER https://www.emerald.com/insight/content/doi/10.1108/JCMS-09-2018-0032/full/pdf?title=long-term-relationship-of-crude-palm-oil-commodity-pricing-under-structural-break 26 00 DE-206 56 Malaysian CPO and CPO-F 26 00 DE-206 56 Symmetric and asymmetric models 26 00 DE-206 56 Pricing efficiency and structural break 26 00 DE-206 56 VECM and TAR model |
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Long-term relationship of crude palm oil commodity pricing under structural break |
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Purpose - The purpose of this paper is to examine the pricing efficiency of the Malaysian crude palm oil (CPO) market before and after the structural break. This study uses the daily closing price of CPO and CPO futures (CPO-F) for the period ranging from June 2009 to August 2016 while taking structural breaks into account. Design/methodology/approach - In this study, symmetric and asymmetric long-run relationship model are employed, such as the Johansen cointegration, VECM, TAR and M-TAR models, to examine the impact of structural breaks on the pricing efficiency of the Malaysian CPO market. Findings - This finding establish that Malaysian CPO price is efficient before and after the structural break. The consistent efficiency of the Malaysian CPO market supports the trading of the CPO-F in Globex and the use of Malaysian CPO pricing as the reference price. This study establishes that a structural break in the Malaysian CPO price series does not affect the pricing efficiency of the market. Research limitations/implications - This study shows that using Malaysian CPO price as a reference price is sustainable even in the event of a structural break. Therefore, market participants in the Malaysian CPO market have less to worry about the CPO price as it supports the weak form of efficiency. Price deviation in the short run may not lead to arbitrage profit as transaction cost may not be covered. Practical implications - This study implies that if there is distortion in the price due to shocks, both manufacturers and producers need to hedge their positions in the futures market (subject to their positions in the underlying market). By entering into the futures market, pricing is locked in advance; hence, price risk is eliminated. Such a distortion could also affect the efficiency of the CPO price, therefore this study also addresses the issue of efficiency of the local CPO market. Originality/value - Previous studies on Malaysian CPO pricing efficiency did not take the effect of structural break into consideration, making it difficult for these studies to show consistency in the efficiency of the Malaysian CPO market. |
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Purpose - The purpose of this paper is to examine the pricing efficiency of the Malaysian crude palm oil (CPO) market before and after the structural break. This study uses the daily closing price of CPO and CPO futures (CPO-F) for the period ranging from June 2009 to August 2016 while taking structural breaks into account. Design/methodology/approach - In this study, symmetric and asymmetric long-run relationship model are employed, such as the Johansen cointegration, VECM, TAR and M-TAR models, to examine the impact of structural breaks on the pricing efficiency of the Malaysian CPO market. Findings - This finding establish that Malaysian CPO price is efficient before and after the structural break. The consistent efficiency of the Malaysian CPO market supports the trading of the CPO-F in Globex and the use of Malaysian CPO pricing as the reference price. This study establishes that a structural break in the Malaysian CPO price series does not affect the pricing efficiency of the market. Research limitations/implications - This study shows that using Malaysian CPO price as a reference price is sustainable even in the event of a structural break. Therefore, market participants in the Malaysian CPO market have less to worry about the CPO price as it supports the weak form of efficiency. Price deviation in the short run may not lead to arbitrage profit as transaction cost may not be covered. Practical implications - This study implies that if there is distortion in the price due to shocks, both manufacturers and producers need to hedge their positions in the futures market (subject to their positions in the underlying market). By entering into the futures market, pricing is locked in advance; hence, price risk is eliminated. Such a distortion could also affect the efficiency of the CPO price, therefore this study also addresses the issue of efficiency of the local CPO market. Originality/value - Previous studies on Malaysian CPO pricing efficiency did not take the effect of structural break into consideration, making it difficult for these studies to show consistency in the efficiency of the Malaysian CPO market. |
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Purpose - The purpose of this paper is to examine the pricing efficiency of the Malaysian crude palm oil (CPO) market before and after the structural break. This study uses the daily closing price of CPO and CPO futures (CPO-F) for the period ranging from June 2009 to August 2016 while taking structural breaks into account. Design/methodology/approach - In this study, symmetric and asymmetric long-run relationship model are employed, such as the Johansen cointegration, VECM, TAR and M-TAR models, to examine the impact of structural breaks on the pricing efficiency of the Malaysian CPO market. Findings - This finding establish that Malaysian CPO price is efficient before and after the structural break. The consistent efficiency of the Malaysian CPO market supports the trading of the CPO-F in Globex and the use of Malaysian CPO pricing as the reference price. This study establishes that a structural break in the Malaysian CPO price series does not affect the pricing efficiency of the market. Research limitations/implications - This study shows that using Malaysian CPO price as a reference price is sustainable even in the event of a structural break. Therefore, market participants in the Malaysian CPO market have less to worry about the CPO price as it supports the weak form of efficiency. Price deviation in the short run may not lead to arbitrage profit as transaction cost may not be covered. Practical implications - This study implies that if there is distortion in the price due to shocks, both manufacturers and producers need to hedge their positions in the futures market (subject to their positions in the underlying market). By entering into the futures market, pricing is locked in advance; hence, price risk is eliminated. Such a distortion could also affect the efficiency of the CPO price, therefore this study also addresses the issue of efficiency of the local CPO market. Originality/value - Previous studies on Malaysian CPO pricing efficiency did not take the effect of structural break into consideration, making it difficult for these studies to show consistency in the efficiency of the Malaysian CPO market. |
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