An Empirical Research on the Relationship of the Palm Oil Futures Prices between China and Malaysia

DOI

10.2991/meic-14.2014.176How to use a DOI?

Keywords

Palm oil futures price; Cointegration; Causality Tests; Variance Decomposition; Impulse Response Function

Abstract

Malaysia is a major producer and exporter of palm oil in the word while China is a major importer and consumer. In order to study the relationship of the palm oil futuers prices between Buras Malaysia Derivatives (BMD) and Dalian Commodity Exchange (DCE), this article used a series methods such as correlation coefficient, Augmented Dickey-Fuller and Johansesn Cointegration Tests, Granger Causality Tests, Variance Decomposition and Impulse Response Function. The results show that there are long-term cointegration relation and strong correlation on palm oil futuers prices between BMD and DCE. Moreover, the palm oil futuers price of BMD lead that of DCE, but the palm oil futures price of DCE do not lead that of BMD. This study further validates Malaysia has the status of world palm oil fixing prices center. It also suggests that intertemporal arbitrage and cross matket arbitrage opportunities are exist in BMD and DCE palm oil futures markets.

Copyright

© 2014, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Jing Lou
PY  - 2014/11
DA  - 2014/11
TI  - An Empirical Research on the Relationship of the Palm Oil Futures Prices between China and Malaysia
BT  - Proceedings of the 2014 International Conference on Mechatronics, Electronic, Industrial and Control Engineering
PB  - Atlantis Press
SP  - 789
EP  - 792
SN  - 2352-5401
UR  - https://doi.org/10.2991/meic-14.2014.176
DO  - 10.2991/meic-14.2014.176
ID  - Lou2014/11
ER  -