An empirical evaluation of hedging effectiveness of crude palm oil futures market in Malaysia

• Main Author: Islam, Mohd Aminul
• Format: Article
• Language: English
• Published: Academic Research Publishing Group 2017
• Subjects: HG Finance; HG4001 Financial management. Business finance. Corporation finance.; HG4501 Stocks, investment, speculation
• Online Access: http://irep.iium.edu.my/60394/1/Published_IJEFR.pdf; http://irep.iium.edu.my/60394/; http://arpgweb.com/pdf-files/ijefr3(11)303-314.pdf

This paper evaluates the hedging effectiveness of the Malaysian crude palm oil futures market using daily settlement prices over the periods from January 4, 2010 to August 30, 2017. Hedge ratios and the hedging effectiveness are determined by employing four competing econometric models namely: the s...