Factors influencing Malaysian crude palm oil futures market volatility / Nur Aynaa Mohd Nazri

• Main Author: Mohd Nazri, Nur Aynaa
• Format: Thesis
• Language: English
• Published: 2022
• Subjects: Interest rates; Foreign exchange. Foreign exchange rates; Palm oil
• Online Access: https://ir.uitm.edu.my/id/eprint/98563/1/98563.pdf; https://ir.uitm.edu.my/id/eprint/98563/

Palm crude oil futures (FCPO) fluctuating price often happen due to its derivative market volatility. The reason behind the rise of crude palm oil supply' and demand levels are out of balance, which is a major factor driving the price increase. Multiple data reports from Malaysia, one of the world's largest CPO producers, are what initially drove the price increase for CPO. It also due to the environmental impact of palm oil production such as weather, and the market price of oil substitution such as Brent crude oil and soybean oil. Sometimes, it happened driven by the concern over a supply constraint from the biggest palm oil producer in the world, Indonesia. Due to the price rally, the researcher is interested to investigate the factors influencing Malaysian crude palm oil futures market volatility. In this study, crude palm oil futures (FCPO) is the dependent variable and the independent variables involved are US Soybeans futures, exchange rates, Brent crude oil price and interest rates. All data and information gathered is a secondary data which consists of time-series type of data. The timeframe of the study is monthly-based, including 16 years' observation from year 2005 to 2020. Based on the study, the only significant variable towards FCPO is Brent crude oil price meanwhile the other three variables which are interest rates, exchange rates and US Soybeans futures are likely to be insignificant.