Returns and volatility in the Kuala Lumpur crude palm oil futures market

Keng Yap Liew, Robert D. Brooks

Research output: Contribution to journalArticleResearchpeer-review

9 Citations (Scopus)

Abstract

This article investigates the determinants of daily returns and volatility in the Kuala Lumpur crude palm oil futures market over the period 1980 to 1994. We find significant evidence of month and open interest effects in returns and also find strong evidence of daily, monthly, yearly, volume and open interest effects in volatility when ARCH/GARCH models are used to estimate volatility.

Original languageEnglish
Pages (from-to)985-999
Number of pages15
JournalJournal of Futures Markets
Volume18
Issue number8
DOIs
Publication statusPublished - 1 Jan 1998
Externally publishedYes

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