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

Keng Yap Liew; Robert D. Brooks

doi:10.1002/(SICI)1096-9934(199812)18:8<985::AID-FUT6>3.0.CO;2-5

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

Keng Yap Liew, Robert D. Brooks

Research output: Contribution to journal › Article › Research › peer-review

10 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 language	English
Pages (from-to)	985-999
Number of pages	15
Journal	Journal of Futures Markets
Volume	18
Issue number	8
DOIs	https://doi.org/10.1002/(SICI)1096-9934(199812)18:8<985::AID-FUT6>3.0.CO;2-5
Publication status	Published - 1 Jan 1998
Externally published	Yes

Access to Document

10.1002/(SICI)1096-9934(199812)18:8<985::AID-FUT6>3.0.CO;2-5

Cite this

@article{71780b62050a4b1891d62f08e017edb7,

title = "Returns and volatility in the Kuala Lumpur crude palm oil futures market",

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.",

author = "Liew, {Keng Yap} and Brooks, {Robert D.}",

year = "1998",

month = jan,

day = "1",

doi = "10.1002/(SICI)1096-9934(199812)18:8<985::AID-FUT6>3.0.CO;2-5",

language = "English",

volume = "18",

pages = "985--999",

journal = "Journal of Futures Markets",

issn = "0270-7314",

publisher = "Wiley-Blackwell",

number = "8",

}

TY - JOUR

T1 - Returns and volatility in the Kuala Lumpur crude palm oil futures market

AU - Liew, Keng Yap

AU - Brooks, Robert D.

PY - 1998/1/1

Y1 - 1998/1/1

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=11544295610&partnerID=8YFLogxK

U2 - 10.1002/(SICI)1096-9934(199812)18:8<985::AID-FUT6>3.0.CO;2-5

DO - 10.1002/(SICI)1096-9934(199812)18:8<985::AID-FUT6>3.0.CO;2-5

M3 - Article

AN - SCOPUS:11544295610

SN - 0270-7314

VL - 18

SP - 985

EP - 999

JO - Journal of Futures Markets

JF - Journal of Futures Markets

IS - 8

ER -

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

Abstract

Access to Document

Other files and links

Cite this