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.
|Number of pages||15|
|Journal||Journal of Futures Markets|
|Publication status||Published - 1 Jan 1998|