Financial Economics

Izaan Jamil · Mori Kogid · Thien Sang Lim · Jaratin Lily ·Economies ·2022

This paper investigates the impact of soybean and crude oil futures on palm oil indexes by utilising monthly data from three palm oil indexes listed in Bursa Malaysia, i.e., the Asian palm index, Malaysian palm index, and Plantation index, spanning from January 2010 to June 2020. The impacts were analysed using the Autoregressive Distributed Lag (ARDL) bounds test approach and causality test. The statistical findings revealed that the Asian palm index has a long-run relationship with crude oil futures and crude palm oil, and a short-run relationship with soybean futures, crude oil futures, and crude palm oil. On the other hand, the Malaysian palm index has a short-run relationship with soybean futures and crude palm oil, whereas the Plantation index has a short-run relationship with crude oil futures, crude palm oil, and exchange rate. For the long-run strategy, this study recommends close monitoring of crude oil futures. Meanwhile, the short-run strategy requires close monitoring of the crude oil and soybean futures. Eventually, the empirical findings proposed that interested parties such as fund managers, investors, and traders should pay attention to crude oil and soybean futures to mitigate risk and diversify their portfolios with greater emphasis on crude oil futures.

Sabariah Nordin · Afiruddin Tapa · Hamdan Al-Jaifi ·International Journal of Supply Chain Management ·2018

This study intends to identify the long run relationships between oil price, exchange rates, stock market and interest rate in the context of Malaysia. Weekly data from 1 January 2006 until 22 April 2018 were used. Unit root tests of ADF and PP reveal that all variables are non-stationary at level and become integrated and stationary at first differential series, hence ratify that these variables can be used for further long run investigation. An ARDL bound test and Johansen and Juselius cointegration test suggest the existence of actual long-run relationship between oil price, stock price index, exchange rate and interest rate in Malaysia. Results of Granger causality indicates the presence of unidirectional causality between oil prices and Malaysian stock market running from oil prices to the stock price index. Results also suggest that there is a presence of bidirectional causality between interest rate and oil prices which means causality is running from interest rate to oil prices and from oil prices to the interest rate. Lastly, the results also propose that there is an existence of uni-directional causality between exchange rate and oil prices, running from the exchange rate to the oil prices at 10 percent significance level. Even the results of wavelet coherence approach confirm long run relationships between the underlying variables.