RETURNS AND VOLATILITY IN THE KUALA-LUMPUR CRUDE PALM OIL FUTURES MARKET

Authors
LIEW KY BROOKS RD
Citation
Ky. Liew et Rd. Brooks, RETURNS AND VOLATILITY IN THE KUALA-LUMPUR CRUDE PALM OIL FUTURES MARKET, The journal of futures markets, 18(8), 1998, pp. 985-999
Citations number
24
Categorie Soggetti
Business Finance
Journal title
The journal of futures markets → ACNP
ISSN journal
02707314
Volume
18
Issue
8
Year of publication
1998
Pages
985 - 999
Database
ISI
SICI code
0270-7314(1998)18:8<985:RAVITK>2.0.ZU;2-5
Abstract
This article investigates the determinants of daily returns and volati lity 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, y early, volume and open interest effects in volatility when ARCH/GARCH models are used to estimate volatility, (C) 1998 John Wiley a. Sons, I nc.