Hedging effectiveness of crude palm oil futures market in Malaysia / Nurul Asdaniah Azhar

This project paper is to study the relationship of hedging effectiveness of crude palm oil futures market in Malaysia from 2013 to 2017 monthly with 60 observations which traded under Bursa Malaysia Derivatives Berhad. Crude palm oil (CPO) is one of the important commodities of Malaysian economy. Th...

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Main Author: Azhar, Nurul Asdaniah
Format: Thesis
Language:English
Published: 2018
Subjects:
Online Access:https://ir.uitm.edu.my/id/eprint/61256/1/61256.pdf
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spelling my-uitm-ir.612562022-07-07T06:54:13Z Hedging effectiveness of crude palm oil futures market in Malaysia / Nurul Asdaniah Azhar 2018-06 Azhar, Nurul Asdaniah Economics Palm oil This project paper is to study the relationship of hedging effectiveness of crude palm oil futures market in Malaysia from 2013 to 2017 monthly with 60 observations which traded under Bursa Malaysia Derivatives Berhad. Crude palm oil (CPO) is one of the important commodities of Malaysian economy. The impact of different variables on the futures crude palm oil price has seen the key issues for all the analysts. It has the significant role for enhancement the progress of the economy. Ordinary Least Squared (OLS) method was used to compute Minimum-Variance hedging ratio (MVHR), R-squared and hedging effectiveness by using monthly data from settlement price of crude palm oil futures contracts and spot price of crude palm oil. The data have taken from the Thomas Reuters Data Stream, Index Mundi and Malaysian Palm Oil Berhad based on 5 years period as the investigation. In overall, Malaysia FCPO market has a low level of hedging effectiveness (19% - 53%) due to less volatility of CPO spot price. As a conclusion, hedging effectiveness of crude palm oil futures market in Malaysia shows a low level of hedging effectiveness. This result indicates that the spot price of crude palm oil in Malaysia is relatively stable and consistent over the period of 2013 to 2017. The outcome of this research intends to provide hedging information of the Malaysia FCPO futures market in order to cover risk exposure by holding FCPO in BMD. 2018-06 Thesis https://ir.uitm.edu.my/id/eprint/61256/ https://ir.uitm.edu.my/id/eprint/61256/1/61256.pdf text en public degree UiTM Cawangan Johor Bachelor of Business Administration (Investment Management) Ahmad, Zuraidah
institution Universiti Teknologi MARA
collection UiTM Institutional Repository
language English
advisor Ahmad, Zuraidah
topic Economics
Palm oil
spellingShingle Economics
Palm oil
Azhar, Nurul Asdaniah
Hedging effectiveness of crude palm oil futures market in Malaysia / Nurul Asdaniah Azhar
description This project paper is to study the relationship of hedging effectiveness of crude palm oil futures market in Malaysia from 2013 to 2017 monthly with 60 observations which traded under Bursa Malaysia Derivatives Berhad. Crude palm oil (CPO) is one of the important commodities of Malaysian economy. The impact of different variables on the futures crude palm oil price has seen the key issues for all the analysts. It has the significant role for enhancement the progress of the economy. Ordinary Least Squared (OLS) method was used to compute Minimum-Variance hedging ratio (MVHR), R-squared and hedging effectiveness by using monthly data from settlement price of crude palm oil futures contracts and spot price of crude palm oil. The data have taken from the Thomas Reuters Data Stream, Index Mundi and Malaysian Palm Oil Berhad based on 5 years period as the investigation. In overall, Malaysia FCPO market has a low level of hedging effectiveness (19% - 53%) due to less volatility of CPO spot price. As a conclusion, hedging effectiveness of crude palm oil futures market in Malaysia shows a low level of hedging effectiveness. This result indicates that the spot price of crude palm oil in Malaysia is relatively stable and consistent over the period of 2013 to 2017. The outcome of this research intends to provide hedging information of the Malaysia FCPO futures market in order to cover risk exposure by holding FCPO in BMD.
format Thesis
qualification_level Bachelor degree
author Azhar, Nurul Asdaniah
author_facet Azhar, Nurul Asdaniah
author_sort Azhar, Nurul Asdaniah
title Hedging effectiveness of crude palm oil futures market in Malaysia / Nurul Asdaniah Azhar
title_short Hedging effectiveness of crude palm oil futures market in Malaysia / Nurul Asdaniah Azhar
title_full Hedging effectiveness of crude palm oil futures market in Malaysia / Nurul Asdaniah Azhar
title_fullStr Hedging effectiveness of crude palm oil futures market in Malaysia / Nurul Asdaniah Azhar
title_full_unstemmed Hedging effectiveness of crude palm oil futures market in Malaysia / Nurul Asdaniah Azhar
title_sort hedging effectiveness of crude palm oil futures market in malaysia / nurul asdaniah azhar
granting_institution UiTM Cawangan Johor
granting_department Bachelor of Business Administration (Investment Management)
publishDate 2018
url https://ir.uitm.edu.my/id/eprint/61256/1/61256.pdf
_version_ 1783735229224058880