Selected seasonality effect in crude palm oil futures contract quoted on bursa Malaysia derivatives
The seasonality effect has many types which are daily effect, weekly effect, monthly effect, turn of the month effect, within of month effect, and holiday effect. As this study focus on selected seasonal effect the result may vary from other studied. The Crude Palm Oil Futures (FCPO) can be influenc...
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my-uum-etd.111122024-05-27T06:13:59Z Selected seasonality effect in crude palm oil futures contract quoted on bursa Malaysia derivatives 2022 Zaharudin, Haziratul Qudsiah Ahmad, Norzalina School of Economics, Finance & Banking School of Economics, Finance & Banking HG Finance The seasonality effect has many types which are daily effect, weekly effect, monthly effect, turn of the month effect, within of month effect, and holiday effect. As this study focus on selected seasonal effect the result may vary from other studied. The Crude Palm Oil Futures (FCPO) can be influence by seasonal effect or known as anomalies. This study investigated the selected seasonal effect towards FCPO in Malaysia. The research used secondary data from Data Stream which is from year 2001-2021. In addition, the Z-test and descriptive statistic were used to measure the seasonal effect to the rate of returns of FCPO. The result indicated that the daily seasonal effect showed significant results which are Tuesday and Wednesday affect FCPO return. Whereas for the monthly seasonal effect analysis showed significant results which are June and December, respectively. While for the within of the month effect the null hypothesis were not rejected for both analysis for all the days and for first half and second half of the months. This study provided suggestions for future research work and several recommendations to use other seasonal effect in their study and not just limit to commodities. 2022 Thesis https://etd.uum.edu.my/11112/ https://etd.uum.edu.my/11112/1/Depositpermission-not%20allow_s820313.pdf text eng staffonly https://etd.uum.edu.my/11112/2/s820313_01.pdf text eng 2025-08-15 staffonly https://etd.uum.edu.my/11112/3/s820313_02.pdf text eng staffonly other masters Universiti Utara Malaysia |
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Universiti Utara Malaysia |
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eng eng eng |
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Ahmad, Norzalina |
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HG Finance |
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HG Finance Zaharudin, Haziratul Qudsiah Selected seasonality effect in crude palm oil futures contract quoted on bursa Malaysia derivatives |
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The seasonality effect has many types which are daily effect, weekly effect, monthly effect, turn of the month effect, within of month effect, and holiday effect. As this study focus on selected seasonal effect the result may vary from other studied. The Crude Palm Oil Futures (FCPO) can be influence by seasonal effect or known as anomalies. This study investigated the selected seasonal effect towards FCPO in Malaysia. The research used secondary data from Data Stream which is from year 2001-2021. In addition, the Z-test and descriptive statistic were used to measure the seasonal effect to the rate of returns of FCPO. The result indicated that the daily seasonal effect showed significant results which are Tuesday and Wednesday affect FCPO return. Whereas for the monthly seasonal effect analysis showed significant results which are June and December, respectively. While for the within of the month effect the null hypothesis were not rejected for both analysis for all the days and for first half and second half of the months. This study provided suggestions for future research work and several recommendations to use other seasonal effect in their study and not just limit to commodities. |
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Thesis |
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qualification_level |
Master's degree |
author |
Zaharudin, Haziratul Qudsiah |
author_facet |
Zaharudin, Haziratul Qudsiah |
author_sort |
Zaharudin, Haziratul Qudsiah |
title |
Selected seasonality effect in crude palm oil futures contract quoted on bursa Malaysia derivatives |
title_short |
Selected seasonality effect in crude palm oil futures contract quoted on bursa Malaysia derivatives |
title_full |
Selected seasonality effect in crude palm oil futures contract quoted on bursa Malaysia derivatives |
title_fullStr |
Selected seasonality effect in crude palm oil futures contract quoted on bursa Malaysia derivatives |
title_full_unstemmed |
Selected seasonality effect in crude palm oil futures contract quoted on bursa Malaysia derivatives |
title_sort |
selected seasonality effect in crude palm oil futures contract quoted on bursa malaysia derivatives |
granting_institution |
Universiti Utara Malaysia |
granting_department |
School of Economics, Finance & Banking |
publishDate |
2022 |
url |
https://etd.uum.edu.my/11112/1/Depositpermission-not%20allow_s820313.pdf https://etd.uum.edu.my/11112/2/s820313_01.pdf https://etd.uum.edu.my/11112/3/s820313_02.pdf |
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