NDLI: Is the Volatility Information Transmission Process between the Crude Palm Oil Futures Market and Its Underlying Instrument Asymmetric

Content Provider	Semantic Scholar
Author	Azizan, Noor Azlinna Ahmad, Noryati Shannon, S.
Copyright Year	2007
Abstract	This study employs bivariate ARMA(p,q)-EGARCH(p,q) model specifications investigate the effects of the Malaysian futures - cash market relationship. More specifically, it looks at whether there is information transmission process at mean and volatility level between crude palm oil futures (FCPO) market and its underlying cash market and also whether volatility transmission is asymmetric. The study covers the period from January, 1990 until December 31, 2003. Bidirectional information transmission process between FCPO and CPO is documented at mean as well as volatility levels. Findings also reveal that the volatility transmission is asymmetric in nature but the sign of asymmetric differs based on the direction of spillovers.
File Format	PDF HTM / HTML
Alternate Webpage(s)	http://bizresearchpapers.com/Azizan.pdf
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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