Interdependence between Agricultural Futures: Evidence from Malaysian Physical CPO and CBOT Futures

 Nuryasmin Wahida Binti Hamil

INTI International University, Malaysia

Corresponding email: nuryasmin.hamil@newinti.edu.my

Abstract

Since palm oil and palm oil-based products remain as Malaysia’s largest contributor in terms of export earnings, this paper will focus on the price of Malaysian crude palm oil (CPO) paired together with Chicago Board of Trade  (CBOT) agricultures futures commodities which include Soybean (SOY), Corn (CORN) and Soybean Oil (BO). All prices are then converted into return form. In order to identify the interdependence of both spot and future commodities, Vector Error Correction Model (VECM) approach have been used on the data. This paper also will show how Unit Root Test and Johansen Cointegration Test have been applied to this time series data.