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Energy Strategy Reviews ; 45, 2023.
Article in English | Scopus | ID: covidwho-2241813


This study analyzes the efficiency of the crude palm oil (CPO) futures market by conducting a variance ratio test and comparing it to the West Texas Intermediate (WTI) futures market. We discover that the weak-form efficient market hypothesis holds for both the CPO and WTI futures markets despite the significant difference in their liquidity. Using a scaling exponent, we investigate speculative trading activities and find that trading CPO futures in expectation of significant returns does not strongly involve a high level of risk unlike WTI futures. Our findings regarding market efficiency of the two futures markets are supported by the significant integration of the two with similar level of information flow from each market to the other. To explore the role of speculation in their market integration, we introduce a natural experimental setting using the coronavirus disease 2019 (COVID-19) pandemic, which caused a sudden decrease in the demand for fuel. The bidirectional information flow between the two markets is intensified after the COVID-19 pandemic due to lower level of speculation. The findings suggest that (i) stakeholders in the CPO market need to pay attention to the crude oil markets to anticipate its price changes, (ii) investors can use WTI futures as a hedging tool against CPO futures as long as there is mutual information flow, and (iii) regulators should carefully implement new CPO futures market policy, as either asymmetric changes in speculation or unbalanced regulation with the WTI futures market can create market distortion and regulatory arbitrage. © 2022 The Authors

1st International Conference on Trends in Chemical Engineering 2021, ICoTRiCE 2021 ; 2541, 2022.
Article in English | Scopus | ID: covidwho-2160418
Energy Strategy Reviews ; 45:101008, 2023.
Article in English | ScienceDirect | ID: covidwho-2149699
SOFW Journal (English version) ; 148(11):16-20, 2022.
Article in English | Academic Search Complete | ID: covidwho-2125134
2022 12th International Conference on Applied Physics and Mathematics, ICAPM 2022 ; 2287, 2022.
Article in English | Scopus | ID: covidwho-1960903
Global Oils & Fats: Business Magazine ; 18(4):28-32, 2021.
Article in English | CAB Abstracts | ID: covidwho-1958437
Journal of Environmental Chemical Engineering ; 10(4), 2022.
Article in English | Scopus | ID: covidwho-1945561
Journal of Agribusiness in Developing and Emerging Economies ; 12(3):425-441, 2022.
Article in English | ProQuest Central | ID: covidwho-1922534
Studies in Systems, Decision and Control ; 435:341-363, 2022.
Article in English | Scopus | ID: covidwho-1919595
Palm Oil Developments ; 72:27-33, 2020.
Article in English | CAB Abstracts | ID: covidwho-1871029
Bulletin of Indonesian Economic Studies ; 58(1):1-30, 2022.
Article in English | ProQuest Central | ID: covidwho-1788373
International Journal of Environmental Sustainability and Green Technologies ; 13(1):1-5, 2022.
Article in English | ProQuest Central | ID: covidwho-1614077