Information Flow Between Crude Palm Oil and Crude Oil Futures
2022 12th International Conference on Applied Physics and Mathematics, ICAPM 2022
; 2287, 2022.
Article
in English
| Scopus | ID: covidwho-1960903
ABSTRACT
This study finds asymmetric information flow from the crude palm oil (CPO) futures to the West Texas Intermediate (WTI) crude oil futures market despite the CPO futures market's low liquidity and small market capitalization. Our finding is robust regardless of the 2019 Coronavirus outbreak and the asymmetric information flow becomes even unilateral considering the exchange rate risk on the Malaysian Ringgit. Finally, we explain the asymmetric information flow from the CPO futures to WTI futures market given that the impact of speculation on market efficiency crowds out that of liquidity. © Published under licence by IOP Publishing Ltd.
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Databases of international organizations
Database:
Scopus
Language:
English
Journal:
2022 12th International Conference on Applied Physics and Mathematics, ICAPM 2022
Year:
2022
Document Type:
Article
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