Volatility spillovers in the Thai palm oil market

Citation

Songsiengchai, Patchaya and Sidique, Shaufique Fahmi and Djama, Marcel and Hook, Law Siong (2018) Volatility spillovers in the Thai palm oil market. Advanced Science Letters, 24 (1). 543 - 546. ISSN 1936-6612; ESSN: 1936-7317

Abstract

This paper investigates the effect of global prices in the Thai palm oil market. We provide comprehensive evidence of growth and volatility spillovers for the key crop, crude palm oil in Thailand over the period 1996 to 2015. The Dynamic Conditional Correlation model (DCC) and Granger Causality tests are used, to analyze price volatility effects among Thai and Malaysian crude palm oil and World crude oil prices. Our findings delivered several significant conclusions; that higher prices indicates a positive impact on their uncertainty and also increase a correlation variance among them. Moreover, the Malaysian crude palm oil and world crude oil returns have spillover effects on each of their uncertainty, while Malaysian crude palm oil return has a strong effect on the Thai crude palm oil price and vice versa. Therefore, the government and policy makers in Thailand should pay heed to the changes and fluctuations in those global prices.

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Additional Metadata

Item Type:	Article
Divisions:	Faculty of Economics and Management
DOI Number:	https://doi.org/10.1166/asl.2018.12065
Publisher:	American Scientific Publishers
Keywords:	Granger causality; Palm oil; Thailand; Volatility spillover
Depositing User:	Ms. Nida Hidayati Ghazali
Date Deposited:	19 Apr 2020 15:53
Last Modified:	19 Apr 2020 15:53
Altmetrics:	https://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1166/asl.2018.12065
URI:	http://psasir.upm.edu.my/id/eprint/74414
Statistic Details:	View Download Statistic

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