Analysing price discovery function of crude palm oil futures (FCPO) / Nor Hidayani Mohd. Sobri

The purpose of this research is to study the relationship of long run between future crude palm oil towards spot crude palm oil. Second is to investigate the relationship of bilateral causality between future crude palm oil and spot crude palm oil. The investigation has been performed using time series for overall derivatives market performance. The independent variables will be price discovery function and bilateral causality relationship. The dependent will be future crude palm oil (FCPO) and spot crude palm oil (CPO). The test conducted are descriptive test, to see the normality of data, secondly unit root rest, to see the stationery of the data. As to check for the long run relationship of both variables, the johansen co-integration test is used. Meanwhile, granger causality test used to check the bicasual relationship between both FCPO and CPO. The results indicates that there are existence of long run relationship between independent and dependent variables. Second result indicates that there is bicausal relationship between both FCPO and CPO.