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Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil

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  • Go, You-How
  • Lau, Wee-Yeap

Abstract

This study examines the hypothesis of Tilton et al. (2011) that asserts investor demand affects commodity prices when spot and futures prices are closely correlated during strong contango in a hard commodity like copper. However, using daily data of crude palm oil (CPO) spot and futures prices from January 2000 to July 2016, after taking into account the variance of the increments in a random walk as measured by variance ratio, our study finds that spot and futures prices are highly correlated during backwardation period. It is further observed that: First, investor demand on the futures market is highly correlated with spot and futures prices during backwardation, but lesser during weak contango, and the least correlated during strong contango. Second, the efficiency of the futures market is related to the degree of correlation between spot and futures price changes. High efficient information transmission in the futures market is linked to a high correlation between spot and futures markets and vice versa. Therefore, we extend the hypothesis that the preference of holding a long position in the futures market is due to the anticipation of insufficient supply of CPO which happens during the backwardation period.

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  • Go, You-How & Lau, Wee-Yeap, 2017. "Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil," Resources Policy, Elsevier, vol. 53(C), pages 135-146.
    • Handle: RePEc:eee:jrpoli:v:53:y:2017:i:c:p:135-146
    DOI: 10.1016/j.resourpol.2017.06.009
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    4. Zhuo Chen & Bo Yan & Hanwen Kang & Liyu Liu, 2023. "Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities," Review of Economic Design, Springer;Society for Economic Design, vol. 27(1), pages 139-162, February.
    5. You-How Go & Wee-Yeap Lau, 2017. "The Relationship of Crude Palm Oil Spot-Futures under Inflationary Expectation in Gold Market," Capital Markets Review, Malaysian Finance Association, vol. 25(1), pages 43-62.
    6. Santeramo, Fabio Gaetano & Di Gioia, Leonardo & Lamonaca, Emilia, 2021. "Price responsiveness of supply and acreage in the EU vegetable oil markets: Policy implications," Land Use Policy, Elsevier, vol. 101(C).
    7. You-How Go & Wee-Yeap Lau, 2019. "Palm oil spot-futures relation: Evidence from unrefined and refined products," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 65(3), pages 133-142.
    8. You-How Go & Wee-Yeap Lau, 2020. "Does Trading Volume explain the Information Flow of Crude Palm Oil Futures Returns?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 12(2), pages 115-136, December.
    9. Jebabli, Ikram & Roubaud, David, 2018. "Time-varying efficiency in food and energy markets: Evidence and implications," Economic Modelling, Elsevier, vol. 70(C), pages 97-114.
    10. You‐How Go & Jia‐Jun Teo & Kam Fong Chan, 2023. "The effectiveness of crude oil futures hedging during infectious disease outbreaks in the 21st century," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1559-1575, November.
    11. Qingbin Gong & Zhe Yang, 2020. "Arbitrage, speculation and futures price fluctuations with boundedly rational and heterogeneous agents," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(4), pages 763-791, October.

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    More about this item

    Keywords

    Contango and backwardation; Weak-form market efficiency; Investor demand; Spot-futures relation; Crude palm oil;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q10 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - General

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