Returns and volatility in the Kuala Lumpur crude palm oil futures market

被引：0
|
作者：
Liew, KY [1 ]
Brooks, RD [1 ]
机构：
[1] Royal Melbourne Inst Technol, Dept Econ & Finance, Melbourne, Vic 3001, Australia
来源：
JOURNAL OF FUTURES MARKETS | 1998年 / 18卷 / 08期
关键词：
D O I：
10.1002/(SICI)1096-9934(199812)18:8<985::AID-FUT6>3.0.CO;2-5
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article investigates the determinants of daily returns and volatility in the Kuala Lumpur crude palm oil futures market over the period 1980 to 1994. We find significant evidence of month and open interest effects in returns and also find strong evidence of daily, monthly, yearly, volume and open interest effects in volatility when ARCH/GARCH models are used to estimate volatility, (C) 1998 John Wiley a. Sons, Inc.
引用
收藏
页码：985 / 999
页数：15
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