ABSTRACT:
This study investigates the level of cointegration between futures crude palm oil (FCPO) and competitor oils during the pre- and post-internationalisation strategy implemented by Bursa Malaysia Derivatives Berhad (BMDB). The Autoregressive Distributed Lags (ARDL) model is employed to analyse cointegration and causality among these variables using weekly data from January 1980 to December 2022. The empirical results show a reduction in the level of cointegration by 0.017% with soybean futures, 0.179% with exchange rates and no cointegration with Brent crude oil futures after implementing BMDB’s international strategy. The results from this study contribute to more robust financial models for the FCPO market and provide empirical input to authorities on how policy or strategy shapes the relationship between FCPO and competitor oils so that BMDB can maintain FCPO status as a global index reference.
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