Dynamic Characteristics Analysis of Malaysian Crude Palm Oil Price Using Fractal Theory

• Main Author: Molida Yi
• Other Authors: Lect. Dr. Napat Harnpornchai
• Format: Theses and Dissertations
• Language: English
• Published: เชียงใหม่ : บัณฑิตวิทยาลัย มหาวิทยาลัยเชียงใหม่ 2017
• Subjects: Palm oil > Prices
• Online Access: http://cmuir.cmu.ac.th/jspui/handle/6653943832/39919
• Institution: Chiang Mai University

This thesis aims at the dynamic characteristics analysis of Malaysian Crude Palm Oil (CPO) price using R/S analysis to identify the Hurst exponent correlation coefficient, power law exponent, memory term, and market efficiency. To get the generalized Hurst exponent of Malaysian CPO price in this study, the price of CPO that covers 379 months since January 1983 to July 2014 is calculated with Matlab by using R/S analysis. The result of the Hurst exponent shows that H value is less than 0.5 (H = 0.3647). It means that Malaysian crude palm oil price has anti-persistent characteristic with negative correlation from the past, present, to future period. Moreover, the power law exponent is 1.7294, which tells that the CPO price is Pink noise process and the slope of the prices is downward. In addition, the Malaysian CPO price has long memory term only 9 months, which it is too small, so it has short-term memory more than long-term memory due to some external factors. With respect to the Hurst exponent, the Malaysian CPO price follows the Fractal Market Hypothesis (FMH).The results are also beneficial to Malaysian CPO price forecasting and can give some suggestions for policy-making and investors making-decision.