Does the performance of global commodities exhibit co-movement and long-run relationship with the palm oil companies?

Izaan Jamil and Mori Kogid and Thien Sang Lim and Nelson Lajuni (2024) Does the performance of global commodities exhibit co-movement and long-run relationship with the palm oil companies?

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Official URL: https://www.researchgate.net/publication/379891843...

Abstract

While numerous papers investigate on the co-movement of global commodities and stock indices, this paper extends to previous papers by focusing on the individual stock price of palm oil companies namely Sime Darby Plantation, Wilmar International, and Astra Agri Lestari. Weekly data spanning from January 2018 to September 2023 was selected and Autoregressive Distributed Lags (ARDL) model employed to demonstrate the possible comovement and long-run relationship. Empirical results provide sufficient evidence of comovement between global commodities with Sime Darby Plantation and Astra Agri Lestari in the long-run. This will allow fund managers, individual investors, and stock traders to make investment decisions, trading strategies, and portfolio management based on the global commodity markets.

Item Type:	Proceedings
Keyword:	Global commodities, palm oil companies, individual stock price, ARDL
Subjects:	H Social Sciences > HG Finance > HG1-9999 Finance T Technology > TD Environmental technology. Sanitary engineering > TD1-1066 Environmental technology. Sanitary engineering > TD895-899 Industrial and factory sanitation > TD896-899 Industrial and factory wastes
Department:	FACULTY > Faculty of Business, Economics and Accounting
Depositing User:	ABDULLAH BIN SABUDIN -
Date Deposited:	26 Jul 2024 10:47
Last Modified:	26 Jul 2024 10:47
URI:	https://eprints.ums.edu.my/id/eprint/39273

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