Volatility Spillover of Crude Palm Oil (CPO) Commodity between Spot and Futures Market in Indonesia
DOI:
https://doi.org/10.47747/fmiic.v1i1.2175Abstract
The development of trade globalization has led to the expansion of market interactions between countries, specifically for Crude Palm Oil (CPO) commodities. This study aims to determine the volatility of CPO prices between the Medan spot market and the futures market consisting of the Jakarta futures market, Malaysia futures market, and the Rotterdam forward market. The daily data on CPO prices in each market from January 2016 to December 2020. The data analysis method uses the GARCH model (1.1). The results showed a volatility transmission from the entire futures market to the Medan spot market. Thus, the CPO commodity futures market influences price volatility and the price formation process in the Medan spot market. Therefore, CPO commodity market players must be alert to the information occurring in the futures market to determine investment strategies.
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