Proceedings of the 13th International Conference on Business, Accounting, Finance and Economics (BAFE 2025)

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Price Discovery in the Malaysian Crude Palm Oil Market: The Role of FCPO Across Normal and Disruptive Regimes

Authors
Jude W. Taunson1, *, Minah Japang1, Abdul Kamal Char1, Ricky Chia Chee Jiun1
1Universiti Malaysia Sabah, Labuan Faculty of International Finance, Kota Kinabalu, Malaysia
*Corresponding author. Email: juderyan@ums.edu.my
Corresponding Author
Jude W. Taunson
Available Online 28 December 2025.
DOI
10.2991/978-94-6463-968-1_17How to use a DOI?
Keywords
Price discovery; Crude palm oil (CPO); Crude Palm Oil Futures (FCPO)
Abstract

This study examines the price-discovery role of the Malaysian crude palm oil (CPO) spot and futures (FCPO) markets from January 2023 to June 2025, focusing on disruption episodes, the 2023 floods, and the B40 biodiesel mandate implemented in Indonesia. Using daily data, the analysis applies Johansen cointegration, Vector Error-Correction Models (VECM), Granger causality, the Information Share (IS) of [23], and robustness checks via VECM–GARCH. Whole-sample results indicate a dual mechanism: futures act as the primary venue for information arrival, while spot prices restore long-run equilibrium. Hasbrouck’s IS attributes about 75% of innovations to spot, underscoring its anchoring role. Sub-period results reveal regime dependence: spot leads in floods, futures dominate in B40 biodiesel mandate and tranquil periods, though IS consistently tilts toward spot. Overall, the findings confirm a futures-led, yet spot-anchored, process, with leadership varying across regimes. The results carry implications for policymakers, hedgers, and traders navigating Malaysia’s palm oil markets.

Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 13th International Conference on Business, Accounting, Finance and Economics (BAFE 2025)
Series
Advances in Economics, Business and Management Research
Publication Date
28 December 2025
ISBN
978-94-6463-968-1
ISSN
2352-5428
DOI
10.2991/978-94-6463-968-1_17How to use a DOI?
Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Jude W. Taunson
AU  - Minah Japang
AU  - Abdul Kamal Char
AU  - Ricky Chia Chee Jiun
PY  - 2025
DA  - 2025/12/28
TI  - Price Discovery in the Malaysian Crude Palm Oil Market: The Role of FCPO Across Normal and Disruptive Regimes
BT  - Proceedings of the 13th International Conference on Business, Accounting, Finance and Economics (BAFE 2025)
PB  - Atlantis Press
SP  - 224
EP  - 243
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-968-1_17
DO  - 10.2991/978-94-6463-968-1_17
ID  - Taunson2025
ER  -