Effective cross hedging: evidence from physical crude palm oil and its non-interrelated energy futures contracts / Ahmad Danial Zainudin, Noryati Ahmad and Fahmi Abdul Rahim

Recent researchers found that Crude Palm Oil Futures contract (FCPO) in Bursa Malaysia Derivatives is no longer an effective hedging tool to mitigate the price risk in cash market due to the excessive speculation trading activities. This is very alarming to the hedgers hence possible hedge pair alternatives to crude palm oil physical must be identified to ensure that the hedging can be executed effectively. Therefore in this study, Ordinary Least Square, bivariate VAR and bivariate VECM were used to examine whether the non-interrelated energy futures contracts could serve as effective cross-hedging mechanisms for the CPO. Weekly data of agricultural and energy futures contracts from Intercontinental Exchange (ICE), New York Mercantile Exchange (NYMEX), and Tokyo Commodity Exchange (TOCOM) are employed to cross hedge the physical crude palm oil prices. The study starts from 2006 until 2016. Empirical results indicate that bivariate VECM gives more hedging variance reduction. Surprisingly, overall FCPO is still the best futures contract for hedging purposes while Japanese crude oil futures (TOCOM) represents the energy futures market as the best cross hedge alternatives for CPO

Pandemic impact on the co-movement and hedging effectiveness of the global futures markets

This paper examines the impact of COVID-19 on five of the world’s most liquid futures markets. The results of our wavelet coherence analysis for spot futures reveal two important findings. First, spot futures coherence movements during the pandemic period are influential at both low and high frequency scales. Second, the spectrogram shows mixed causality directions at all scales of observation in the period before and during the pandemic. In terms of hedging effectiveness, OLS and VECM show improvements in hedging effectiveness. Nevertheless, multiscale analysis with wavelet methods shows that hedging effectiveness depends on the hedge period due to the instability of the spot-futures association during the pandemic period. Our results refute the conventional wisdom among finance scholars that a stronger link between spot and futures markets during the crisis improves hedging effectiveness. We would emphasise that investment baskets and hedge pairs should be reviewed frequently to optimise results

Effective cross hedging : evidence from physical crude palm oil and its inter-related agricultural futures contracts / Noryati Ahmad … [et al.]

Since its establishment, Crude Palm Oil futures contract (FCPO) has been used to directly hedge its physical crude palm oil (CPO). However, due to the excessive speculation activities on crude palm oil futures market, it has been said to be no longer an effective hedging tool to mitigate the price risk of its underlying physical market. This triggers the need for market players to find possible alternatives to ensure that the hedging role can be executed effectively. Thus this investigation attempts to examine whether other inter-related grains and oil seed futures contracts could serve as effective cross-hedging mechanisms for the CPO. Weekly data of inter-related futures contracts from Chicago Board of Trade (CBOT) and Dalian Commodity Exchange (DCE) are employed to cross hedge the physical crude palm oil prices. The study starts from 2006 until 2016. Empirical results indicate that FCPO is still the best futures contract for hedging purposes while Chicago Soybean (CBOTBO) provides second best alternative if cross-hedging is considered

The utilization of CAMEL framework in analyzing the financial soundness of commercial banks in Malaysia: Pre and in the time of Covid 19

The COVID-19 pandemic has impacted many aspects of the economy, including commercial banking. This research aims to analyze the health of Malaysia's commercial banks before and during the COVID-19 pandemic. To accomplish this, the authors employed the CAMEL framework, widely recognized as one of the best tools for evaluating a bank's health. The study aims to comprehend the pandemic's impact on the financial health of banks during the pandemic. Secondary data was gathered from the financial statements of eight local commercial banks from 2017 to 2021. Results from this study suggest that the performance of commercial banks in Malaysia was generally stable and well-capitalized, with low non-performing loans and strong profitability before and during COVID-19. This study offers a new understanding of the effect of the pandemic on banking operations in Malaysia, a country whose financial system depends mainly on banks

The Determinant Factors of Green Office Layout Towards Employee Workplace Productivity

Purpose: The purpose of this study is to identify the determinant factors of green office layout towards employee workplace productivity.   Theoretical Framework: The research is based on the theoretical framework which represent the independent variables of comfort, office space, interactions, distractions and environment and awareness attitude while dependent variables is employee productivity.   Design/Methodology/Approach: This quantitative study data were gathered from 200 logistics company during operation hours. They key respondent was the company’s regular employee as and the validity and the reliability of the questionnaire were thoroughly examined. The results were based on regression analysis and equation modelling by using SPSS software. Then, the data will be analysed in the relationship of each construct using the structural equation modelling approach.   Findings:  The findings of the study provide strong grounds that employee productivity  are highly connected with factor of green office layout involved comfort, office space, interaction, distraction and environment awareness and attitude as well positively influences the employee productivity. Meanwhile, the researcher observation shows that comfort and office space have complementary relationship with employee productivity.   Research, Practical & Social implications:  Companies should emphasize that improvement of employee productivity is basic components in an office environment. The components are comfort dimension, office space dimension, interaction dimension, distraction dimension and environment awareness and attitude dimension. It is valuable to concurrently instilling all of this dimension value in order to improve the employee productivity that give the potential benefit.   Originality/Value: The research is an enhanced conceptual framework that examines critical issues concerning the successful relationship of green office layout dimension and employee workplace productivity, thus providing valuable outcomes for decision makers and academics. This study found that the framework could explain better each variable which has a dimension of green office layout towards employee workplace productivity

Financial contagion in the futures markets amidst global geo-economic events

This paper examines the occurrence of financial contagion in the futures markets, amidst global geo-economic events, for the period of 2010–2020. Our dataset consists of 40 pairs of futures contracts and underlying spots covering agricultural, energy, stock index, and metal futures. We apply the WaveletCorrelation Breakdown test to observe any abrupt changes in spot-futures correlation before and after2010. We then use the spectrogram by Wavelet Power and Energy Spectrum to approximate the duration of spot and futures volatility caused by the financial contagion. The Wavelet Correlation Breakdown tests results confirm the existence of financial contagion in the futures markets. Based on Wavelet Power and energy analysis’s spectrogram, we also find that the contagion in the futures markets during global geo-economic events typically lasts about two months

Cross hedging with stock index futures

This paper examines the cross hedging effectiveness between UK FTSE100 and world stock index futures from developed and emerging markets: the US, Australia, Brazil, Japan, Hong Kong, Korea and Malaysia. Our daily dataset spans from August 2002 through November 2019. We apply the OLS, VECM and Maximal Overlap Discrete Wavelet Transform (MODWT) to calculate the optimal cross hedge ratio and cross hedging effectiveness. Our empirical results show that the US E-Mini DJIA5 futures contract is the best cross hedging instrument for the UK FTSE100, followed by the Australia S&P/ASX 200. The multiscale cross hedging effectiveness results from the MODWT estimation suggest the optimal hedging period of more than 256 days with the US E-Mini DJIA5 and Australia S&P/ASX 200 futures