WAHYUDI, Sugeng (2018) Does the Crude Palm Oil Market Walk Randomly? Jurnal Keuangan dan Perbankan, 22 (2). pp. 211-218.

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Abstract

Study about the efficiency of the capital market has been extensively conducted,
but it is still lack of research on the efficiency of another financial market such
as commodity markets. This study specifically examines market efficiency in a
weak form in the commodity market, especially in the crude palm oil (CPO)
market. The purpose of this research is to analyze the weak form efficiency of the
CPO market. Data used in this research is monthly CPO closing price data in
2010-2017 from Bursa Malaysia Derivative Exchange (BMD). This data was
obtained from Malaysian Palm Oil Council (MPOC). The analysis tool used is
Runs Test, following by Unit Root Test and Correlogram as robustness checking.
The result of this study shows that the CPO market is being efficient in a
weak
form. This shows that CPO price walks randomly so that the technical
analysis
cannot be applied to predict the CPO price. The result of this study
suggests
to both of CPO traders, and CPO speculators in their transaction on
BMD
do not rely on technical analysis.

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