ANALYZING THE RELATIONSHIP OF CPO SPOTPRICE, MALAYSIA’S INFLATION, AND USD INDEX ON MALAYSIAN CPO FUTURES PRICE PERIOD JANUARY 2008 - OCTOBER 2012

Abstract

This research was conducted in response to the more frequent usage of crude palm oil commodity derivative market due to its fundamental trend set by traders and investors. The researcher made the research to reveal whether macro economy elements such as the respecting commodity producer country’s inflation rate and USD Index together with spot price have any relationships on the price of CPO derivative Futures market. In order to reach target, the researcher analyzed the relationship of USD Index, Crude Palm Oil Spot price, and Malaysia’s Inflation partially and collectively against CPO Futures price in Malaysian Futures Market during January 2008 to October 2012. This research is using quantitative analysis with secondary data. Quantitative analysis consists of classical assumption test, multiple regression analysis, and hypothesis testing by T test and F test. Based on hypothesis test using T-test with α=5%, the researcher revealed that the effect of USD Index and Malaysia’s Inflation rate both have insignificant negative effect on CPO Futures price. The spot price has significant positive effect on CPO Futures price. F test showed that all independent variables are adequate to test dependent variable. Independent variables have significant effect on dependent variable with F score of 6.033. Collectively (USD Index, Spot price, and Malaysia’s Inflation) R2 value is 0.992, which means 99.2% of Futures can be explained by independent variables (USD Index, Spot price, Malaysia’s Inflation), and the rest 0.8% is explained by other occurrence variables on the trading floor.