Sains Malaysiana 53(9)(2024): 2099-3009

http://doi.org/10.17576/jsm-2024-5309-07

 Korelasi Bersyarat dan Limpahan Kemeruapan bagi Pulangan Harga SMR20 dan Pulangan Pasaran Niaga Hadapan Getah (TOCOM, SICOM dan SHFE)

(Conditional Correlation and Volatility Spillover: Case on SMR20 and Futures’ (TOCOM, SICOM and SHFE) Returns)

SITI MAHIRAH ABDUL GANI*, ZAIDI ISA & MUNIRA ISMAIL

Jabatan Sains Matematik, Fakulti Sains dan Teknologi, Universiti Kebangsaan Malaysia, 43600 UKM Bangi, Selangor, Malaysia

Received: 15 May 2024/Accepted: 5 July 2024

Abstrak

Malaysia adalah di antara negara pengeluar utama bagi getah asli. Terdapat pelbagai faktor yang boleh mempengaruhi harga getah asli (asas dan bukan asas). Salah satu faktor tersebut adalah pasaran niaga hadapan. Pasaran niaga hadapan memainkan peranan yang penting dalam pasaran semasa sebagai alat lindungan nilai dan mekanisme penentuan harga. Pasaran niaga hadapan juga terlibat dalam penemuan kesan anjur-susul dengan pasaran semasa. Kajian ini menerangkan hubungan kemeruapan harga getah asli Malaysia gred SMR20 dengan tiga pasaran niaga hadapan utama iaitu Bursa Komoditi Tokyo (TOCOM), Bursa Komoditi Singapura (SICOM) dan Bursa Hadapan Shanghai (SHFE). Berdasarkan hasil empirik daripada model bivariat GARCH Korelasi Bersyarat Dinamik (DCC GARCH), terdapat kesan masa turun-naik dan korelasi bersyarat dinamik yang bererti antara SMR20 dan pasaran niaga hadapan. Hasil model GARCH Baba, Engle, Kraft dan Kroner (BEKK) menunjukkan bahawa terdapat kesan kemeruapan melimpah yang mana kemeruapan SHFE melimpah ke SMR20 dan sebaliknya bagi SICOM dan TOCOM.

Kata kunci: Bivariat GARCH; korelasi bersyarat; limpahan kemeruapan

Abstract

Malaysia is one of the top producer’s countries of natural rubber. The price of natural rubber is often affected by fundamental factors but also non-fundamental ones such as the futures market. Futures market plays a vital role in the spot market as a hedging and price mechanism tool and has an established lead-lag relationship with the spot market. This paper describes the relationship of the price’s volatility of Malaysia’s natural rubber SMR20 (Standard Malaysian Rubber 20) in the spot market against rubber futures markets Tokyo Commodity Exchange (TOCOM), Singapore Commodity Exchange (SICOM) and Shanghai Futures Exchange (SHFE). These three futures markets were considered to have the most effect on Malaysia’s natural rubber physical market. The empirical results from bivariate Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroscedasticity (DCC GARCH) model indicates that there is evidence of time-varying and a significant dynamic conditional correlation between SMR20 and futures market. The results of the bivariate Baba, Engle, Kraft and Kroner (BEKK) GARCH model shows the presence of volatility spillover effect. The results show that the volatility of SHFE spills over to SMR20 and vice versa for the other two futures markets (SICOM and TOCOM).

Keywords: Bivariate GARCH; conditional correlation; volatility spillover

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*Corresponding author; email: mahirahgani@gmail.com