Title: Examining seasonal anomalies in crude palm oil markets

Authors: Wenhui Li; Normaziah Mohd Nor; M. Hisham

Addresses: School of Business and Economics, Universiti Putra Malaysia, Malaysia; College of Mathematics and Finance, Hunan University of Humanities, Science and Technology, Loudi 471000, China ' School of Business and Economics, Universiti Putra Malaysia, Malaysia ' School of Business and Economics, Universiti Putra Malaysia, Malaysia

Abstract: Crude palm oil (CPO) is a crucial global agricultural commodity, and the efficiency of its market is important for maintaining price stability. This study delves into the assessment of market efficiency in the primary CPO markets, focusing on seasonal anomalies as a key indicator. The research analyses daily, weekly, and monthly data to investigate these anomalies, recognising variations among countries. Our empirical findings reveal significant seasonal anomalies in crude palm oil market. Malaysia and Indonesia exhibit significant day-of-the-week effects, while all four countries demonstrate substantial positive returns during weeks 6 and 52. Notably, Malaysia experiences a significant positive return during October. Furthermore, our research underscores the role of good sentiment around holidays and seasonal export activities as drivers behind these seasonal anomalies. In essence, this study makes a significant contribution to our understanding of market efficiency and the presence of seasonal anomalies in the primary CPO markets. It emphasises the influence of sentiment and export cycles on market returns, providing valuable insights for market participants and policymakers.

Keywords: seasonal anomalies; market efficiency; holiday effect; crude palm oil market.

DOI: 10.1504/GBER.2025.146498

Global Business and Economics Review, 2025 Vol.32 No.4, pp.377 - 401

Received: 13 Aug 2023
Accepted: 30 Oct 2023
Published online: 02 Jun 2025 *

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