Selected seasonality effect in crude palm oil futures contract quoted on bursa Malaysia derivatives

The seasonality effect has many types which are daily effect, weekly effect, monthly effect, turn of the month effect, within of month effect, and holiday effect. As this study focus on selected seasonal effect the result may vary from other studied. The Crude Palm Oil Futures (FCPO) can be influence by seasonal effect or known as anomalies. This study investigated the selected seasonal effect towards FCPO in Malaysia. The research used secondary data from Data Stream which is from year 2001-2021. In addition, the Z-test and descriptive statistic were used to measure the seasonal effect to the rate of returns of FCPO. The result indicated that the daily seasonal effect showed significant results which are Tuesday and Wednesday affect FCPO return. Whereas for the monthly seasonal effect analysis showed significant results which are June and December, respectively. While for the within of the month effect the null hypothesis were not rejected for both analysis for all the days and for first half and second half of the months. This study provided suggestions for future research work and several recommendations to use other seasonal effect in their study and not just limit to commodities.