Trading activities represent the flow of market information to the investors. This paper examines the effect of trading activities, i.e., trading volume and open interest, on the volatility of return for Malaysian Crude Palm Oil Futures. The GARCH model is applied by adding the expected and...

Purpose: This paper investigates the dependence structure and market risk of the currency exchange rate portfolio from the Malaysian ringgit perspective. Design/methodology/approach: The marginal return of the five major exchange rates series, i.e. United States dollar (USD), Japanese yen...