Co-Movement among World Vegetable Oil Prices: A Wavelet-Based Analysis

This paper examines the co-movement among major world vegetable oil prices (palm, soybean, rapeseed, and sunflower oil) by using wavelet-based analysis for a dataset ranging from January 2003 until March 2018. The wavelet approach is superior to other techniques as it provides flexible tool in investigating changes time frequency domain simultaneously. empirical result shows that strong comovement oils are driven contagion interdependence but incomplete market integration oil. Interestingly, palm lower degree of relationship with edible all scales after 2015. Meanwhile, more recent data soybean rapeseed have shown an increase each other. study finds multiple cross-correlations indicate potential leader followed primarily low scale period. on time-frequency gives new insight traders investors relating strategy portfolio diversification risk management.