This paper is the first of its kind using a non-linear approach based on cross-correlation function (CCF) to investigate the information arrival hypothesis in crude palm oil (CPO) futures market. Based on daily data from 1986 to 2010, our empirical results reveal that: First, the volume of volatility is not a proxy of information flow. Second, dependence causality running from current return to future volume in conditional variance exhibit an asymmetric pattern of time span with different signs of correlation between price and volume series. This finding indicates the presence of noise traders’ hypothesis of price-volume interaction in CPO futures market. Both findings suggest that this futures market is weak-form inefficiency. In terms of investors’ behavior, they tend to change their expectations on current return based on errors made in previous trade in generating abnormal volume in the subsequent period. As implied, it is advisable for the investors devise their future trading strategies according to time span and changes of return.

1. Introduction1
 2. Literature Review
  2.1. Mixture of distribution hypothesis
  2.2. Sequential information arrival hypothesis
  2.3. Noise traders’ hypothesis
  2.4. A tax-related and non tax-related motives trading
  2.5. Dispersion of beliefs hypothesis
 3. Data and Methodology
  3.1. Univariate analysis
  3.2. Augmented analysis
 4. Results and Discussion
 5. Conclusions
 References

• You-How Go(Department of Economics, Faculty of Business and Finance, Universiti Tunku Abdul Rahman (UTAR), Jalan Universiti) First Author
• Wee-Yeap Lau(Faculty of Economics and Administration, University of Malaya) Corresponding Author