This paper examines the intertemporal information transmission mechanism between the palm oil futures market and the physical cash market in Malaysia. It is shown that as an important feature in the emerging futures market, the spillover effects between the two markets are bi-directional and the role of the price leader is not identifiable. The results from standard GARCH model estimation, vector error correction modeling, Granger causality test and superexogeneity test are consistent with the finding.