Efficiency in the Atlantic salmon futures market
Abstract In this study, we examine the efficiency and unbiasedness of Atlantic salmon futures prices. Market participants use the Fish Pool futures market to hedge the increasingly volatile salmon spot price. We further examine the futures market's predictive accuracy, comparing it to a variety...
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crwiley:10.1002/fut.22204 2024-06-23T07:51:13+00:00 Efficiency in the Atlantic salmon futures market Andersen, Bendik P. de Lange, Petter E. 2021 http://dx.doi.org/10.1002/fut.22204 https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22204 https://onlinelibrary.wiley.com/doi/full-xml/10.1002/fut.22204 en eng Wiley http://creativecommons.org/licenses/by-nc-nd/4.0/ Journal of Futures Markets volume 41, issue 6, page 949-984 ISSN 0270-7314 1096-9934 journal-article 2021 crwiley https://doi.org/10.1002/fut.22204 2024-06-11T04:44:57Z Abstract In this study, we examine the efficiency and unbiasedness of Atlantic salmon futures prices. Market participants use the Fish Pool futures market to hedge the increasingly volatile salmon spot price. We further examine the futures market's predictive accuracy, comparing it to a variety of proprietary prediction models. Our results show that futures prices are efficient and unbiased in the long‐run, while being biased and inefficient in the short‐run. Moreover, we find that futures prices provide an adequate price discovery function for most contracts, while suffering from magnified risk premiums due to few noncommercial traders. Article in Journal/Newspaper Atlantic salmon Wiley Online Library Journal of Futures Markets 41 6 949 984 |
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Open Polar |
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Wiley Online Library |
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crwiley |
language |
English |
description |
Abstract In this study, we examine the efficiency and unbiasedness of Atlantic salmon futures prices. Market participants use the Fish Pool futures market to hedge the increasingly volatile salmon spot price. We further examine the futures market's predictive accuracy, comparing it to a variety of proprietary prediction models. Our results show that futures prices are efficient and unbiased in the long‐run, while being biased and inefficient in the short‐run. Moreover, we find that futures prices provide an adequate price discovery function for most contracts, while suffering from magnified risk premiums due to few noncommercial traders. |
format |
Article in Journal/Newspaper |
author |
Andersen, Bendik P. de Lange, Petter E. |
spellingShingle |
Andersen, Bendik P. de Lange, Petter E. Efficiency in the Atlantic salmon futures market |
author_facet |
Andersen, Bendik P. de Lange, Petter E. |
author_sort |
Andersen, Bendik P. |
title |
Efficiency in the Atlantic salmon futures market |
title_short |
Efficiency in the Atlantic salmon futures market |
title_full |
Efficiency in the Atlantic salmon futures market |
title_fullStr |
Efficiency in the Atlantic salmon futures market |
title_full_unstemmed |
Efficiency in the Atlantic salmon futures market |
title_sort |
efficiency in the atlantic salmon futures market |
publisher |
Wiley |
publishDate |
2021 |
url |
http://dx.doi.org/10.1002/fut.22204 https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22204 https://onlinelibrary.wiley.com/doi/full-xml/10.1002/fut.22204 |
genre |
Atlantic salmon |
genre_facet |
Atlantic salmon |
op_source |
Journal of Futures Markets volume 41, issue 6, page 949-984 ISSN 0270-7314 1096-9934 |
op_rights |
http://creativecommons.org/licenses/by-nc-nd/4.0/ |
op_doi |
https://doi.org/10.1002/fut.22204 |
container_title |
Journal of Futures Markets |
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41 |
container_issue |
6 |
container_start_page |
949 |
op_container_end_page |
984 |
_version_ |
1802642234426785792 |