The Spot-Forward Relationship in the Atlantic Salmon Market
This study examines the Fish Pool salmon futures contract with respect to how well the market performs in terms of the futures price being an unbiased estimator of the spot price and whether the market provide a price discovery function. Using data for 2006-2014 and with futures prices with maturiti...
Main Authors: | , , |
---|---|
Format: | Report |
Language: | unknown |
Subjects: | |
Online Access: | https://dl.dropboxusercontent.com/u/8078351/uis_wps_econ_fin/uis_wps_2015_16_asche_misund_ogland.pdf |
id |
ftrepec:oai:RePEc:hhs:stavef:2015_016 |
---|---|
record_format |
openpolar |
spelling |
ftrepec:oai:RePEc:hhs:stavef:2015_016 2024-04-14T08:09:09+00:00 The Spot-Forward Relationship in the Atlantic Salmon Market Asche, Frank Misund, Bard Oglend, Atle https://dl.dropboxusercontent.com/u/8078351/uis_wps_econ_fin/uis_wps_2015_16_asche_misund_ogland.pdf unknown https://dl.dropboxusercontent.com/u/8078351/uis_wps_econ_fin/uis_wps_2015_16_asche_misund_ogland.pdf preprint ftrepec 2024-03-19T10:25:58Z This study examines the Fish Pool salmon futures contract with respect to how well the market performs in terms of the futures price being an unbiased estimator of the spot price and whether the market provide a price discovery function. Using data for 2006-2014 and with futures prices with maturities up to 6 months we find that spot and lagged futures prices are cointegrated and that the futures price provides an unbiased estimate of the spot price. We also find that, with the exception of the front month, that the causality is one-directional. The spot prices lead futures prices between 1 to 6 months maturity. Hence, while the spot and lagged futures prices are unbiased estimates, we do not find support for the hypothesis that futures prices provides a price discovery function. Rather, it seems that innovations in the spot price influence futures prices. This finding is not uncommon in new and immature futures contracts markets. Hence, the salmon futures market is still immature and has not yet reached the stage where futures prices are able to predict future spot prices. Atlantic salmon; futures prices; price discovery Report Atlantic salmon RePEc (Research Papers in Economics) |
institution |
Open Polar |
collection |
RePEc (Research Papers in Economics) |
op_collection_id |
ftrepec |
language |
unknown |
description |
This study examines the Fish Pool salmon futures contract with respect to how well the market performs in terms of the futures price being an unbiased estimator of the spot price and whether the market provide a price discovery function. Using data for 2006-2014 and with futures prices with maturities up to 6 months we find that spot and lagged futures prices are cointegrated and that the futures price provides an unbiased estimate of the spot price. We also find that, with the exception of the front month, that the causality is one-directional. The spot prices lead futures prices between 1 to 6 months maturity. Hence, while the spot and lagged futures prices are unbiased estimates, we do not find support for the hypothesis that futures prices provides a price discovery function. Rather, it seems that innovations in the spot price influence futures prices. This finding is not uncommon in new and immature futures contracts markets. Hence, the salmon futures market is still immature and has not yet reached the stage where futures prices are able to predict future spot prices. Atlantic salmon; futures prices; price discovery |
format |
Report |
author |
Asche, Frank Misund, Bard Oglend, Atle |
spellingShingle |
Asche, Frank Misund, Bard Oglend, Atle The Spot-Forward Relationship in the Atlantic Salmon Market |
author_facet |
Asche, Frank Misund, Bard Oglend, Atle |
author_sort |
Asche, Frank |
title |
The Spot-Forward Relationship in the Atlantic Salmon Market |
title_short |
The Spot-Forward Relationship in the Atlantic Salmon Market |
title_full |
The Spot-Forward Relationship in the Atlantic Salmon Market |
title_fullStr |
The Spot-Forward Relationship in the Atlantic Salmon Market |
title_full_unstemmed |
The Spot-Forward Relationship in the Atlantic Salmon Market |
title_sort |
spot-forward relationship in the atlantic salmon market |
url |
https://dl.dropboxusercontent.com/u/8078351/uis_wps_econ_fin/uis_wps_2015_16_asche_misund_ogland.pdf |
genre |
Atlantic salmon |
genre_facet |
Atlantic salmon |
op_relation |
https://dl.dropboxusercontent.com/u/8078351/uis_wps_econ_fin/uis_wps_2015_16_asche_misund_ogland.pdf |
_version_ |
1796306614900228096 |