The spot-forward relationship in the Atlantic salmon market
This review investigates the market performance of salmon forward contracts. It studies whether the forward price is an unbiased estimator of the spot price and whether the forward market generates price discovery information. The focus is on the Fish Pool market for the period 2006-2017 and relates...
Published in: | Reviews in Fisheries Science & Aquaculture |
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ftstandrewserep:oai:research-repository.st-andrews.ac.uk:10023/16317 2023-07-02T03:31:42+02:00 The spot-forward relationship in the Atlantic salmon market Chen, Xing Scholtens, Bert University of St Andrews. School of Management University of St Andrews. Centre for Responsible Banking and Finance 2018-10-24T14:30:09Z 10 application/pdf http://hdl.handle.net/10023/16317 https://doi.org/10.1080/23308249.2018.1519523 eng eng Reviews in Fisheries Science & Acquaculture Chen , X & Scholtens , B 2019 , ' The spot-forward relationship in the Atlantic salmon market ' , Reviews in Fisheries Science & Acquaculture , vol. 27 , no. 2 , pp. 142-151 . https://doi.org/10.1080/23308249.2018.1519523 2330-8249 PURE: 255961654 PURE UUID: 3e6cb96e-d901-4af4-9644-1515cea263cb Scopus: 85063400126 WOS: 000462175300002 ORCID: /0000-0001-5774-5191/work/69834983 http://hdl.handle.net/10023/16317 https://doi.org/10.1080/23308249.2018.1519523 Copyright © 2018 The Author(s). Published by Taylor & Francis Group, LLC. This is an Open Access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives License (http://creativecommons.org/Licenses/by-nc-nd/4.0/), which permits non-commercial re-use, distribution, and reproduction in any medium, provided the original work is properly cited, and is not altered, transformed, or built upon in any way. Cointegration Fish Pool Forward markets Risk management Salmon market SH Aquaculture. Fisheries. Angling HD61 Risk Management 3rd-NDAS SH HD61 Journal article 2018 ftstandrewserep https://doi.org/10.1080/23308249.2018.1519523 2023-06-13T18:25:32Z This review investigates the market performance of salmon forward contracts. It studies whether the forward price is an unbiased estimator of the spot price and whether the forward market generates price discovery information. The focus is on the Fish Pool market for the period 2006-2017 and relates to forward contracts with maturities up to 60 months. The main finding is that there is strong cointegration up to a period of seven months. After this window, there is marginally significant cointegration up to a period of twelve months and the cointegration relationship disappears for contracts with maturities longer than twelve months, pointing to the inefficiency of these forward markets. The results from error-correction models and Granger causality tests suggest that the salmon forward market does not fulfil the expected price discovery role and that the spot market drives the forward market. These findings suggest the salmon forward market is still immature and cast doubt on the viability of longer-term salmon forward contracts. Publisher PDF Peer reviewed Article in Journal/Newspaper Atlantic salmon University of St Andrews: Digital Research Repository Reviews in Fisheries Science & Aquaculture 27 2 142 151 |
institution |
Open Polar |
collection |
University of St Andrews: Digital Research Repository |
op_collection_id |
ftstandrewserep |
language |
English |
topic |
Cointegration Fish Pool Forward markets Risk management Salmon market SH Aquaculture. Fisheries. Angling HD61 Risk Management 3rd-NDAS SH HD61 |
spellingShingle |
Cointegration Fish Pool Forward markets Risk management Salmon market SH Aquaculture. Fisheries. Angling HD61 Risk Management 3rd-NDAS SH HD61 Chen, Xing Scholtens, Bert The spot-forward relationship in the Atlantic salmon market |
topic_facet |
Cointegration Fish Pool Forward markets Risk management Salmon market SH Aquaculture. Fisheries. Angling HD61 Risk Management 3rd-NDAS SH HD61 |
description |
This review investigates the market performance of salmon forward contracts. It studies whether the forward price is an unbiased estimator of the spot price and whether the forward market generates price discovery information. The focus is on the Fish Pool market for the period 2006-2017 and relates to forward contracts with maturities up to 60 months. The main finding is that there is strong cointegration up to a period of seven months. After this window, there is marginally significant cointegration up to a period of twelve months and the cointegration relationship disappears for contracts with maturities longer than twelve months, pointing to the inefficiency of these forward markets. The results from error-correction models and Granger causality tests suggest that the salmon forward market does not fulfil the expected price discovery role and that the spot market drives the forward market. These findings suggest the salmon forward market is still immature and cast doubt on the viability of longer-term salmon forward contracts. Publisher PDF Peer reviewed |
author2 |
University of St Andrews. School of Management University of St Andrews. Centre for Responsible Banking and Finance |
format |
Article in Journal/Newspaper |
author |
Chen, Xing Scholtens, Bert |
author_facet |
Chen, Xing Scholtens, Bert |
author_sort |
Chen, Xing |
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 |
publishDate |
2018 |
url |
http://hdl.handle.net/10023/16317 https://doi.org/10.1080/23308249.2018.1519523 |
genre |
Atlantic salmon |
genre_facet |
Atlantic salmon |
op_relation |
Reviews in Fisheries Science & Acquaculture Chen , X & Scholtens , B 2019 , ' The spot-forward relationship in the Atlantic salmon market ' , Reviews in Fisheries Science & Acquaculture , vol. 27 , no. 2 , pp. 142-151 . https://doi.org/10.1080/23308249.2018.1519523 2330-8249 PURE: 255961654 PURE UUID: 3e6cb96e-d901-4af4-9644-1515cea263cb Scopus: 85063400126 WOS: 000462175300002 ORCID: /0000-0001-5774-5191/work/69834983 http://hdl.handle.net/10023/16317 https://doi.org/10.1080/23308249.2018.1519523 |
op_rights |
Copyright © 2018 The Author(s). Published by Taylor & Francis Group, LLC. This is an Open Access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives License (http://creativecommons.org/Licenses/by-nc-nd/4.0/), which permits non-commercial re-use, distribution, and reproduction in any medium, provided the original work is properly cited, and is not altered, transformed, or built upon in any way. |
op_doi |
https://doi.org/10.1080/23308249.2018.1519523 |
container_title |
Reviews in Fisheries Science & Aquaculture |
container_volume |
27 |
container_issue |
2 |
container_start_page |
142 |
op_container_end_page |
151 |
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1770271099684126720 |