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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Online Access: | https://hdl.handle.net/11370/35cc3d4c-364d-470e-9b69-010490ab1d31 https://research.rug.nl/en/publications/35cc3d4c-364d-470e-9b69-010490ab1d31 https://doi.org/10.1080/23308249.2018.1519523 https://pure.rug.nl/ws/files/80481551/The_Spot_Forward_Relationship_in_the_Atlantic_Salmon_Market.pdf |
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ftunigroningenpu:oai:pure.rug.nl:publications/35cc3d4c-364d-470e-9b69-010490ab1d31 2024-09-15T17:56:24+00:00 The Spot-Forward Relationship in the Atlantic Salmon Market Chen, Xing Scholtens, Bert 2019-04-03 application/pdf https://hdl.handle.net/11370/35cc3d4c-364d-470e-9b69-010490ab1d31 https://research.rug.nl/en/publications/35cc3d4c-364d-470e-9b69-010490ab1d31 https://doi.org/10.1080/23308249.2018.1519523 https://pure.rug.nl/ws/files/80481551/The_Spot_Forward_Relationship_in_the_Atlantic_Salmon_Market.pdf eng eng https://research.rug.nl/en/publications/35cc3d4c-364d-470e-9b69-010490ab1d31 info:eu-repo/semantics/openAccess 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 Fish Pool Cointegration forward markets risk management salmon market PRICE DISCOVERY FUTURES AQUACULTURE CATTLE article 2019 ftunigroningenpu https://doi.org/10.1080/23308249.2018.1519523 2024-07-01T14:49:23Z 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. Article in Journal/Newspaper Atlantic salmon University of Groningen research database Reviews in Fisheries Science & Aquaculture 27 2 142 151 |
institution |
Open Polar |
collection |
University of Groningen research database |
op_collection_id |
ftunigroningenpu |
language |
English |
topic |
Fish Pool Cointegration forward markets risk management salmon market PRICE DISCOVERY FUTURES AQUACULTURE CATTLE |
spellingShingle |
Fish Pool Cointegration forward markets risk management salmon market PRICE DISCOVERY FUTURES AQUACULTURE CATTLE Chen, Xing Scholtens, Bert The Spot-Forward Relationship in the Atlantic Salmon Market |
topic_facet |
Fish Pool Cointegration forward markets risk management salmon market PRICE DISCOVERY FUTURES AQUACULTURE CATTLE |
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. |
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 |
2019 |
url |
https://hdl.handle.net/11370/35cc3d4c-364d-470e-9b69-010490ab1d31 https://research.rug.nl/en/publications/35cc3d4c-364d-470e-9b69-010490ab1d31 https://doi.org/10.1080/23308249.2018.1519523 https://pure.rug.nl/ws/files/80481551/The_Spot_Forward_Relationship_in_the_Atlantic_Salmon_Market.pdf |
genre |
Atlantic salmon |
genre_facet |
Atlantic salmon |
op_source |
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 |
op_relation |
https://research.rug.nl/en/publications/35cc3d4c-364d-470e-9b69-010490ab1d31 |
op_rights |
info:eu-repo/semantics/openAccess |
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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1810432610069905408 |