An empirical study of the spot-forward relationship and the hedging efficiency of the Atlantic salmon market
Master's thesis in Applied finance This thesis investigates well-established theories of the spot-forward relationship in the derivatives market for Atlantic salmon using futures prices collected at a weekly and monthly frequency ranging from January 2008 to December 2015. It also examines the...
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University of Stavanger, Norway
2016
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ftunivstavanger:oai:uis.brage.unit.no:11250/2412148 2023-06-11T04:10:18+02:00 An empirical study of the spot-forward relationship and the hedging efficiency of the Atlantic salmon market Kårbø, Tom Erling 2016-06-14 application/pdf http://hdl.handle.net/11250/2412148 eng eng University of Stavanger, Norway Masteroppgave/UIS-SV-HH/2016; http://hdl.handle.net/11250/2412148 Navngivelse 3.0 Norge http://creativecommons.org/licenses/by/3.0/no/ økonomi administrasjon anvendt finans VDP::Social science: 200::Economics: 210::Economics: 212 Master thesis 2016 ftunivstavanger 2023-05-29T16:04:16Z Master's thesis in Applied finance This thesis investigates well-established theories of the spot-forward relationship in the derivatives market for Atlantic salmon using futures prices collected at a weekly and monthly frequency ranging from January 2008 to December 2015. It also examines the relationship between time to maturity on futures contracts and hedging efficiency. The spot-forward relationship is first investigated by an unbiasedness test on forecast error following the same method as Movassagh and Modjathedi (2005) used on the gas market. The test found that forecasting error on price changes between spot and forward is close to zero, indicating an unbiased relationship. Secondly, the theory of storage is examined using both a direct and indirect test that originates from Fama and French (1987,1988). The direct test found evidence to support the theory, as inventory levels were highly significant in explaining the difference between spot and futures prices (basis). The indirect test also found evidence to support the theory of storage as the volatility in prices was higher when the inventory levels were low. Thirdly, the thesis extends on previous studies on the risk premium by adjusting a risk premium model that includes risk production factors first introduced by Asche, Misund, and Oglend (2015). The risk premium was found to be negative on average, which indicate a forward curve in normal backwardation. This is evidence to support the hedging pressure hypothesis. Finally, the hedging efficiency on futures contracts ranging from 1-12months to maturity is analyzed to see if time to maturity on futures contracts is correlated with greater hedging efficiency. The evidence support that hedging efficiency is significantly greater on near month maturity futures contracts compared to distant month futures contracts. Master Thesis Atlantic salmon University of Stavanger: UiS Brage |
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Open Polar |
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University of Stavanger: UiS Brage |
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ftunivstavanger |
language |
English |
topic |
økonomi administrasjon anvendt finans VDP::Social science: 200::Economics: 210::Economics: 212 |
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økonomi administrasjon anvendt finans VDP::Social science: 200::Economics: 210::Economics: 212 Kårbø, Tom Erling An empirical study of the spot-forward relationship and the hedging efficiency of the Atlantic salmon market |
topic_facet |
økonomi administrasjon anvendt finans VDP::Social science: 200::Economics: 210::Economics: 212 |
description |
Master's thesis in Applied finance This thesis investigates well-established theories of the spot-forward relationship in the derivatives market for Atlantic salmon using futures prices collected at a weekly and monthly frequency ranging from January 2008 to December 2015. It also examines the relationship between time to maturity on futures contracts and hedging efficiency. The spot-forward relationship is first investigated by an unbiasedness test on forecast error following the same method as Movassagh and Modjathedi (2005) used on the gas market. The test found that forecasting error on price changes between spot and forward is close to zero, indicating an unbiased relationship. Secondly, the theory of storage is examined using both a direct and indirect test that originates from Fama and French (1987,1988). The direct test found evidence to support the theory, as inventory levels were highly significant in explaining the difference between spot and futures prices (basis). The indirect test also found evidence to support the theory of storage as the volatility in prices was higher when the inventory levels were low. Thirdly, the thesis extends on previous studies on the risk premium by adjusting a risk premium model that includes risk production factors first introduced by Asche, Misund, and Oglend (2015). The risk premium was found to be negative on average, which indicate a forward curve in normal backwardation. This is evidence to support the hedging pressure hypothesis. Finally, the hedging efficiency on futures contracts ranging from 1-12months to maturity is analyzed to see if time to maturity on futures contracts is correlated with greater hedging efficiency. The evidence support that hedging efficiency is significantly greater on near month maturity futures contracts compared to distant month futures contracts. |
format |
Master Thesis |
author |
Kårbø, Tom Erling |
author_facet |
Kårbø, Tom Erling |
author_sort |
Kårbø, Tom Erling |
title |
An empirical study of the spot-forward relationship and the hedging efficiency of the Atlantic salmon market |
title_short |
An empirical study of the spot-forward relationship and the hedging efficiency of the Atlantic salmon market |
title_full |
An empirical study of the spot-forward relationship and the hedging efficiency of the Atlantic salmon market |
title_fullStr |
An empirical study of the spot-forward relationship and the hedging efficiency of the Atlantic salmon market |
title_full_unstemmed |
An empirical study of the spot-forward relationship and the hedging efficiency of the Atlantic salmon market |
title_sort |
empirical study of the spot-forward relationship and the hedging efficiency of the atlantic salmon market |
publisher |
University of Stavanger, Norway |
publishDate |
2016 |
url |
http://hdl.handle.net/11250/2412148 |
genre |
Atlantic salmon |
genre_facet |
Atlantic salmon |
op_relation |
Masteroppgave/UIS-SV-HH/2016; http://hdl.handle.net/11250/2412148 |
op_rights |
Navngivelse 3.0 Norge http://creativecommons.org/licenses/by/3.0/no/ |
_version_ |
1768384633817268224 |