Price volatility dynamics in aquaculture fish markets |
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| Authors: | Roy Endré Dahl Muhammad Yahya |
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| Institution: | 1. Department of Industrial Economics and Risk Management, University of Stavanger, Stavanger, Norwayroy.e.dahl@uis.no;3. Department of Industrial Economics and Risk Management, University of Stavanger, Stavanger, Norway |
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| Abstract: | AbstractIn this paper, a time-varying student-t copula is used to capture information on price volatility dependence in the short-, medium-, and long-run horizon in the US market for frozen and fresh salmon, trout, tilapia and catfish. Using monthly data from July 1992 to March 2017, the volatility dynamics for these aquaculture species are assessed. The analysis allows indicating significant differences in the volatility relationships, depending on time-frequency. While short-run volatility has limited dependency, there is significant dependency in both the medium- and long-run, indicating that market integration is stronger in the long-run. The information is particularly important to buyers and producers utilizing the futures markets, as contracts are typically traded using a set of frequencies, and may help them manage and reduce price risk. |
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| Keywords: | Catfish fish fish markets price volatility salmon tilapia trout volatility dynamics |
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