An analysis of the fish pool market in the context of seasonality and stochastic convenience yield

Ewald, C.-O. and Ouyang, R. (2017) An analysis of the fish pool market in the context of seasonality and stochastic convenience yield. Marine Resource Economics, 32(4), pp. 431-449. (doi:10.1086/693375)

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Abstract

On the basis of a popular two-factor approach applied in commodity markets, we develop a model featuring seasonality and study futures contracts written on fresh farmed salmon, which have been actively traded at the Fish Pool market in Norway since 2006. The model is estimated by means of Kalman filtering, using a rich data set of contracts with different maturities traded at Fish Pool between 01/01/2010 and 24/04/2014. The results are then discussed in the context of other commodity markets, specifically live cattle, which is a substitute. We show that the seasonally adjusted model proposed in this article describes the behavior of salmon price very well. More importantly we show that seasonality exists in the salmon futures market. This is highly important in pricing of contingent claims, designing hedging strategies, and making real investment decisions in marine resources.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Ewald, Professor Christian and Ouyang, Miss Ruolan
Authors: Ewald, C.-O., and Ouyang, R.
College/School:College of Social Sciences > Adam Smith Business School
College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Marine Resource Economics
Publisher:MRE Foundation, Inc.
ISSN:0738-1360
Published Online:15 August 2017
Copyright Holders:Copyright © 2017 The University of Chicago Press
First Published:First published in Marine Resource Economics 32(4):431-449
Publisher Policy:Reproduced in accordance with the publisher copyright policy

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