Scandinavian Working Papers in Economics
UiS Working Papers in Economics and Finance,
University of Stavanger
No 2015/16: The Spot-Forward Relationship in the Atlantic Salmon Market
Frank Asche (), Bard Misund () and Atle Oglend ()
Additional contact information
Frank Asche: UiS, Postal: University of Stavanger, NO-4036 Stavanger, Norway
Bard Misund: UiS, Postal: University of Stavanger, NO-4036 Stavanger, Norway
Atle Oglend: UiS, Postal: University of Stavanger, NO-4036 Stavanger, Norway
Abstract: This study examines the Fish Pool salmon futures contract with respect to how well the market performs in terms of the futures price being an unbiased estimator of the spot price and whether the market provide a price discovery function. Using data for 2006-2014 and with futures prices with maturities up to 6 months we find that spot and lagged futures prices are cointegrated and that the futures price provides an unbiased estimate of the spot price. We also find that, with the exception of the front month, that the causality is one-directional. The spot prices lead futures prices between 1 to 6 months maturity. Hence, while the spot and lagged futures prices are unbiased estimates, we do not find support for the hypothesis that futures prices provides a price discovery function. Rather, it seems that innovations in the spot price influence futures prices. This finding is not uncommon in new and immature futures contracts markets. Hence, the salmon futures market is still immature and has not yet reached the stage where futures prices are able to predict future spot prices.
Keywords: Atlantic salmon; futures prices; price discovery
27 pages, December 18, 2015
Full text files
uis_wps_2015_16_asche_misund_ogland.pdf
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