Price formation of the salmon aquaculture futures market

Ankamah‐Yeboah, Isaac; Nielsen, Max; Nielsen, Rasmus

doi:10.1080/13657305.2016.1189014

Cited by 35 publications

(21 citation statements)

References 51 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…However, most research has not considered a combination of emission rights and futures, options, or other financial instruments. In addition, futures and options can also be used to hedge against trading risk [32,33], and assist in price discovery [34]. Therefore, trading in emission rights futures and options is a promising form of market mechanism that can support the administrative means to strengthen the effect of joint control.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The trading of emission rights futures in different regions leads to cost reduction for air pollution control as well as increase in employment. Moreover, it helps to avoid the risk caused by price fluctuation of emission rights in the future due to the future market functions of avoiding risk [32,33] and price discovery [34]. The futures price of emission rights is the expected equilibrium price formed by people according to the supply and demand of spot emission rights.…”

Section: Calculation Of the Spot Price For Emission Rightsmentioning

confidence: 99%

See 1 more Smart Citation

A Joint Control Model Based on Emission Rights Futures Trading for Regional Air Pollution That Accounts for the Impacts on Employment

et al. 2019

View full text Add to dashboard Cite

To reduce air pollutant control costs and solve the problem of decreased employment caused by air pollution control, we established a double-objective optimization Joint Control Model (JCM) based on emission rights futures trading. The JCM calculates the spot price of emission rights, classifies regions in the trading market for emission rights into buyers and sellers, and calculates the optimal cooperative pollution abatement quantity. Compared with a non-cooperative control mode, the JCM generated benefits of US$2485.19 × 10 6 . We then used a Game Quadratic Programming (GQP) method to distribute the benefits, and applied the JCM to a case study of the abatement of sulfur dioxide in China's Shanxi, Henan, and Shaanxi provinces. We found that: (i) Compared with a JCM that does not account for employment, employment under the JCM increased by 3.20 × 10 3 people, and the pollution control cost decreased by US$11.20 × 10 6 under the JCM that considered employment. The effect of the latter model is better than that of the former. (ii) Employment under the JCM increased by 18.80 × 10 4 people compared with that under a territorial control mode, reducing the cost by US$99.73 × 10 6 . The JCM is helpful for all participating regions to balance environmental and livelihood issues in the process of air pollution control to achieve sustainable development.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Section: Calculation Of the Spot Price For Emission Rightsmentioning

confidence: 99%

A Joint Control Model Based on Emission Rights Futures Trading for Regional Air Pollution That Accounts for the Impacts on Employment

et al. 2019

View full text Add to dashboard Cite

show abstract

“…Fish Pool ASA, 3 established in 2005, is an international marketplace, licensed by the Norwegian Ministry of finance and under the surveillance of The Financial Supervisory Authority of Norway, for buying and selling commodity derivatives with fish and seafood as underlying products. Fish pool does not offer physical trading, only financial contracts (Ankamah-Yeboah et al, 2017;Asche, Øglend, et al, 2015;Sollibakke, 2012). 4 Fish Pool has given producers and buyers a tool to hedge against price risk, and opportunities for investors.…”

Section: Introductionmentioning

confidence: 99%

Modeling the return distribution of salmon farming companies: A quantile regression approach

Steen

Jacobsen

2020

Aquaculture Economics & Management

View full text Add to dashboard Cite

As the companies have grown larger, the salmon farming industry has received increased attention from investors, financial analysts and other representatives of the financial community. Still, little is known about the risk and return characteristics of salmon farming companies' shares. This paper approaches this topic by applying quantile regression to investigate the relationship between risk factors and monthly stock price returns over the entire return distribution at both industry and firm level. The results show that the overall market return, changes in the salmon price and the lagged returns for the major company in the industry have a positive impact on company stock price returns. The risk factor sensitivities are quite stable across quantiles at industrylevel, there are substantial differences at the firm level, but formal testing cannot reject the hypothesis that the quantiles are equal. This implies that the relationship between risk factors and stock returns may vary under different return levels reflected in the salmon price cycles. We show how the results can be implemented and applied in a Value-at-Risk analysis.

show abstract

“…Issues relevant to hedging and price formation in the salmon futures market are also discussed in Ankamah-Yeboah, Nielsen, and Nielsen (2017). Again, it would be interesting to explore the issue of hedging in the context of our model.…”

Section: Introductionmentioning

confidence: 99%

An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield

Ewald

Ouyang²

2017

Marine Resource Economics

View full text Add to dashboard Cite

On the basis of a popular two-factor approach applied in commodity market, we develop a model featuring seasonality and study future 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 1 commodity markets, specifically live cattle which acts as a substitute.We show that the seasonally adjusted model proposed in this paper can describe the behavior of salmon price very well. More importantly we show that seasonality persists in the salmon futures market. This is highly important in pricing of contingent claims, designing hedging strategies and making real investment decisions in marine assets.

show abstract

Price formation of the salmon aquaculture futures market

Cited by 35 publications

References 51 publications

A Joint Control Model Based on Emission Rights Futures Trading for Regional Air Pollution That Accounts for the Impacts on Employment

A Joint Control Model Based on Emission Rights Futures Trading for Regional Air Pollution That Accounts for the Impacts on Employment

Modeling the return distribution of salmon farming companies: A quantile regression approach

An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield

Contact Info

Product

Resources

About