The spot-forward relationship in the Atlantic salmon market

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 provides 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 1-6 months maturity. Hence, while the spot and lagged futures prices are unbiased estimates, we do not find support for the hypothesis that futures prices provide 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.

Verdirelevansen av å rapportere biologiske eiendeler til virkelig verdi - En studie av norske lakseoppdrettselskaper

“…Imidlertid er det lav likviditet på Fish Pool børsen (Asche, Misund & Oglend, 2016a), samt at laksefuturesprisene mangler den viktige price discovery-rollen (dvs. at futuresprisene kan si noe om fremtidige spotpriser) som kjennetegner de mer likvide råvarederivatmarkedene (Asche, Misund & Oglend, 2016b). Den lave likviditeten gjør at dette markedet potensielt kan manipuleres.…”

Futures market hedging efficiency in a new futures exchange: Effects of trade partner diversification

“…In its early years, the exchange experienced substantial growth in trade volume. However, in 2012 the exchange saw a major decline in participation (Asche, Misund, & Oglend, ; Misund & Asche, ). Interestingly, this decline occurred despite salmon price volatility having increased over the period (Asche, Oglend, & Zhang, ; Oglend, ), which would suggest a higher demand for risk mitigation tools (Brorsen et al, ).…”

Pricing efficiency across destination markets for Norwegian salmon exports

“…As an alternative risk management tool, the Fish Pool futures exchange has offered futures contracts for salmon since 2006. Since the large negative price shock in 2011 associated with the Chilean production recovery, growth in participation in the futures market has stagnated (Asche et al, 2016;Misund and Asche, 2016). Salmon futures are settled using a salmon price index constructed by the exchange.…”