Commodity price volatility under regulatory changes and disaster

Akbar Marvasti and Antonio Lamberte

Journal of Empirical Finance, 2016, vol. 38, issue PA, 355-361

Abstract: We find that the EGARCH model best describes the dynamics of U.S. Gulf of Mexico red snapper daily dockside prices and find their reaction to shocks to be asymmetric, though news has an impact on volatility level in a direction contrary to that of financial asset prices. We also find that volume contains useful information for predicting volatility. However, unlike financial asset prices, though consistent with fish commodities prices, red snapper price volatility diminishes when the volume is high. Also, the effect of expected changes on transaction volume is more dominant than that of unexpected changes. Explicitly accounting for oil spill closures and the Individual Fishing Quotas (IFQ) program in other species as variance shift parameters significantly reduces volatility and improves the market efficiency response to shocks.

Keywords: Price volatility; GARCH; Time series; Regulatory change; Disaster (search for similar items in EconPapers)
JEL-codes: C22 C52 Q22 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:38:y:2016:i:pa:p:355-361

DOI: 10.1016/j.jempfin.2016.07.008

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