Volatility spillover in seafood markets

Roy Endré Dahl and Erlendur Jonsson

Journal of Commodity Markets, 2018, vol. 12, issue C, 44-59

Abstract: There is a considerable body of research studying market integration in seafood, focusing on the relationship between prices. In this paper, we consider market connectedness, assessing volatility spillover between the world's three largest seafood markets, the EU, Japan and the USA, for fish and crustaceans. The data spans from 1990 to 2015, capturing a period of strong growth in the seafood trade, as both the EU and US increased their share of the global seafood trade. We find time-varying and significant spillover between all markets. The results suggest that volatility spillover originates from the net exporting market and is transmitted to the net importing markets, which is particularly evident for crustaceans, where Japan is a positive net transmitter to the EU and US. Further, we can identify several peaks in volatility spillover and relate them to events like El Niño/La Niña and to the financial crisis as a period of high volatility spillover.

Keywords: Seafood markets; Fish; Price volatility; Volatility spillover (search for similar items in EconPapers)
JEL-codes: C32 E32 G1 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2405851317302210
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:12:y:2018:i:c:p:44-59

DOI: 10.1016/j.jcomm.2017.12.005

Access Statistics for this article

Journal of Commodity Markets is currently edited by Marcel Prokopczuk, Betty Simkins and Sjur Westgaard

More articles in Journal of Commodity Markets from Elsevier
Bibliographic data for series maintained by Catherine Liu ().