Determinants of the Atlantic salmon futures risk premium

Frank Asche, Bård Misund and Atle Oglend

Journal of Commodity Markets, 2016, vol. 2, issue 1, 6-17

Abstract: A futures market has recently been established for Atlantic salmon, and in this paper we examine the risk premium in salmon futures prices. Recent studies suggest that industry-specific production factors as well as the basis can influence the relationship between spot and futures prices. Using Atlantic salmon futures and spot price data from 2006–2015, we analyze the impact of the futures-spot basis, seasonality, industry-specific variables, and demand uncertainty on the risk premium and spot price change. The results suggest that the basis and seasonality significantly explain the variation in the risk premium. Moreover, in contrast to studies on other animal production commodities, the basis seems more important for determining the risk premium, than for the spot price change.

Keywords: G13; G14; Q22; Atlantic salmon markets; Futures prices; Risk premium; Commodities; Fish Pool Exchange (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:2:y:2016:i:1:p:6-17

DOI: 10.1016/j.jcomm.2016.07.001

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